DAX Futures Trading: Get the Best Out of It with These Strategies (Live since 2017!)

by Andrea Unger | The Trading Show

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DAX, the German stock market index, is one of the most exciting instruments for those engaged in systematic trading.

It is a pretty volatile market, which is also very versatile and responds well to different logics (trend following, mean reverting, bias).

This video presents two strategies in our portfolio that have performed pretty well on DAX futures since we coded them in 2017.

By watching the video, you’ll discover:
-The rules of these strategies (a bias strategy and a trend-following strategy)
-Their out-of-sample performance (from 2017 to present)

Enjoy! 😎

Transcription

Hey everyone, thank you so much for joining us! Welcome to our usual chat about the strategies in our portfolio that have performed the best over the past period.

Alright, so this week, I want to talk to you about the DAX, again, because you know, this is a very flexible market that adapts quite well to different types of entries,
whether they are based on a bias approach, like in the strategy that we’re about to look at, or on mean-reverting or trend-following approaches.

So let's start with this bias strategy that I wanted to show you.

It’s a strategy that, like all bias strategies, will wait or rather "scout out," as they say, a time of the day or rather a period of bars when the market tends to go up.

Now this time window, as far as the DAX market is concerned, opens at 5:15 pm. Frankfurt time, because the exchange time for this market is Central European Time.

So, what we'll do is we’ll enter the market at 5:15 pm and then close all our positions at the next day's opening at 9:00 am.

So, this bias strategy will only make long trades, and you can see that all these trades happen at the same time of the day.

Well... if we take a look, we see that the time printed here is 5:30 pm.

Now this 5:30 pm is obviously the closing time of the 15-minute bar, so at 5:15 pm here, we’ll enter the market and open our trade.

Now, even though 2022 wasn’t a particularly lucky year for long trades on… well, for long trades on equity indexes in general, so on all stock indexes around the world,
we were still able to make some really excellent profits from this strategy, although it trades only with long positions.

This strategy was developed in 2017, so now we can consider it as a pretty old trading system.

And yeah, this strategy wasn't particularly lucky during the pandemic period. However, it was able to promptly recover and resume performing pretty well, which is certainly good.

Let's take a look at the out-of-sample period, which starts more or less starts from here.

This strategy has worked very well over time, especially in the period after this system was developed.

Clearly there is no equity curve on the short side because, as mentioned, this strategy only trades on the long side.

In this case, the system's average trade is €270 because this index, these futures, are quoted in Euro.

The average trade is quite large, especially if we consider the value of a tick on this underlying asset, which is worth €25.

So €270 would be, let's say, a little more than ten points, so we’re definitely able to cover commission costs as well as slippage.

Over the years, this strategy has maintained a decent average trade, except perhaps in 2019, where we see a somewhat risky average trade.

But also in the backtest, let's say, as well as in 2016, we saw such results.

The question is, what about 2022? Well, this year, instead, the strategy was able to make an even higher average trade, in spite of the pretty bad performance of the DAX.

You can see here the downswings that we’ve seen in this market.

Alright, so let's move on to the next strategy that I want to show you today.

This is a trend-following strategy that enters when the high or the low of the current session is crossed.

It’s clear that these two levels, the high and the low of the current session, will form during the day.

Therefore, it’s necessary to choose a time window in which the highs and lows are counted after a certain number of bars from the beginning of the session.

Otherwise, the high and low of the day would be very close to each other and pretty much almost at the same level.

More specifically, this strategy opens both long and short trades. Long trades occur between 11 am and 5 pm, and well, the same goes for the short trades.

This strategy has also performed very well over time.

You can see that it was also developed in 2017, like the previous one. And yeah, to be honest, this was one of the first ones that I had developed.

And this strategy, you can see that even though it had a slightly worse slope in the out-of-sample period, we could say (because it doesn't rise as sharply as before) we could say that it has maintained a certain consistency of performance over time.

This strategy opens long trades - and this is where we can see the results - as well as short trades, and it’s something that I recommend for the DAX market, you know, to at least try because it’s certainly a market that’s well-suited for short trades as well.

The average trade, in this case, is much larger than the previous strategy.

This is because this is a multiday strategy where positions remain open beyond the end of the session.

You can see that the average trade is up to €860 in this case.

And generally, although the annual results have become weaker, as well as the average trade…

You can see it better graphically here that the out-of-sample years underperformed slightly compared to the in-sample years, but they still brought some pretty good gains to our portfolio.

So guys, go and give it a try too!

The Dax, as I said, is a very versatile market and is well-suited for different types of logic. This is mainly due to its high volatility.

I mean, not every day of the year, of course, but the Dax is undoubtedly a market that can be very volatile at times and, therefore, can provide some fun for systematic traders.

So go and give it a try yourself!
Also, we’ve left a link in the description of this video. From there, you can watch a free presentation by Andrea Unger, go and get our best-selling book by just covering the shipping costs, or even book a free call with a member of our team.

And if you enjoyed this video, please leave us a Like, subscribe to our channel and click on the notification bell so that you can stay up to date.

And with that, we thank you so much for watching! I will see you next time, bye bye!

Need More Help? Book Your FREE Strategy Session With Our Team Today!

We'll help you map out a plan to fix the problems in your trading and get you to the next level. Answer a few questions on our application and then choose a time that works for you.

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Andrea Unger

Andrea Unger

Andrea Unger here and I help retail traders to improve their trading, scientifically. I went from being a cog in the machine in a multinational company to the only 4-Time World Trading Champion in a little more than 10 years.

I've been a professional trader since 2001 and in 2008 I became World Champion using just 4 automated trading systems. 

In 2015 I founded Unger Academy, where I teach my method of developing effecting trading strategies: a scientific, replicable and universal method, based on numbers and statistics, not hunches, which led me and my students to become Champions again and again.

Now I'm here to help you learn how to develop your own strategies, autonomously. This channel will help you improve your trading, know the markets better, and apply the scientific method to financial markets.

Becoming a trader is harder than you think, but if you have passion, will, and sufficient capital, you'll learn how to code and develop effective strategies, manage risk, and diversify a portfolio of trading systems to greatly improve your chances of becoming successful.