DAX Daily Mean-Reversion Strategy Using RSI and Moving Averages

Summary

This post presents a daily DAX spread-bet strategy adapted from Larry Connors-style rules. It buys when the close is above its 200-day average, below its 5-day average, and the 2-period RSI is below 13. The long position exits when the close crosses above its 9-day average. It shorts when the close is below its 200-day average, above its 5-day average, and RSI exceeds 83; the short exits when the close crosses below its 5-day average.

The author reports that a demo account showed about 15% profit on the DAX since September 2016 and asks for feedback after testing variants over different horizons. This is a personal, limited performance report rather than a documented backtest: the post gives no detailed test period, costs, drawdowns, trade count, or benchmark. The fixed five-unit-per-point sizing and market orders are specified, but risk controls and robustness across markets are not discussed.

Key ideas

• The strategy filters long and short trades by the close relative to its 200-day average.
• Short-term pullbacks and two-period RSI extremes trigger entries in the direction of the long-term filter.
• Longs exit on a cross above the 9-day average, while shorts exit on a cross below the 5-day average.
• The reported demo gain lacks supporting details about costs, drawdowns, and 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.