What is Multidax?

Multidax is an algorithmic and automatic trading system of DAX Share Index Futures (the Deutscher Aktien Index measures the development of the 30 largest and best-performing companies on the German equities market and represents around 80% of the market capital authorized in Germany ).

The option for negotiate FDAX (DAX futures) is based on the following assumptions:

1. Better predictability, since the volatility of equity index should be lower than that of a subset of companies chosen randomly, so that their progress will be more disciplined.

2. Low Bid-Ask spread of FDAX, which in much of the time lies in ½-point, a consequence of their relative liquidity (nearly 150,000 contracts per day).

3. Low commissions cost on transactions (about 2 € per contract).

4. Possibility of betting on both sides of the market and ease the reversal of positions.

5. Possibility of capital leveraging until 10 times (I totally advise against doing so) taking into account that the maximum margins required during the overnight are around 10% of responsibilities.

6. Lack of foreign exchange risk (to eurozone residentes).

7. Extended trading period from 7:00 GMT to 21:00 GMT, allowing follow all of the trading in the United States.

Multidax was created in 2004 and progressed steadily until 2010 incorporating the various phases of the market, Bull and Bear with periods of low and high volatility.

The algorithm was developed using data mining on 1 minute bars stored in Oracle database tables containing millions of lines of data.

In order to test some unconventional strategies I needed to develop a specific program for prototyping and backtesting. The algorithm was developed taking into account not only the maximization of profitability but not least, also risks reducion  and transaction costs associated.

From 2006 began the development of automated trading platform and monitoring (ATrader - Automatic or Algorithmic Trader).

ATrader is connected to an online brokerage, follows the market, performs the calculations defined by the default algorithm and thoroughly tested, automatically generate and sell orders, receive confirmations and generates all the information for monitoring and reporting, making it locally and remotely.