Over 2011 to 2025 (15 years of data), SRENCHCHF has tended to move long between 08.07 and 28.07, closing higher in 80.0% of those years for an average +1.38% move and an annualized Sharpe of 1.51.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 08.07 → 28.07 | Long | 80.0% | +1.38% | 1.51 | 15 |
| 13.07 → 30.08 | Short | 80.0% | +1.31% | 0.95 | 15 |
| 08.07 → 27.07 | Long | 80.0% | +1.23% | 1.37 | 15 |
| 11.07 → 30.08 | Short | 80.0% | +0.87% | 0.63 | 15 |
| 08.07 → 16.07 | Long | 80.0% | +0.80% | 1.52 | 15 |
| 13.07 → 18.08 | Short | 73.3% | +1.71% | 1.05 | 15 |
| 13.07 → 29.08 | Short | 73.3% | +1.53% | 1.11 | 15 |
| 13.07 → 31.08 | Short | 73.3% | +1.49% | 1.06 | 15 |