Intraday DAX Breakout Rules and Their Backtest Caveats

Summary

This document describes a rule-based intraday breakout system for the DAX using 15-minute bars. It tracks the day’s high and low from a specified morning start, then sets stop-entry levels inside those extremes once price has moved far enough from them. The system filters for a bounded daily range and sufficient distance between the two entry levels. It uses a fixed position size by default, allows an optional profit-based reinvestment scheme, applies a maximum loss stop, and closes positions by the end of the trading session. Some dates are excluded because of altered market hours.

The author says the strategy was tested on historical data from July 2008 through January 2014 using an in-sample/out-of-sample approach intended to limit curve fitting. The post gives account, spread, and trade-count details, but does not provide enough methodological information here to independently assess the backtest. The author reports only limited forward testing with small live stakes and notes that other time frames had not been tested. Results may depend on market hours, costs, execution, and implementation.

Key ideas

• The system derives daily breakout entry levels from the evolving high and low after a morning start time.
• It requires a restricted daily range and a minimum gap between the long and short entry thresholds.
• Positions use a fixed size by default, with an optional reinvestment rule and a maximum loss stop.
• The rules include time-based trade entry limits, end-of-session closure, and selected holiday exclusions.
• The historical test and limited live trial do not establish performance across other time frames or trading conditions.

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