Over 1999 to 2025 (27 years of data), ZARJPY has tended to move long between 11.07 and 22.07, closing higher in 77.8% of those years for an average +1.21% move and an annualized Sharpe of 1.92.
| Window | Dir | Win rate | Avg return | Sharpe | Years |
|---|---|---|---|---|---|
| 11.07 → 22.07 | Long | 77.8% | +1.21% | 1.92 | 27 |
| 11.07 → 21.07 | Long | 77.8% | +0.94% | 1.76 | 27 |
| 08.07 → 22.07 | Long | 74.1% | +1.40% | 1.84 | 27 |
| 09.07 → 22.07 | Long | 74.1% | +0.96% | 1.47 | 27 |
| 11.07 → 23.07 | Long | 74.1% | +0.80% | 1.13 | 27 |
| 13.07 → 23.08 | Short | 70.4% | +2.84% | 1.54 | 27 |
| 13.07 → 05.09 | Short | 70.4% | +2.60% | 1.09 | 27 |
| 13.07 → 03.09 | Short | 70.4% | +2.58% | 1.09 | 27 |