Having just read through some of the posts I can see this system is not a mean reversion pair trade, but a simple automated momentum capturing trade based on the idea that at 9:15am markets have usually started up high/flat and fading during the morning, or start low/flat and rising. The Long DAX (Stop entry-X, Limit entry+2X) and Short CAC (Stop entry+Y, Limit entry-2Y) will win as long as DAX/CAC are highly correlated and the momentum of the market is steady in one direction through the morning/day. The hope being you get stopped on one for -X but win the other for +2X, net +1X. Of course if the market wipsaws you out of both you lose -2X, hence risk:reward of 2:1.
Now there are a number of variables to hurt this system:
1) If DAX/CAC are not very correlated some days, but that could also help in reverse some days when they mean-revert over the long run.
2) Wipsawing market is the real big affect, and I would say that affect is not very quantifiable.
Given 2) is not very easy to measure, I would question the stated performance of 76% win rate, as that is purely based on one set of historical figures. If that win rate is off by just 10% (ie.66%) then your system is back to only breakeven. Also with a risk:reward of 2:1 if you get a run of mostly losers your account is hit big time, that is the problem with a 2:1 risk:reward system, hence most people try for 1:2 or better...
Anyway, that's my evaluation, not sure it helps, but in summary I think you may find some of you will be lucky winners in the long run, and some may hit losing runs with big drawdowns.
good luck!