DAX 15-Minute Long Strategy with SuperTrend and Seasonal Position Sizing

Summary

This post presents a long-only DAX strategy on 15-minute bars. It looks for a prior lower low, a current high below the earlier rolling high, a bullish candle, a limited bar range relative to the recent high-low span, and a close above SuperTrend. The example sets fixed stop-loss and profit-target distances and sizes positions from account equity, a stated risk fraction, pip value, and multipliers that vary by weekday and month. The author reports that different optimization approaches produced a similar broad trend through the end of 2013, but supplies no performance table or independent validation.

The author identifies sparse signals, long holding periods, and long waits between trades as drawbacks, and says the reversed short version was not profitable. The strategy’s seasonal multipliers and other parameters were optimized, so curve fitting remains a concern despite the reported stability. The post also notes that position risk can rise with seasonal adjustments. Results will depend on the data history, instrument specification, execution costs, and sizing assumptions; the example does not establish robustness beyond its tested setup.

Key ideas

• The entry setup combines a prior lower low, a bullish bar, a range filter, and a close above SuperTrend.
• The example applies fixed stop and target levels to long positions.
• Position size scales with account equity and includes weekday and monthly multipliers.
• The author reports sparse trades and long holding periods, while the reversed short approach was unprofitable.
• Parameter optimization and seasonal adjustments create robustness and risk concerns that the post does not resolve.

Tags

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