DAX Opening Range Breakout with Time Filters and Range-Based Exits

Summary

The document describes an intraday DAX opening range breakout approach for five- and fifteen-minute charts. It records the session high and low during the opening window, then uses a five-period TEMA crossing those levels as the entry signal. Long and short trades have separate time filters; the strategy avoids a midday period for longs and stops initiating shorts after 15:00. It also limits trades per direction within the opening-range calculation period and closes positions at the end of the trading window.

The opening range's size sets both the stop loss and profit target, while position size is calculated from stated capital and a one-percent risk setting. The author also suggests filtering trades using a moving average of the strategy equity curve to reduce drawdowns. No backtest results, sample period, transaction costs, or performance statistics are provided, so profitability claims cannot be assessed. The posted code's trade counters reset during the range calculation window, which may affect the intended once-per-day limit; the rules should be checked carefully before use.

Key ideas

• The strategy defines an opening range from the DAX session high and low during the initial measurement window.
• A five-period TEMA crossing the range boundary triggers a potential entry, subject to direction-specific time filters.
• The opening range width determines both the stop distance and the profit target.
• Position size is tied to stated capital and a one-percent risk setting.
• The author proposes an equity-curve moving average as a possible filter, but supplies no performance evidence.

Tags

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