160 every 3 months
Compatible with
PRT Trading IG
Favorites: 5   Views: 832   Reviews: 0  
  • THIS STRATEGY WORKS WITH UTC TIME-ZONE. 
  • This is a system based on some robust statistically verifiable statements on the DAX future.
  • It works on several timeframe, but the best one is the h1.
  • The positions are open and closed within 24 hours
  • There is a stop loss at 200 ticks

 

 

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This trading system aims at exploiting three statistically well verifiable effects:

1) Within the trading session, the DAX is likely to print the max and the min of the session at specific time

2) There are time windows within a session when the DAX movement is more likely to persevere in the same direction

3) It is more likely that a strong intraday trend develops after a period of volatility contraction.

This strategy merge all the above mentioned effect, delivering the follwing backtest results:

  • Good  IN_sample vs OUT of sample results:

  • The Profit vs Max Drawdown ratio (CALMAR)  is a very healthy 17
  • The Average holding period is about 17 hrs for long positions and 6hrs for short positions
  • The average trade is slighlty larger than 10 pips.


LIVE RESULTS:

  • About me:
    • Master’s in Theoretical physics from Pisa University and quantitative finance from Bocconi University.
    •  More than 15 years of experience in finacial market, since 2016 full time systematic trader.
    • This is my profile on prorealcode https://www.prorealcode.com/user/francesco78/
    • This is my linkedin profile https://www.linkedin.com/in/francesco-landolfi-2311953/
    • This is my youtube channel  https://www.youtube.com/channel/UC0AZNJoJ62jX7MT4QJzY5Cg
    • Instagram : https://www.instagram.com/france.landolfi/

 

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