Extracted algorithm research record
DAX P Daily Strategy
A hybrid strategy with mean-reversion on the long side and trend-following on the short side, using ATR-based stops and fixed percentage profit targets.
Source & extraction context
Evidence label: backtest_shown (source claim, not independent verification). Recorded completeness: 80.0/100. Neither is a performance result.
Names identify source records. Inclusion is not an endorsement or a claim of authorship, ownership or reuse permission. Check the source license before reusing any implementation.
Extraction warnings
Build warnings
- DAILY_LOW_COUNT: daily-or-slower timeframe on a single instrument. Expect well under 100 trades in five years, so a backtest will rarely reach statistical significance on its own.
Recorded market & execution profile
- Recorded markets
- ^GDAXI
- Recorded timeframes
- 1d
- Recorded sessions
- Not specified
- Recorded regime
- any
Recorded indicators & parameters
| Indicator | Parameters | Applied to |
|---|---|---|
| Stochastic | {"k": 5, "period": 12} | close |
| AVERAGE | {"period": 20, "smoothing": 8} | close |
| AVERAGE | {"period": 95, "smoothing": 2} | close |
| RSI | {"period": 12} | close |
Extracted strategy rules
Recorded long-entry rules
- NOT LONGONMARKET AND Stochastic[12,5](close) < 29
Recorded short-entry rules
- NOT SHORTONMARKET AND (AVERAGE[20, 8](close) CROSSES UNDER AVERAGE[95, 2](close) AND RSI[12] > 70)
Recorded exit rules
- BuyCondition AND NOT SellCondition THEN BUY AT MARKET, SET STOP LOSS (1.5 * AVERAGETRUERANGE[13]), SET TARGET %PROFIT (3.7)
- SellCondition AND NOT BuyCondition THEN SELLSHORT AT MARKET, SET STOP LOSS (2.3 * AVERAGETRUERANGE[8]), SET TARGET %PROFIT (8.3)
Recorded filters
- Not specified in the extracted record.
- Stop loss
- 1.5 times the 13-period ATR for longs, 2.3 times the 8-period ATR for shorts
- Take profit
- 3.7% for longs, 8.3% for shorts
- Position sizing
- Not specified
Questions about this record
What entry rules are recorded for DAX P Daily Strategy?
Long: NOT LONGONMARKET AND Stochastic[12,5](close) < 29 Short: NOT SHORTONMARKET AND (AVERAGE[20, 8](close) CROSSES UNDER AVERAGE[95, 2](close) AND RSI[12] > 70) These are unverified extracted rules.
Which markets and timeframes are recorded?
Markets: ^GDAXI. Timeframes: 1d. These are source-recorded labels, not verified execution behavior.