DAX daytrading Strategy

Quote from DT-waw:

Nice performance - http://www.handelssystem.net/FDAX_Stats.htm
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What???

A whopping MTM annual rolling period total of 18.69% in 2002, after 797 trades?
And a more amazing total of 0.02% ($87.50) in 2003, after 174 trades?

I wonder who would call such performance "nice". Certainly not nice enough to make a living as a trader.
Unless you've got $1M+ in your account to start with, of course... Good Luck! :)
 
Well, first of all this system is backtested without position size mgmt, it trades 1 contract at a time. The avg profit per 1 contract per year was ~ 80k EUR. Not enough to make a living?

If you put every 80k for trading 1 dax contract with this system you can double your position size every year. After six years your acct grows 64x. From 80k to over 5M. Of course that is without taxes and funds withdrawals. IMHO these are very good figures.

What's wrong with 3-month flat period in 2003? Yeah, in your view it is very bad b/c you believe that you're profitable every single day in your ES scalping. Pure fantasies, you're schizophrenic and that is very sad. Now if we want to talk about real scalping performance, take a look at Mark's Velocity Trader Journal. He probably makes ~80k per year per contract (Mark please correct this if I'm wrong) but with lower than 17k /contract drawdowns. And that is fantastic performance but not scalable... Handelssystem.net system trades on 30 min bars, probably it is capable of trading >100 contracts.
 
Quote from DT-waw:

Well, first of all this system is backtested without position size mgmt, it trades 1 contract at a time. The avg profit per 1 contract per year was ~ 80k EUR. Not enough to make a living?

If you put every 80k for trading 1 dax contract with this system you can double your position size every year. After six years your acct grows 64x. From 80k to over 5M. Of course that is without taxes and funds withdrawals. IMHO these are very good figures.
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Well, that's all very nice, but have you had a look at the "settings" page? $0 slippage... On the DAX - ROFL!!!

I look at that system front-to-end and it's pretty clear that it's been tweaked & optimized here and there - Particularly evident from the diminishing annual returns. It's easy to make lots of $ on an optimized system in hindsight. But come on, brother, show me the guy who traded this system from the actual beginning of the tested data and made that money!

And on top of that, you should just get a bit real man - You think that any automated system can make EUR 80K a year on 1 car? You know little. I have programmed systems for years. I even posted a shot here on ET, which far 'outperformed' the results of this system. Yet I never traded it much for real. Why? Because it's not worth it. You and all your friends with your silly little systems are never going to be making anything like that.

Why? Because markets follow the volume, as opposed to systems. You may be able to get a small razor-thin edge trading a (lagging!) system, but you'll never be able to top-perform unless you trade what you call "discretionary", namely conditioning yourself to be objective and observant and then go with the flow and take exactly what the market is willing to give you at any point in time.

What's wrong with 3-month flat period in 2003? Yeah, in your view it is very bad b/c you believe that you're profitable every single day in your ES scalping. Pure fantasies, you're schizophrenic and that is very sad. Now if we want to talk about real scalping performance, take a look at Mark's Velocity Trader Journal. He probably makes ~80k per year per contract (Mark please correct this if I'm wrong) but with lower than 17k /contract drawdowns. And that is fantastic performance but not scalable... Handelssystem.net system trades on 30 min bars, probably it is capable of trading >100 contracts.
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You call me schizophrenic? I wonder what gives you the right to call me names, pompous clown kid? And no, I don't claim to be profitable every single day (I think there's written evidence on ET that I'm not), makes me wonder who is phantasizing here. Nevertheless, mind you I'm a scalper and tend to do over 50RT/day. If I have a couple of losing days within a short timeframe, it probably means my strategy's dead.

And talking of Mark's strategy being "not scalable" - Why not? And how "scalable" is your "handelssystem" ? So you can really do 100 contracts on that system, with NO SLIPPAGE? Have another look at the average depth on DAX... :D

Apart from that, I don't think even Mark is doing $80K per contract per year. That would be $800K on 10 cars, namely $3,330/day AVERAGE IF you did 240 days per year - Possible, but tough, probably even for Mark. And you think your "handelssystem" beats Mark, as an active scalper??? LMAO!

But you're certainly right, neither Mark nor me have these kind of massive drawdowns - a great advantage of scalping. Something you, as a little loudmouth system piker, will never have. You should go and do your homework better.

Get off my case, grow up & get a life. Good Luck!
 
Quote from Baruch:

Do you trade the Dax?
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Yeah, started doing the DAX only recently. Kind of by accident, really. I was basically a bit fed up with the range on ES, and saw a lot of scalping edges melt because of "silly ranging no-move modes" and trends, as they're back a bit lately. Basically, the intraday range on ES (~12 pts or so) is too narrow for really good and fast moves. So I started looking for other instruments with larger daily ranges, to get my R:R's back up.

First, I looked at the Australian SPI Futures. Yes, easy to trade, but man, if you think watching paint dry is boring - Try the SPI... :D

Then I looked at the Hong Kong Futures. If there is something like an extreme opposite to the SPI, the HKFE is exactly that. This index is basically undescribable. Moves 20 points in 1 minute one way, then moves something like 60 points the other way the next 30 seconds. Fair dinkum. After trading it in the simulator for about half an hour, I was down, I think $14,600 or sth like that. Ah well. Nice try. :eek:

Then, a very good trading friend recommended DAX, and I was a bit reluctant, having to learn a completely new market etc bla bla, not to mention all the hear-say's of "DAX is dangerous", "killer", etc. Well, I gave it a shot myself, and I'm absolutely gobsmacked. The intraday range is somewhere around 80-90 pts, you can get good bits out of 5-20pt moves just scalping, all the time. That's the equivalent of ~2.5-10 pts on ES - More like wishful thinking on the ES, really. But then, performance bond is much higher.

Now I'm realizing that DAX is so much better and more profitable. The final interest was actually really triggered by the pro-DAX arguments in Mark Oryhon's DAX journal, since he's a scalper, too (fantastic journal by the way, Mark - thanks a lot!)

Other reasons are time-zoning. I'm getting sick of staying up 10:30pm - 5am every morning (I left Frankfurt 3+ yrs ago and live in Australia now) - Now I can trade the DAX from 3:50pm afternoon till ~7pm, settle back a bit, then trade both DAX and ES again for the US open (which is 10:30pm over here!), then trade opening 1.5h till around 12pm and then go to bed! ES isn't worth it for the rest of the day, anyway. Sure, post-bond closing hour is nice - but do I want to stay up all night for that??? No.

This way, I get to actually get out of Dracula mode, see sunshine, can get out during the day, and get two really good volatile opening sessions in the late arvo and night. A few weeks ago, I was still considering BUYING that IOM seat with CME, now there's no doubt it's a silly idea. Not only that CME won't be my only vehicle, but with Eurex coming to the US, this is a questionable move anyway.

Well, never thought I'd say that, but I love the DAX. I trade with a handful of charts, namely DAX, GBL, ESTX50, CAC40, later on in the day I add ES and US indices as required. My Euro trading media are 1. DAX, 2. GBL 3. ESTX50. I never trade the CAC, and very often I have 'scissors' on DAX & GBL, i.e. fire a short on GBL when I'm long DAX - I find this is often a good directional 'insurance' against missing a move if either market seems a little stronger in volume pressure, because once one of them starts moving, it can go very fast, and if either clearly fails, I can then often take them both off, with less of a loss. Again - Just personal trick / preference. How do you trade?

Warmest Regards,
Scientist.
 

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Scientist,
Thanks for your insights on the Dax. I scalp too (although with many ups and downs)and since reading you and Mark have gained more confidence in what I am trying to do.
 
Thanks for the Handelssysteme link. Nicely profitable strategy! Looks like an intraday trendfollowing strategy with a profit target and stop loss. No trades before 9:30am Central European and exit all trades at 6pm. About 40% of the trades are profitable with winners almost twice as large as losers. The €25 slippage and commission is a fair estimate. Average holding period is about 3 hours.

Those plateaus and ramps in the equity curve are strange and raise questions. The FESX equity curve looks more realistic.

The DAX strategy is currently (as of the end of March -- the most recent results shown) in the longest drawdown ever. Is this a case of real time trading not living up to the hypothetical backtesting? With the huge number of trades (lots of statistics) I would expect the system to be pretty robust.

Why are the most recent results as of March? What happened since then?? A stale performance history leads a cynical person to think the recent results might be bad.

Does anyone know anything more about the strategy? Perhaps someone that can understand the German at the website?
 
Quote from Scientist:

Well, that's all very nice, but have you had a look at the "settings" page? $0 slippage... On the DAX - ROFL!!!

I look at that system front-to-end and it's pretty clear that it's been tweaked & optimized here and there - Particularly evident from the diminishing annual returns. It's easy to make lots of $ on an optimized system in hindsight. But come on, brother, show me the guy who traded this system from the actual beginning of the tested data and made that money!
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Even though the slippage amount is $0, the commission amount is set to $25 per contract -- pretty high. I think the combined transaction costs (slippage plus commission) is a pretty fair estimate.

A large part of the diminishing annual returns from 2000 on is due to the drop in the value and volatility of the DAX. In 2000 the Dax was at 8000 and 200 point moves in a day weren't uncommon. With the Dax at 3000 in 2002, 200 point moves were much less common. The Handelssyteme strategy was backtested using a single contract and, if the strategy catches some percent of the daily range on average, then, even if the strategy stayed consistently profitable, it will be making less total Euros with the market at a lower level. (A fairer backtest would take a position size inversely proportional to the Dax level -- larger positions at lower market levels -- to avoid this misleading tendency.)

I agree that I would like to see how much of their history (if any) is actual results and how much is hypothetical. The company manages accounts for people who don't have the time to take the signals. How have these clients done?? They should post the results. In the US I think the NFA would require it.
 
Mark:
How many people would be interested in a news service(live) for the european markets and a squawk box(live commentary over the Internet) for the DAX?
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Oh yes! Great idea Mark, you are really helpful. I'm printing out your whole thread on Dax.
The only question is whether there will be enough traders to make it viable?
 
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