Introduction
Hello and welcome back to our latest video where we’ll dive into how our portfolio strategies have been performing recently.
Today, I’m excited to share insights into two strategies working on the DAX futures, the most renowned and influential among European markets.
Just a reminder that this future is not only versatile – since it’s perfect for both trend-following and breakout strategies as well as mean-reverting and bias approaches – but it’s also well-suited for virtually any portfolio size.
We have three different contracts: the large contract we’re discussing in this video and our portfolio reports.
Additionally, there’s the mini DAX, which is 1/5 the size of the full contract, and the micro DAX, which is just 1/25 of the large future.
All three contracts are highly liquid, allowing you to choose the one that best fits your investment needs.
I’m one of the coaches at Unger Academy, where we focus on crafting and fine-tuning automated trading systems across various financial instruments, including futures.
Now, let’s analyze the two strategies we’re going to see today, starting with the first one.
FDAX Multiday Trend Following Strategy
It’s a multiday trend-following strategy working on a 15-minute time frame.
This system leverages Bollinger Bands to generate trade signals.
So the strategy will simply go long and short upon breaking either the upper or lower band of the channel.
This approach is further enhanced by unique patterns from our proprietary libraries.
Exits from trades occur after an N number sessions.
Let’s now review the metrics and the system’s equity line.
As you can see, this is a definitely consistent equity line, though more sideways in recent years, especially 2018 and 2019, which were marked by lower market volatility.
However, in recent years, the resurgence of volatility due to Covid19 and other macroeconomic factors has boosted the performances of trend-following systems like this one, reaching new heights.
The performance report shows a gain of about €650,000 from 2010 to the present, with a maximum drawdown of approximately €70-72,000.
Looking at the average trade, the return is an impressive €700, especially considering the tick size of €25, which is definitely not so small.
Year over year, the performance has been positive with the exception of 2018 and also 2019 if we consider commissions and slippage costs.
FDAX Mean Reverting Multiday Strategy
Now let’s move on to the second strategy, which also uses a 15-minute frame.
This strategy too is multiday but falls under the category of reversal or mean-reverting strategies.
Its core is the false breakout of significant price levels, initiating trades once these breakouts are confirmed.
Let’s dive back into the metrics and observe that the strategy has accrued roughly €385,000 from 2010 to date, with a maximum drawdown nearing €44,000.
Here’s the equity line. Noticeably less smooth and a bit less visually appealing than the previous one, as you can see.
However, that’s to be expected, considering this is a rather distinct system that tends to struggle during years with stable, well-defined trends and minimal volatility swings—2021 being a prime example.
Indeed, the annual analysis shows that 2021 was notably more challenging for this strategy.
As for the average trade, the figure is excellent, even higher than that of the first strategy we’ve just seem, and it amounts at €800.
Conclusion
And that’s it for today’s strategies! If you want to learn more about systematic trading and want to learn how we build strategies like the ones that you’ve just seen, click the link in the description of this video. From there, you can watch a free presentation by Andrea Unger, get our best-selling book "The Unger Method" for just the cost of shipping, or book a free call with one of our tutors.
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Thanks for watching, see you next time!
