Morning CAC 40 Strategy Using a Long-Window MACD

Summary

The document presents an intraday CAC 40 strategy on 15-minute bars. At 09:30, it takes a long position if a MACD calculated over a window scaled to represent 14 hours is rising, or a short position if the MACD is falling. It closes positions at 21:45 and applies a 1% loss stop. Position size is fixed at three shares in the example. The author describes the strategy as less efficient than a related DAX approach and claims long-term profitability, but provides no performance data, test period, transaction-cost assumptions, or risk-adjusted results to support that claim.

Key ideas

• The strategy uses the direction of a long-window MACD as its morning entry signal.
• It trades the CAC 40 using 15-minute bars and enters at 09:30.
• Positions are closed at 21:45, with a 1% loss stop specified.
• The example uses a fixed position size of three shares.
• The profitability claim is not accompanied by backtest evidence or trading-cost details.

Tags

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