A 15-Minute DAX Short Strategy Using MACD and a Long-Term EMA

Summary

This document describes a rules-based intraday strategy that takes short positions in the DAX on 15-minute bars. Entry requires the MACD to cross below zero while its signal line is negative, price to be below a long-period exponential moving average, and that average to be declining. Entries are restricted by trading hours and excluded weekdays. The strategy sets a fixed stop loss and profit target, and adds a trailing stop that activates after a trade moves favorably by a specified distance.

The author reports tick-by-tick testing across 200,000 bars with a one-point spread. No walk-forward analysis is reported, and the document provides no performance statistics or detail about costs beyond the stated spread. The long moving-average period and exit distances are presented as chosen settings, but there is no robustness analysis or evidence that they generalize. The strategy therefore offers a concrete rule set to investigate, not validation of future profitability.

Key ideas

• The strategy sells short when MACD crosses below zero and its signal line is negative.
• Price must be below a long-period exponential moving average that is sloping downward.
• Entries are limited to specified hours and excluded weekdays.
• Exits use a fixed loss limit, a profit target, and a favorable-move trailing stop.
• The author reports tick-by-tick testing but says walk-forward testing was not performed.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.