Empirical evidence in financial markets suggests that investors and fund managers use combinations of fixed and switching strategies based on various fundamental and technical analysis when making complicated investment decisions. By estimating a simple asset pricing model of heterogeneous agents to characterize the power-law behavior the DAX 30 from 1975 to 2007, we show that the market is dominated by the adaptive investors who constantly switch between the fundamental and trend following strategies, though there are about 30% of investors who never change their strategies over the time. By conducting econometric analysis via Monte Carlo simulations, we show that the autocorrelation patterns, the estimates of the power-law decay indices, (FI)GARCH parameters, and tail index of the model match closely the corresponding estimates for the DAX 30. The results provide further evidence on the explanatory power of heterogeneous agent models.