DAX IDNR Breakout Strategy with Volatility Filters and ATR Exits

Summary

This strategy looks for a narrow-range setup: the current bar sits inside the previous bar and its range is below the recent minimum. It requires Bollinger Band width to be near a recent low, ADX to exceed a threshold, and short-term ATR to be greater than a longer-period ATR. Long and short entries are placed as stop orders above the setup bar’s high or below its low, with entries restricted to before a specified hour. Exits combine an ATR-based trailing stop with fixed ATR-based stop-loss and profit-target distances.

The author reports favorable backtests on DAX hourly data and says parameter changes preserve results; they also report that the approach appears to work on FTSE MIB hourly data. However, the available historical sample produces few trades, leaving reliability uncertain. The document supplies no detailed test period, transaction-cost assumptions, or full performance statistics, so the claims require independent validation, including out-of-sample testing and realistic execution costs.

Key ideas

• The entry setup combines an inside bar with a range below its recent minimum.
• Bollinger Band compression, ADX, and a comparison of short- and longer-term ATR act as filters.
• Entries use stop orders beyond the setup bar, while exits combine ATR-based trailing and fixed stops and targets.
• The author reports promising DAX and FTSE MIB hourly results but considers the small number of historical trades a reliability concern.

Tags

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