A Daily DAX Strategy Combining Regime Filters and Seasonal Position Sizing

Summary

This proposed daily strategy for the DAX mini switches between mean-reversion and breakout entries according to ADX thresholds. It uses the candle’s direction and size relative to average true range to trigger trades, and applies separate volatility ceilings and holding periods to long and short positions. Position size is tied to volatility; long exposure is additionally scaled by a month and half-month seasonal multiplier. The author says the historical test used a long time series and reports a 180% return with roughly 20,000 drawdown, while stating that it survived the 1998, 2001, and 2008 shocks and appeared relatively smooth.

The post presents this as a strategy under discussion and asks for ways to reduce drawdown. The parameter choices and seasonal multipliers are described as optimized, but the document gives no test dates, benchmark, trade count, cost sensitivity, or out-of-sample results. Its historical claims therefore do not establish robustness. The code also leaves profit targets and stops commented out, making the stated bar-count exits central to the described implementation.

Key ideas

• ADX thresholds select mean-reversion or breakout conditions separately for long and short trades.
• Entry triggers require a candle direction and range relative to ATR, with ATR ceilings filtering volatility.
• Position sizing scales with ATR, and the long size also uses a seasonal multiplier that changes twice monthly.
• The described implementation exits long and short positions after different numbers of bars.
• The author reports historical return and drawdown figures, but supplies no out-of-sample validation or detailed test methodology.

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