Statistical Alpha Portfolio

Statistical Alpha Portfolio

This signal combines three quantitative trading strategies into an automated portfolio approach, based on statistically proven market anomalies – developed according to the methods of André Stagge.

Two instruments are traded: the German leading index DAX (GER40) and Gold (XAUUSD). Each strategy is independent and uncorrelated to the others, reducing the overall portfolio risk.

The three strategies:

The first strategy uses a proprietary scorecard of more than 15 seasonal and technical factors – including earnings season, the Halloween effect, the presidential cycle and FED days – to determine daily whether and in which direction to trade the DAX. Entry is based on a morning breakout between 09:00 and 10:00 CET.

The second strategy is the Friday Gold Rush – a weekly long strategy on Gold that exploits the statistically proven positive weekend bias in Gold prices.

The third strategy is the Turnaround Tuesday on the DAX – in bear markets, a long position is opened on Monday evening and closed on Wednesday morning, based on the well-known Tuesday recovery effect.

Risk management: Every trade is automatically protected by a stop loss. Lot sizing is risk-based as a percentage of the account balance – risk automatically scales with account size.

The portfolio is designed to be expandable – additional strategies can be added at any time. The starting balance can be chosen individually, as all strategies scale proportionally to account size.