A DAX Daily-Open Long Strategy with Seasonal Scaling and Repulse Exits

Summary

This four-hour DAX strategy opens long positions at a specified daily time on weekdays when true range exceeds 25 and a four-period TEMA is above a four-period exponential average. Position size is tied to equity through a reinvestment rule, then multiplied by a seasonal factor that varies by month and by whether the date falls before or after midmonth. A Repulse reading below -0.3 triggers a market exit at selected times; the code also specifies a 5% stop loss, while a 3% profit target is commented out.

The author says the strategy has outperformed the DAX and that reinvestment can be omitted, but provides no dates, returns, drawdowns, costs, or backtest methodology to support that claim. Time conditions are explicitly timezone-sensitive. The seasonal multipliers and entry rules are presented without an explanation of how they were estimated or validated, leaving a risk of overfitting. The code also describes a one-euro DAX instrument, so results may not transfer to other contract sizes, trading hours, or markets.

Key ideas

• Entries are long-only and depend on weekday timing, a true-range threshold, and a moving-average comparison.
• Position size compounds with strategy equity and is scaled by a month and half-month seasonal factor.
• A Repulse threshold can trigger an exit, and the code sets a 5% stop loss.
• The author claims outperformance but supplies no supporting performance data or test method.
• Timezone, contract size, costs, and seasonal-factor validation affect reproducibility.

Tags

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