End-of-Session Reversal Strategy for DAX, FTSE, and Dow Jones

Summary

This strategy looks for a possible reversal near the European market close, entering at 17:29 after a sustained moving-average trend. For a short, the faster average must have stayed above the slower one for a specified number of bars; the long signal uses the opposite alignment. The author suggests that traders closing positions before overnight hours may contribute to the move, while acknowledging that the entry is against the prevailing trend. The example code also calculates a range-based risk distance, caps it at a maximum, sets a profit target at a multiple of that risk, and applies further exits based on time in the trade and unrealized profit or loss.

The author reports testing on 100,000 bars without walk-forward analysis, saying the setup occurs infrequently, and provides different parameter settings for DAX, FTSE, and Dow Jones. This is limited evidence: no performance statistics or out-of-sample results are supplied. The code’s default parameters differ from the instrument-specific settings, and the document does not establish that the strategy is reliable or suitable for live trading.

Key ideas

• The entry signal looks for a moving-average ordering that has persisted for a chosen number of bars.
• The strategy enters near 17:29 and trades against the sustained trend, based on the hypothesis that traders close positions before overnight hours.
• Initial stop distance is based on recent bar ranges and capped by a maximum risk setting.
• The profit target is set as a multiple of the stop distance, with additional exits based on time in trade and open profit or loss.
• The author reports a 100,000-bar test without walk-forward analysis, but provides no performance statistics.

Tags

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