DAX Month-Turn Strategy Using Trading-Day Statistics and Position Scaling

Summary

This document outlines a rules-based strategy for the DAX mini that uses the trading day of the month (TDOM). It opens a short position on the first trading day and schedules long entries from the eighth trading day, with additional entries allowed on later days when the existing position is losing. Month-specific settings determine whether to trade long or short and how much exposure to take; the rules also include position caps, order accumulation, and percentage-based stop-loss and profit targets. The system is described for a four-hour chart and a backtest using 200,000 candles.

The author presents the approach as based on recurring behavior around month turns and references Larry Williams’s TDOM concept. The document supplies code and settings but no detailed test results, benchmarks, transaction cost analysis, or out-of-sample evidence. Its monthly choices and sizing parameters may be sensitive to the tested period, and the stated backtest alone does not establish that the pattern persists or will generalize.

Key ideas

• The strategy uses trading day of the month to schedule DAX mini entries around the month turn.
• It shorts on the first trading day and begins scheduled long entries on the eighth trading day.
• Month-specific multipliers select direction and exposure, with further entries permitted under stated conditions.
• Order accumulation, position caps, and percentage stop and target rules govern position management.
• The document reports a backtest length but provides no detailed performance or out-of-sample evidence.

Tags

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