CAC 40 Intraday Strategy With MACD, RSI, and SuperTrend

Summary

This intraday system trades the CAC 40 on a 15-minute chart, taking both long and short positions during a defined daytime session. Long entries require the MACD line to cross above its signal line, RSI to remain below an upper threshold, and price to be above SuperTrend. Short entries reverse the MACD and SuperTrend conditions while requiring RSI to stay above a lower threshold. The rules also specify a fixed position size, a stop, a profit target, and an end-of-day flat time.

The author reports that the strategy was positive before spread costs but negative on all tested data once spreads were included. This is a useful reminder that transaction costs can overturn an apparently favorable intraday backtest. The document does not provide the test period, detailed performance statistics, or assumptions about slippage and execution, and its reported outcome is specific to the tested setup. It gives no evidence that later modifications would improve profitability.

Key ideas

• The strategy combines MACD crossovers, RSI bounds, and SuperTrend direction for entries.
• It applies both long and short rules to the CAC 40 on a 15-minute chart.
• The rules specify a fixed position size, protective stop, profit target, and end-of-day exit.
• The author reports positive results before spreads and negative results after spread costs.
• The test period and execution assumptions are not detailed in the document.

Tags

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