DAX Morning Range Breakout with Adaptive Contract Sizing

Summary

This intraday DAX strategy applies an opening-range breakout on one-minute data. It records the high and low of the two-hour morning range, then places stop entries above or below those levels after the range ends. The rules restrict entry to before a stated cutoff, prohibit entries on specified weekdays, and aim to allow only one trade per day. Protective stops and profit targets are specified in the trading logic.

The position size changes in response to the preceding trade’s outcome: it increases after a loss and can decrease after a win when size exceeds one, then resets after cumulative strategy profit crosses successive thresholds. The document provides platform code but no performance statistics, test period, or execution assumptions. Its brief description and code differ in how stops and targets are presented, and the sizing rule can increase exposure after losses. Results would depend on the instrument’s point value, slippage, data timing, and platform behavior, none of which are evaluated here.

Key ideas

• The strategy defines a morning range from 7:00 to 9:00 using one-minute DAX data.
• It enters in the direction of a range break using stop orders after the range is established.
• Trading is limited by a daily trade flag, weekday exclusions, and a morning entry cutoff.
• Contract size adjusts based on the preceding trade outcome and resets after cumulative profit thresholds.
• The source provides code but no backtest results or detailed execution assumptions.

Tags

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