BREAKOUT ON DAX in H1 PRODUITS GROUPÉS

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/
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