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Strategy 14: Overnight Long trade in DAX-futures (FDAX)

99,00 

The strategy enters at the close (1730 CET) and exits at the open the next day (0900 CET). There are two buy criteria. The backtest is on the big contract (FDAX).

This strategy was our monthly Trading Edge for November 2021.

Performance metrics (FDAX):

  • No. of trades: 209
  • Average gain per trade: 0.22% (0.67% for winners and -0.61% for losers)
  • Win ratio: 65%
  • Profit factor: 2
  • CAGR: 2.15% (assuming no leverage)
  • Exposure/time in the market: 3.82%
  • Max. drawdown: -5.12%

The equity curve (log scale):

Category:

Description

The strategy enters at the close (1730 CET) and exits at the open the next day (0900 CET). There are two buy criteria. The backtest is on the big contract (FDAX).

This strategy was our monthly Trading Edge for November 2021.

Performance metrics (FDAX):

  • No. of trades: 209
  • Average gain per trade: 0.22% (0.67% for winners and -0.61% for losers)
  • Win ratio: 65%
  • Profit factor: 2
  • CAGR: 2.15% (assuming no leverage)
  • Exposure/time in the market: 3.82%
  • Max. drawdown: -5.12%