How to create a Windows shortcut that passes the current folder as a parameter

Question

In Windows 7-10, how can you create a shortcut that uses the current folder (directory) as a parameter?

For example:

Target: example.exe "%CD%"

(where %CD% gets automatically replaced by the current directory)

The idea is that when the shortcut is moved, it will always use the current folder as a parameter.

I have a hunch this is not possible in Windows (I could do it in OS/2!), but maybe someone knows how to accomplish this.