Unger Academy (formerly Skilled Academy) began at the beginning of November 2015 with a webinar that showed, step-by-step, the development of a trading strategy. The chosen market was the Dax Futures Contract and the goal of the strategy was to get on board a potential intra-day trend starting within the first couple of hours in the morning, specifically during the second hour of trading, entering with a breakout of levels which had been found based on the range of the first hour. Trading was restricted when there was extreme directional movement in the prior day. This filter created an improvement in the quality of the trades without ruining the basic idea of the system.

The system bases its logic on the concept of the Opening Range Breakout as well as on specific characteristics of the Dax. The time window in which orders are placed is the second hour of trading in the futures contract but the first of the actual, underlying stock market: this asymmetry creates the edge because the futures have time to create setups before the stock market opens and leads the way.

Aside from the concepts at the heart of the driving force of this system, the obvious question that comes to mind is, “How has the system been performing since its presentation?”.

To answer this question, let’s look at Figure 1. The red, vertical line represents the approximate moment in which we were about to present the system (the results are net of 30 Euros in transaction costs per trade):

Fig. 1 Equity Line & DrawDown from 1/01/2007

As we can see the Out Of Sample movement doesn’t vary at all when compared to the previous market dynamics.

We can carry out a more thorough analysis by studying the yearly earnings of the system, shown in Figure 2:

Fig. 2 Annual gains of the strategy

Although 2016 wasn’t a year that one would define as brilliant by any means, the strategy still showed positive returns.

On closer inspection of the annual results, we can see that there is a seasonal tendency for a year with relatively smaller gains. This occurs roughly every 3 years and, as a matter of fact, the years with smaller gains were 2007, 2010, 2013 and 2016. After every lower performing year, there were 2 with decisively larger gains. This gives us hope for 2017 and 2018. Especially as 2017 has had such a strong start within the first month!

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Categories: Trading Systems

Andrea Unger

Known as the only 4-Time Trading World Champion (2008, 2009, 2010, and 2012), Andrea Unger is a full-time professional trader since 2001 and honorary member of SIAT (Italian Society of Technical Analysis, a branch of IFTA). Appreciated author, he is often invited as a speaker all around the world.

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