DAX Daily Stop-and-Reverse Strategy Using the Fisher Transform

Summary

This proposal applies the Fisher Transform to daily DAX prices and uses threshold crossings to switch between long and short positions. It normalizes the typical price within a rolling high–low range, smooths the resulting value, and transforms it into an oscillator intended to highlight price extremes. A move above the lower threshold triggers a long order, while a move below the upper threshold triggers a short order. The author describes the system as generally staying in the market and notes that cumulative orders can be enabled or disabled; the stated spread assumption is one tick.

The document provides a strategy outline and its indicator settings, but no backtest, performance statistics, or risk analysis. It does not explain position exits beyond the opposing signal, how accumulated orders affect exposure, or how the thresholds and lookback were selected. The method is therefore a proposal for evaluation, not evidence of an established trading edge.

Key ideas

• The strategy applies a Fisher Transform to normalized typical prices on the DAX.
• It opens long positions when the oscillator crosses above its lower threshold.
• It opens short positions when the oscillator crosses below its upper threshold.
• The author says cumulative orders may be enabled or disabled and assumes a one-tick spread.
• No backtest results or risk assessment are provided.

Tags

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