KnifeCatcher (Long only)

This strategy is a mean reversion strategy that tries to catch bottoms during the morning session of the German DAX index.

 

Features

This is a short-term, long-only, strategy that trades on 30-min bars. It does not trade very frequently, as we need to see five consecutive lower lows in the chosen time-window before we can enter a trade.

 

Indicator description

This strategy is a purely price-action based setup combined with a time-window. Only the bar Open, High, Low and Close prices and time.

 

Strategy description

The equity markets have a natural upward drift over a long period of time. When the DAX drops sharply in the morning, there is generally an edge in fading that move. The characteristics of this strategy is that it has a low rate of winners, but the winning trades are much much bigger than the losing trades. We exit a long position either by our stop-loss of 20 points, or if the previous bar closes above the bar 4 periods ago. The profits are therefore uncapped, and this is why we can get some huge winners.

 

Performance

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Backtest is from 2016 to February 2018. A spread of 10 pips is utilised and starting equity is 10.000.

 

 

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