Trading The Week After Futures Expiration In DAX 40

Last Updated on June 19, 2022 by Quantified Trading

Trading the week after futures expiration in DAX 40

This article looks at the performance of the DAX futures contracts in the week after the expiration of the contract.

DAX 40 was changed in 2021 from DAX 30 and is one of the most heavily traded futures contracts in the world. The contracts expire on the third Friday of the last month of each quarter: March, June. September, and December.

If you are not familiar with DAX 40 we recommend a primer on the index contract:

The expiration weeks in the US

We have previously covered the options expiration weeks in the USA:

Trading the week after futures expiration in DAX 40

Let’s test the performance of DAX 40 after its futures expiration. We backtest the futures contracts, but we don’t use a futures backtest. Instead, we use a 100% margin.

100 000 is invested in March 2000 and reinvested into the next quarterly futures expiration week. Thus, there are four trades a year. We invest at the close of the Friday when the futures contracts expire, and we hold for one week and sell at the close the next Friday. No commissions or slippage.

This is the equity chart of Dax:

The average gain is a negative 0.13% and the win ratio is a low 41%.

Is there any difference depending on the month? Let’s find out:

September and March are pretty good, while June is a small loss. September is, just like in the US, by far the worst month. September has only been profitable 23% of the time.

 

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