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The ACD Method
Purchased, read and have traded this method developed by Mark B. Fisher from his book titled: The Logical Trader: Applying a Method to the Madness.
It made since to me which is why I use it to trade with. Wasn't very successful though, but I believe this is due to several factors: (1) my broker - not having the time to trade the way the method is suppose to; (2) I think he has too many accounts to follow, (3) he was more interested in trading the ES market and I tend to follow the grains.
Any body else use it or know of it? Successful or not? Thoughts about the method?
I'm thinking I might have better result if I make my own trading decisions and begin trading online.
Thanks.
Re: The ACD Method
I don't see how this could work with a broker. You pretty much have to watch it, I don't see how someone could do that while maintaining other accounts.
Get yourself an account at IB and paper trade it for a month and see how you do.
cunparis
Thanks for your reply.
I have been trading the method on paper for two years and have about a 70% success rate (100% is better of course, but no method is 100% successful every day) with it. So when I went to trade it live through a brokerage firm I noticed that the IB that the brokerage firm introduced me to wasn't achieving the same level of success as I had been achieving trading on paper on my own. As a result my trading account funds now is extremely low and have halted trading all together while I regroup.
I looked up IB on the internet, and I don't have the account minimum to open an account due to the above, so I am sort of stuck on that front.
I believe the method works, but since I work full time I don't have the time to watch and trade as the method requires, again sort of stuck there too.
Thoughts, ideas and suggestions are always appreciated.
ACD is my favorite, i have been using it for the last 10 months. It takes awhile to get used to it and understand all the layers that fisher talks about. However it is by far the best trading method i have come across. ACD works better if you use it on the markets that fishers firm uses it on. However one thing i noticed is that when the signals occur you have to take them and follow the method to a t. I have read the book at least 5 times and learn something new everytime. The thing is that you have to learn 1 thing completely and then go after the next and so forth. It is built upon layers and to understand all the layers does take some time. plan at least 6 months to get good at it.
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bob sehat
does anyone or would anyone care to discuss the order flow
and slippage that the followers of this method cause
on a daily basis with their nonsense ?
( of course it is not nonsense but if blindly following the method causes price to run amok like then the only way to fade it is using this )
www.scenta.co.uk/_db/_images/green_shoots140.jpg
and to enlist the powers of this gentleman who does not like to see retail specs get creamed by the funds using OPM
www.youtube.com/watch?v=s1C8d2qZrbA&feature=related
Quote from dirkd:
ACD is my favorite, i have been using it for the last 10 months. It takes awhile to get used to it and understand all the layers that fisher talks about.
ACD works great with CL but CL is not something you want to start with when learning ACD. The opening range is 45 minutes with an A value of .08 cents and a C value of .13 cents. I would simtrade CL if thats what you want to trade for at least 2 months. Then keep reading the book as you will need to read it at least 5 times. ACD is just the beginning you have to understand the other layers fisher talks about to really use his system the way it was designed.
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bob sehat
Quote from dirkd:
ACD works great with CL but CL is not something you want to start with when learning ACD. The opening range is 45 minutes with an A value of .08 cents and a C value of .13 cents. I would simtrade CL if thats what you want to trade for at least 2 months. Then keep reading the book as you will need to read it at least 5 times. ACD is just the beginning you have to understand the other layers fisher talks about to really use his system the way it was designed.
when it comes to the OR(opening Range) fisher updates his numbers every now and then so i think when the book was written it was as the appendix sais but now it has been changed to the 45 minutes. The A & C values are current and should not be messed around with. Stick to learning the basics of ACD and keep adding layers after you understand them. ACD only works when you have knowledge of all the layers, that is the key. Until you have an understanding of every indicator you will have many false signals and won't be able to understand why you got stopped out. I rarely let my stops go as far as ACD dictates because i now use maybe 5-7 of fishers indicators and only when they all align do i max out my trades. It is a difficult system but one that is excellent once you have mastered it. I have spent 10 months every day working on it and i am still learning every day. Just yesterday i had my first D signal. lol. You will start to see the signs of ACD once you master the layers.
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bob sehat
Quote from dirkd:
ACD works great with CL but CL is not something you want to start with when learning ACD.
ES actually works pretty well with the ACD methodology. Fishers main markets are the energies, ES, and ZB. I think for a beginner all these markets move too fast for someone who doesnt have a strong grasp of the method. I would recommend the ZN which is basically a slower version of the ZB. The ZN doesnt follow the ACD as well but it is a good market to start off with. Once you have an understanding and have some time sim trading i would say the ES. But at that point you could really trade the ES, CL and ZB with the ACD method.
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bob sehat
Quote from dirkd:
ES actually works pretty well with the ACD methodology. Fishers main markets are the energies, ES, and ZB.
I already trade an ES system every day so it'd be very easy for me to do ACD with ES and save me from adding another market.
Very good book.
If you can find out std deviations and mean for ORs,you will find it more useful.
ES
So no one has had lots of experience with ES and ACD? I read the book once, does seem very 'logical', but slippage seems high at times. Maybe I haven't absorbed the system yet, but the breakout values he talks about often seem to reverse quite substantially in volatile markets, so unless you're highly leveraged, it would be difficult to sit and wait out so much slippage, no?
Re: ES
Quote from traderon:
So no one has had lots of experience with ES and ACD? I read the book once, does seem very 'logical', but slippage seems high at times. Maybe I haven't absorbed the system yet, but the breakout values he talks about often seem to reverse quite substantially in volatile markets, so unless you're highly leveraged, it would be difficult to sit and wait out so much slippage, no?
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: ES
Quote from Maverick74:
The ACD method works very well with index futures. You just need to fully understand what the ACD method is about.
Re: Re: Re: ES
Quote from cunparis:
Can you explain more about it? I read the book but I don't get how to calculate the ACD values.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: ES
Quote from Maverick74:
Using 20% to 25% of either a 5 or 10 day ATR is a good start for both the A and C values.
Re: Re: Re: Re: Re: ES
Quote from pwrtrdr:
Take a look at Gold today, Good pivot A' down. Only to come back up through the pivot high range.
Question is if you take the short at the A' down in half the opening range timeframe, probably around 117.00 low was only 113.00 stop was top of pivot at 119.00 area.....
Re: Re: Re: Re: Re: ES
Quote from pwrtrdr:
Take a look at Gold today, Good pivot A' down. Only to come back up through the pivot high range.
Question is if you take the short at the A' down in half the opening range timeframe, probably around 117.00 low was only 113.00 stop was top of pivot at 119.00 area.....
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Re: Re: ES
Quote from pwrtrdr:
Also, is the ATR a good proxy for profit target ?
Thanks
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I just wanted to post this for those that are interested. Thanks to FirstDegree for finding it.
http://www.youtube.com/watch?v=12Bz9nKtCBE
http://www.moneyshow.com/trademonst...48829D34F66270F
http://www.moneyshow.com/directory/...ue&scode=020331
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I am only trading ETFs . Will ACD method work with stocks, ETFs or ETNs. Thanks . If so I will buy the book. Replies much appreciated
__________________
A Candle Loses Nothing By Lighting Another Candle
Quote from osho67:
I am only trading ETFs . Will ACD method work with stocks, ETFs or ETNs. Thanks . If so I will buy the book. Replies much appreciated
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Works with everything. Stocks, bonds, commodities, ETF's, currencies.
__________________
A Candle Loses Nothing By Lighting Another Candle
Mark Fisher will be on Fast Money today fyi.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I happened to be channel surfing and ran across his interview. He's as sharp as I remember him.
Quote from osho67:
Thanks so much. I have also ordered the book.
Quote from dandxg:
If you did around Traders Laboratory someone saved presentations done by Mark. Its been awhile since I have seen them.
i want to trade SPY using ACD method. How do I get ACD values? I have to calculate opening range. And after that point A. The book does not describe this procedure. This is based on proprietary research which Mark Fisher will not share. Help much appreciated. Thanks
__________________
A Candle Loses Nothing By Lighting Another Candle
Quote from osho67:
i want to trade SPY using ACD method. How do I get ACD values? I have to calculate opening range. And after that point A. The book does not describe this procedure. This is based on proprietary research which Mark Fisher will not share. Help much appreciated. Thanks
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from osho67:
i want to trade SPY using ACD method. How do I get ACD values? I have to calculate opening range. And after that point A. The book does not describe this procedure. This is based on proprietary research which Mark Fisher will not share. Help much appreciated. Thanks
Quote from Maverick74:
The A values are not proprietary. The ACD system is all about price action. There are no secret numbers or secret values. The important thing is that you understand the ins and outs of the system and why you are choosing the values you are. ACD is volatility based, not price based. It's all about volatility and price action. That is why it's so effective.
Some general advice though. Regarding the opening range, you will want to set that time based on your trading style. If you are more a counter trend trader, you will want to use a wider opening range. If you are more a breakout trader or momentum trader, use a narrower opening range. Good luck!
__________________
A Candle Loses Nothing By Lighting Another Candle
Quote from Rodney King:
By all accounts he's an approachable guy. Drop him a line. His addresses are on the Web, mark--at--mbfcc.com or info--at--mbfcc.com
__________________
A Candle Loses Nothing By Lighting Another Candle
Quote from osho67:
Thanks. On page 12 of the book, Mark states as follows
" Based on this opening range, the A point to enter a long or short position is plotted above or below the opening range, based on set of variables. These variables are based on our own proprietary research, the process of which i wont share with you"
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from osho67:
Thanks. On page 12 of the book, Mark states as follows
" Based on this opening range, the A point to enter a long or short position is plotted above or below the opening range, based on set of variables. These variables are based on our own proprietary research, the process of which i wont share with you"
Quote from Maverick74:
Osho, look, he said primarily because they change their A values constantly. The book was written like 9 years ago. Whatever A value he could have put in the book, he would have changed them 100 times since then. Markets change and your values have to reflect that. I think he used a poor choice of words there and he admitted to me so much in person. It was never to imply it was a secret number.
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A Candle Loses Nothing By Lighting Another Candle
Quote from osho67:
I found this quote on their web page.
" A good approximation of the current "A" value for any stock, would be to take 30 day average range (h-l) and use 20-25% of this value. This is quite confusing to me .Can you help me please- where can I find h-l values for 30 days ? This much appreciated. Thanks
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Just create an excel spreadsheet. Osho, again, please don't put so much value on absolute levels, trading does not work like that unfortunately or we would all be billionaires. There is a lot of software out there that will calculate ATR's for you. In fact it is standard on just about every retail platform.
Quote from osho67:
I am only trading ETFs . Will ACD method work with stocks, ETFs or ETNs. Thanks . If so I will buy the book. Replies much appreciated
opening range and pivot range
i am studing the acd method and i have a few questions.
1) about the opening range mark says that you must find the domicile market of you what to trade to be valid. i guess for exampe when you trade usd/gbp he means the time that london stock market opens. if you trade metals or energy on nymex what is your opening range?i found that open outcry for crude oil is 9:00am est time. is it valid if i use open outcry for metals or energy i trade? i normally use the first 15 mins.(i dont know if that is correct)
2)i am also confused on how to measure the number line of 30 past days. you measure it depending where is the close. if i trade qrude and lets say i use the open outcry (9:00 am est time) where is the close? i use IB platform to trade and for the crude oil it says Regular tradinf hours is 9:30 am - 4:00 am . should i use 4:00 am as the close to cound this number line,should i use the open outcry which is 9:00 pm to 2:30 am or the end of the day at 00:00???
3)the same question i have regarding the pivot range.how do i measure it??taking acount the open outcry (9:00 am to 2:30 pm), the regular trading hours as my platform says is 09:30 am to 4:00 pm or the whole day from 00:00 to 00:00 next day???
i just mentioned crude cause i see in the forum many people trade it but the same question i also have for currencies where i dont know when is the open and the close as the trade all day....
__________________
"You were from a perfect world
A world that threw me away today
Today to run away"
Re: opening range and pivot range
Quote from tmathios:
i am studing the acd method and i have a few questions.
1) about the opening range mark says that you must find the domicile market of you what to trade to be valid. i guess for exampe when you trade usd/gbp he means the time that london stock market opens. if you trade metals or energy on nymex what is your opening range?i found that open outcry for crude oil is 9:00am est time. is it valid if i use open outcry for metals or energy i trade? i normally use the first 15 mins.(i dont know if that is correct)
2)i am also confused on how to measure the number line of 30 past days. you measure it depending where is the close. if i trade qrude and lets say i use the open outcry (9:00 am est time) where is the close? i use IB platform to trade and for the crude oil it says Regular tradinf hours is 9:30 am - 4:00 am . should i use 4:00 am as the close to cound this number line,should i use the open outcry which is 9:00 pm to 2:30 am or the end of the day at 00:00???
3)the same question i have regarding the pivot range.how do i measure it??taking acount the open outcry (9:00 am to 2:30 pm), the regular trading hours as my platform says is 09:30 am to 4:00 pm or the whole day from 00:00 to 00:00 next day???
i just mentioned crude cause i see in the forum many people trade it but the same question i also have for currencies where i dont know when is the open and the close as the trade all day....
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Maverick first of all i want to thank you for the quick and precise answer you gave me.
i also have a couple of questions for you. as Mark says to get an A up you ve got to wait half of the opening time. lets say your opening time its 15mins and your Aup for GC is 1358.15. if i have understand it correct he means that gold have to trade 1358.15 and higher for 7&half mins. if it trades for 4 mins there, then drops to 1357.90 and then after 1 min goes over 1358.15 should i have to start counting 7&half mins from the beggining?
Secondly if it starts trading 1358.15 and at the end of the 7and half mins have reached 1362 should i take the position(of course if all layers of acd method says me so) or its to high from the Aup?
And last question is about time. Mark says if you take the position and it goes nowhere for time equal to the opening range just leave it. if you go to his book at page 136 at the chart of unleaded gasoline at May 11 it says get short at Adown. if you look the 2 folllowing bars you can see that market didnt go anywhere,why he keeps his position to the next day and he doesn't get out?
thanks again for your previous answer
__________________
"You were from a perfect world
A world that threw me away today
Today to run away"
ACD gives you a bias for the remainder of the day, you still need to know how to trade.
So for your example if it gives you an A up, you wouldn't automatically get long because it could still close below that value or below the A up level but above the opening range, or within the opening range ect.. If you watch the seminar that he did, me mentions that if 30days ago the market put in an A up, closed above the opening range (using the number line), and it opens above the pivot, he might get long a little when it trades above the opening range knowing 30days ago it put an A up and closed above the opening range, you have protection of the pivot ect...thats where the layers of ACD comes in.
The question about time is Mark likes to trade when he can trap people. So if he gets into a trade and it goes nowhere, he will usually get out of some of the position because he believes the longer it just sits there the more people can take the same trade, and the herd usually gets slattered. He talks about this also in his seminar.
I'll tell you how 1 trade thats works well for me with the ES. If we have an A up, 30 days ago we had an A up that closed above the opening range (the number line tells you this). Then say coming into the close if we are trading in the opening range, I will look for a reason to get long and set my stop at the bottom of the opening range. Again it just goes back to ACD gives you a bias, but you still have to know how to trade.
Quote from tmathios:
Maverick first of all i want to thank you for the quick and precise answer you gave me.
i also have a couple of questions for you. as Mark says to get an A up you ve got to wait half of the opening time. lets say your opening time its 15mins and your Aup for GC is 1358.15. if i have understand it correct he means that gold have to trade 1358.15 and higher for 7&half mins. if it trades for 4 mins there, then drops to 1357.90 and then after 1 min goes over 1358.15 should i have to start counting 7&half mins from the beggining?
Secondly if it starts trading 1358.15 and at the end of the 7and half mins have reached 1362 should i take the position(of course if all layers of acd method says me so) or its to high from the Aup?
And last question is about time. Mark says if you take the position and it goes nowhere for time equal to the opening range just leave it. if you go to his book at page 136 at the chart of unleaded gasoline at May 11 it says get short at Adown. if you look the 2 folllowing bars you can see that market didnt go anywhere,why he keeps his position to the next day and he doesn't get out?
thanks again for your previous answer
Quote from tmathios:
Maverick first of all i want to thank you for the quick and precise answer you gave me.
i also have a couple of questions for you. as Mark says to get an A up you ve got to wait half of the opening time. lets say your opening time its 15mins and your Aup for GC is 1358.15. if i have understand it correct he means that gold have to trade 1358.15 and higher for 7&half mins. if it trades for 4 mins there, then drops to 1357.90 and then after 1 min goes over 1358.15 should i have to start counting 7&half mins from the beggining?
Secondly if it starts trading 1358.15 and at the end of the 7and half mins have reached 1362 should i take the position(of course if all layers of acd method says me so) or its to high from the Aup?
And last question is about time. Mark says if you take the position and it goes nowhere for time equal to the opening range just leave it. if you go to his book at page 136 at the chart of unleaded gasoline at May 11 it says get short at Adown. if you look the 2 folllowing bars you can see that market didnt go anywhere,why he keeps his position to the next day and he doesn't get out?
thanks again for your previous answer
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
thanks both of you for the help.
as far for the late C you said, you mean at the end of the pit trading? eg for gold 1:30 pm est time?
also i would appreciate if you can suggest me some books that i can buy regarding trading.
thanks again!
__________________
"You were from a perfect world
A world that threw me away today
Today to run away"
Quote from tmathios:
thanks both of you for the help.
as far for the late C you said, you mean at the end of the pit trading? eg for gold 1:30 pm est time?
also i would appreciate if you can suggest me some books that i can buy regarding trading.
thanks again!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
i ll check them! thanks again for your help
__________________
"You were from a perfect world
A world that threw me away today
Today to run away"
Quote from Maverick74:
Yes, the end of pit trading. Most of the stuff I would recommend is the classical old school stuff such as all three Market Wizard books. Also "Reminiscences of a Stock Operator". Other favorites are "Fooled by Randomness", "Against the Gods" and of course "The Logical Trader".
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A
HI
HOW
HELLO
HEY
HI
Z
Quote from epiktetos:
My advice is to skip all these 'story books' Maverick recommended and dig into Market Profile and watch the DOM for a few weeks(around certain times).
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
fantastic read
learned quite a bit and modeled my strategy after his. If I could thank mark fisher in person I would. Perhaps I will run into him at the borgata.
http://theopeningrange.blogspot.com/
Quote from Maverick74:
Like kingdong said (can't believe I'm saying that), you have to be able to trade first and foremost. ACD is not a red light/green light system and that is where people struggle with it. ACD to me works best for price action traders and tape readers because ACD is all about price action.
So take gold for example, if I'm trading gold, I'm also watching the euro, oil, spoos and silver. I'm also watching the ACD on those products and what they are doing. Are the spoos strong? Are commodities strong, are they confirming A ups? Is silver stronger then gold? If so why? What are the macro signals, is Gold trending up, has it been sluggish? How is it responding to news?
All these things are very important. As far as the ACD details, ACD is about three things, time, price and volatility. If Gold is making an A up, it doesn't need to stay above the A up for half the OR time, I would like to see it there at the end of the time period. And again, even if it confirms I may not take the long. Because it really depends on how price is acting. This is why you need to be a good trader. You can't just buy it there. You have to look at all the other factors I mentioned above.
As far as the C down. Mark would do those late day C down trades and hold them overnight expecting a gap the next day. This is usually a good trade because it's usually a market reversal day. When you get a really good strong signal and the market is strong all day then late in the day, rolls over, makes a new low and closes below the C down. There are a lot of longs trapped that were buying the dip late in the day that got stuck and now need to get out. They are hoping the uptrend resumes the next day. If it doesn't, then they need to get out fast. That is usually a good overnight trade. Again, though with everything else, you need to look at all the other factors. ACD is not a magic formula. But if you are a price action trader, there is nothing better out there because it captures the three dimensions of trading perfectly (time, price and volatility).
I more or less discuss the acd method in my blog...I use two of his indicators opening range/pivot and trade off of it.
I finally was able to grasp markets after reading fisher's logical trader...
I attempt to solidify the idea in my blog...opening range theory etc...
http://theopeningrange.blogspot.com/
Re: fantastic read
Quote from red2893:
If I could thank mark fisher in person I would. Perhaps I will run into him at the borgata
Quote from red2893:
I more or less discuss the acd method in my blog...I use two of his indicators opening range/pivot and trade off of it.
I finally was able to grasp markets after reading fisher's logical trader...
I attempt to solidify the idea in my blog...opening range theory etc...
http://theopeningrange.blogspot.com/
Has anyone noticed and resolved how to deal with this challenge on ACD?
Has anyone noticed that is trading ACD, the issue of what to do when a significant narrow range day gets taken before the opening range is even set? It makes for a confusing dilemma. Which gets priority? I am finding the one which triggers first, since both are valid in volatility trading. Take the ES for example today. Per Mark's video, you would use the stock market open 9:30-9:50 ET and then 3.5 above that but high of the previous day already triggered a long off the NR7 breakout. I have seen this in other markets as well
I guess it comes down to which S/R is more relevant at what time?
Does anyone clear through fishers firm, MBF? I plan on going to NYC next month to meet with some people at the nymex about leasing a membership and also in search off a clearing firm, I was planning on contacting MBF. I know all you need to open an account with them is 100k plus data/cqg or tt...are all their traders (that don't do marks prop stuff) just remote, or do they have an office/trading room that all their guys trade from? I'll be contacting the firm, but I'm just curious if anyone has done business with them and has some feedback?
As for ACD, the opening range time value really is irrelevant, in my opinion. If you understand the concept of ACD and volatility, you can really use any opening range or A value. For example, last night, I was bullish on nat gas(I thought we would be getting an upside breakout). So I was watching the mkt around 8pmCT (Asia opening). I just used the high low from 7-8 pm, then used 10 ticks plus or minus to give me some A values...the low from that time period was also the low of the day, and because I was bullish, I just put on the trade with a stop under my low opening range low, also looking to add if we made an Aup...that trade put me in like a 12 tick stop, so I "doubled down"...I'm thinking nat gas was going to make a big move, so if I can get a 15 tick stop, time to "maximize size", so I bought 6, the position kinda started working and just still to the next 6 hours, and over that time I just added 4, with the same stop...I'm risking 10-15 to catch a 100 tick move (you have to take that bet). The market didn't go my way, trading opened NYc trade with an OR above my stop then fell through, I still got out, took a 10 tick stop, but the mkt proceeded to fall 150 points....if I had balls I should have flipped short on mg stop, with a stop over my opening range from that night, but I hit my daily loss limit and I don't want to sell nat gas cause I'm bullish on it long term...but the concept of ACD always gets you into good trades or minimizes your risk if your wrong, if I would have flipped and got short, that's a C down with a 15 tick stop and potential profit of 150 ticks...why I didn't take the trade, that's my disciple problem, not acd not working (or not knowing what the a value should be...)
You can really use any time period that has high volatility ( or a big order being filled), then just use that as your "opening range" value, then create some a and c values around that...just think about it, someone is aggressively going to the mkt to fill a large order, if the mkt is going to trend in that direction and he's looking to buy more, the mkt should not trade the other side of that "opening range" without turning bias the other way. It's such a simple concept yet overlooked by 99% of the ppl in the market. I know when I'm trading on cqg and bored, and just need my fix, I'll just take the high low of any given period and create an A C D value around it to trade a breakout...this is a terrible trade cause I'm just trading to trade, but the method of understanding volatility and acd works to get you in and place your stop...
His page on "good news bad action" is probably one of the best concepts in the book as well...
Quote from jsmooth:
You can really use any time period that has high volatility ( or a big order being filled), then just use that as your "opening range" value, then create some a and c values around that...just think about it, someone is aggressively going to the mkt to fill a large order, if the mkt is going to trend in that direction and he's looking to buy more, the mkt should not trade the other side of that "opening range" without turning bias the other way. It's such a simple concept yet overlooked by 99% of the ppl in the market. I know when I'm trading on cqg and bored, and just need my fix, I'll just take the high low of any given period and create an A C D value around it to trade a breakout...this is a terrible trade cause I'm just trading to trade, but the method of understanding volatility and acd works to get you in and place your stop...
His page on "good news bad action" is probably one of the best concepts in the book as well...
Quote from jsmooth:
Does anyone clear through fishers firm, MBF? I plan on going to NYC next month to meet with some people at the nymex about leasing a membership and also in search off a clearing firm, I was planning on contacting MBF. I know all you need to open an account with them is 100k plus data/cqg or tt...are all their traders (that don't do marks prop stuff) just remote, or do they have an office/trading room that all their guys trade from? I'll be contacting the firm, but I'm just curious if anyone has done business with them and has some feedback?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from jsmooth:
You can really use any time period that has high volatility ( or a big order being filled), then just use that as your "opening range" value, then create some a and c values around that...just think about it, someone is aggressively going to the mkt to fill a large order, if the mkt is going to trend in that direction and he's looking to buy more, the mkt should not trade the other side of that "opening range" without turning bias the other way. It's such a simple concept yet overlooked by 99% of the ppl in the market. I know when I'm trading on cqg and bored, and just need my fix, I'll just take the high low of any given period and create an A C D value around it to trade a breakout...this is a terrible trade cause I'm just trading to trade, but the method of understanding volatility and acd works to get you in and place your stop...
His page on "good news bad action" is probably one of the best concepts in the book as well...
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Mav, yea I'll email you, let's grab a beer in the next week or so, I was in the process of moving last time I emailed you then was without trading and basically Internet for like 2 months, I'll shoot you an email next week we'll have to chat. _
As for acd...I usually spend a few hours Friday after close to go over all my stock trades for the week, which I'll use acd...the one thing that is probably SO important and highly overlooked is how mark talks about position sizing depending on the commodity or stock - the dollar risk $. _Mav, or anyone else, do you have any formulas that you've come up with to create these $risk values for stocks/commodities? _I'll trade acd with a basket of like 15 stock, and I'll usually just try to find trades that give me a 15-30 cent stop and trade em in 1000 share blocks, then add 1000, 500 if the position works...thing is though, I'll get killed when I trade a stock like GS or AAPL, compared to a ABT, X, BP, CVX...i never know how to position size all the positions.
Also, if your trading stocks, or SPY (which I'll trade in 1500 share blocks during the day, I'll use the opening range of 730amCT (about 10 mins), with a 25 cent A, and .05 C...I'll use 730 because that is pretty much when all the numbers/news come out, so you see a nice reaction to the news right at 730...I'll more or less just watch the mkt closely when the number comes out and wait till the market settles and cools down to give it a OR high/low to use...so basically my day for SP's will always open at 730. _
There was a nice setup using that OR today...mkt was week, down 6 PTS all night, then firming up and going into 730 number trading around .15....730 number came out we, which was ok, mkt started trading up around .20-.25...then cooled off around 745...you could easily use that 15-20 high low OR to get you in and mark some A C values.
Same thing with BP when that stock spiked on the news today...I used that value, was like 4755-4825...first few minutes of that initial buying to give yourself a range to trade, went long at 48.30, with a stop under 4750 and limit _over 49+...I wish BP would have sold off on the news, I would be flipping and going short x3 size if it feel below 4750 (c down on high vol)...
Position sizing fucked me on that BP trade though, cause I got in small, cause my initial risk was so wide, but in reality, even if I would have got in with bigger size I would have used, more or less, time to get me out if the position never started to work for me right away. _So I cut my size big, and immediately got a move to my initial target of 4950 (just a round #, after we broke through offers at 4900), then just getting out at mkt when we went 4950 offer on big size and no buyers up there, stopped out at 4938 after a failure at 50, then lower high on a test of that around 45bid. _
Position sizing on that trade cost me a lot of money on that trade.
Same thing with GS all week...got chopped up Monday to Wednesday playing GS with 500 share lots, then after getting stopped out towards the low on 1000 shares I flipped long but with only 200 at 171.55 (buy stop above yr OR) and now still holding 500 today (kept buying on today's trend day-into earnings next week)...I'm long 500, I should be long, if my discipline was right, I should be long 3000+ looking to sell into Tuesdays gap up and into earnings, holding some through the news with a stop at b/e...
Quote from jsmooth:
Same thing with BP when that stock spiked on the news today...I used that value, was like 4755-4825...first few minutes of that initial buying to give yourself a range to trade, went long at 48.30, with a stop under 4750 and limit _over 49+...I wish BP would have sold off on the news, I would be flipping and going short x3 size if it feel below 4750 (c down on high vol)...
MBF
[QUOTE]Quote from jsmooth:
[B]Does anyone clear through fishers firm, MBF? I plan on going to NYC next month to meet with some people at the nymex about leasing a membership and also in search off a clearing firm, I was planning on contacting MBF. I know all you need to open an account with them is 100k plus data/cqg or tt...are all their traders (that don't do marks prop stuff) just remote, or do they have an office/trading room that all their guys trade from? I'll be contacting the firm, but I'm just curious if anyone has done business with them and has some feedback?
I cleared through MBF some years as a floor trader, and was associated with them as a prop trader. To my knowledge, what you've heard here so far is right - there's the NYC office, Hewlett in Long Island, and a Miami Beach office. I'm not sure of the exact number, but would guess they peaked at around 50 prop traders in the 2000's, and have been cutting it back in recent years.
Mark is a great trader, also very talented businessman, and all round colorful character. MBF is 100% legit, will perform on any deal they make, and used to be a good environment for prop traders. I believe Mark used to back traders with a variety of approaches, monitor their risk closely and let them do their thing. MBF was not a place to be if you were looking for direction - not sure they ever produced too many winning off-floor prop traders using acd method.
I understand they've been focusing on their hedge fund, and continue to reduce prop trading, but it's certainly worth investigating. Good luck.
Per Mark's website (trial subscription) the Opening Range for CL is 45 minutes starting at 8:30 am ET (yes, before pit open) and A value is still .08 an C is .13
you had a slam dunk short sell stop limit below the day (and month OR) in LVS today at the 4714 level, I was watching it and when it broke below that level it broke so fast I couldn't get it in on my orders. Not sure if LVS had made an "official A up" but it opened up, with nice volume, then volume feel, and then collapsed through that day and year OR. I would consider that a nice C down setup. That's probably the easiest ACD setup to take...get an OR value for a stock, note the yr/mm/wk OR then look for an A up (or down), then place some sell short limit orders below the Or with a time stop also...if u don't see an immediate move, get out.
INFJ, where do u ex floor guys go to trade? I worked with a cbot ag floor guy during the commodity boom a few years back, by he left the floor cause of the volatility and risk him and his team was taking on...he tried trading the screen after that and just gave up after a few months and retired. I went to an equity prop, more or less a bucket shop, with all pikers and gamblers...it was pretty much a waste of 8 months...I'm going to lease a seat, and would just goto the floor and sp pits with 100k, but with no volume and everything going electronic, where do all the future prop guys go? I've had an office over the past year, but I hate working by myself, I want to be surrounded by other traders that are serious about market making and trading. If there was any volume left in the big spooz pit i'd just head down there? But I don't want just be the guy that's trading 2 lots and just hitting the BxA all day.
Where do u ex floor guys go to trade?
Quote from jsmooth:
INFJ, where do u ex floor guys go to trade? I worked with a cbot ag floor guy during the commodity boom a few years back, by he left the floor cause of the volatility and risk him and his team was taking on...he tried trading the screen after that and just gave up after a few months and retired. I went to an equity prop, more or less a bucket shop, with all pikers and gamblers...it was pretty much a waste of 8 months...I'm going to lease a seat, and would just goto the floor and sp pits with 100k, but with no volume and everything going electronic, where do all the future prop guys go? I've had an office over the past year, but I hate working by myself, I want to be surrounded by other traders that are serious about market making and trading. If there was any volume left in the big spooz pit i'd just head down there? But I don't want just be the guy that's trading 2 lots and just hitting the BxA all day.
Where do u ex floor guys go to trade?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Too keep this acd discussion going, you may want to look into this setup...the past month, with the markets just inching higher each day (and not really any range expansion). _Breakout strategies, acd- a up type setups - aren't really working. _I've been doing this and it's been quite effective to buying dips and adding to them for a 2-3 day swing trade. _Find a stock...note the opening for the year/month, week, day and fishers pivot point formula. _Find a stock that's sold off and it's trading near/above the year (and month) opening price...the next trading day, this level should serve as a long term support to put this on....let the stock open, note the opening print and the days PP (and pivot high-low). _You want the stock to open down from the OR, but not trade below the year/month opening level (or if it does, trade below and have a failed a down type action. _If that happens note the current days low and place buy limit orders above the mkt right above the days opening range and pivot point (which should be just above the day OR value)...if you get hit place a stop below the days low or a mental stop if it makes an a down. _If it makes an a up, start adding to the long and moving stop below the days opening price. _You would be surprised how effect this trade works in this type of market especially with a stock that has earnings, trades down, but rebounds mid day. _It works even better if you can find a play with a nice tight pivot, cause you can expect increased volatility for the day and it will turn into a trend day cause all the late shorts are getting caught selling short into the low. _
I played this action in DNDN yesterday, getting long on buy stops at 3513...take a look at the chart and note the values it will give you a good picture of the setup.
Quote from jsmooth:
Too keep this acd discussion going, you may want to look into this setup...the past month, with the markets just inching higher each day (and not really any range expansion). _Breakout strategies, acd- a up type setups - aren't really working. _I've been doing this and it's been quite effective to buying dips and adding to them for a 2-3 day swing trade. _Find a stock...note the opening for the year/month, week, day and fishers pivot point formula. _Find a stock that's sold off and it's trading near/above the year (and month) opening price...the next trading day, this level should serve as a long term support to put this on....let the stock open, note the opening print and the days PP (and pivot high-low). _You want the stock to open down from the OR, but not trade below the year/month opening level (or if it does, trade below and have a failed a down type action. _If that happens note the current days low and place buy limit orders above the mkt right above the days opening range and pivot point (which should be just above the day OR value)...if you get hit place a stop below the days low or a mental stop if it makes an a down. _If it makes an a up, start adding to the long and moving stop below the days opening price. _You would be surprised how effect this trade works in this type of market especially with a stock that has earnings, trades down, but rebounds mid day. _It works even better if you can find a play with a nice tight pivot, cause you can expect increased volatility for the day and it will turn into a trend day cause all the late shorts are getting caught selling short into the low. _
I played this action in DNDN yesterday, getting long on buy stops at 3513...take a look at the chart and note the values it will give you a good picture of the setup.
Quote from jsmooth:
Too keep this acd discussion going, you may want to look into this setup...the past month, with the markets just inching higher each day (and not really any range expansion). _Breakout strategies, acd- a up type setups - aren't really working. _I've been doing this and it's been quite effective to buying dips and adding to them for a 2-3 day swing trade. _Find a stock...note the opening for the year/month, week, day and fishers pivot point formula. _Find a stock that's sold off and it's trading near/above the year (and month) opening price...the next trading day, this level should serve as a long term support to put this on....let the stock open, note the opening print and the days PP (and pivot high-low). _You want the stock to open down from the OR, but not trade below the year/month opening level (or if it does, trade below and have a failed a down type action. _If that happens note the current days low and place buy limit orders above the mkt right above the days opening range and pivot point (which should be just above the day OR value)...if you get hit place a stop below the days low or a mental stop if it makes an a down. _If it makes an a up, start adding to the long and moving stop below the days opening price. _You would be surprised how effect this trade works in this type of market especially with a stock that has earnings, trades down, but rebounds mid day. _It works even better if you can find a play with a nice tight pivot, cause you can expect increased volatility for the day and it will turn into a trend day cause all the late shorts are getting caught selling short into the low. _
I played this action in DNDN yesterday, getting long on buy stops at 3513...take a look at the chart and note the values it will give you a good picture of the setup.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
today was a perfect example of opening range breakdown you were either short biased or got your ass stopped out. Not cherry picking but this is the kind of trend you want to ride to make up for the chop.
spy ten minute
ACD and EOD data
Question for ACD folks: Can one use the ACD methodology using strictly end of day data?
TIA for your input.
Great thread by the way, I've read it through numerous times and gotten some great info.
My question relates to OR, I used it a couple years ago when I traded Naz stocks in University and it was pretty cut and dry with market open/close times to determine a timeframe that works well for you.
I've been trading Nat-Gas Cash markets now for a couple of years and been pretty successful at optimizing day gas (for an energy marketer). lately I've been branching out into buying/selling ICE basis and using bank swaps to optimize calendar spreads
as they generally have better spread cash flows.
I was wondering how hard and set the rules need to be for OR? If I can pick up a directional bias on any given day, I can manage my book more efficiently by buying early or waiting until later in the day if I can anticipate a sell-off. A lot of the time, there is huge volume before before pit open with significant moves but other times nothing before open outcry.
Is it detrimental to the system to change OR timeframes? I'm sure consistency is important but if I see large action pre-pit, I tend to mold my OR around that action vs using a hard and fast time frame.
Again, this is subjective and I base it on what I see on T&S and my charts. I've only started experimenting with these variables so if I need to make a correction, or all those out there who are very knowledgeable with the system see a flaw I would appreciate any feedback.
Thx!
Re: ACD and EOD data
Quote from Robert Yanks:
Question for ACD folks: Can one use the ACD methodology using strictly end of day data?
TIA for your input.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from jo0477:
Great thread by the way, I've read it through numerous times and gotten some great info.
My question relates to OR, I used it a couple years ago when I traded Naz stocks in University and it was pretty cut and dry with market open/close times to determine a timeframe that works well for you.
I've been trading Nat-Gas Cash markets now for a couple of years and been pretty successful at optimizing day gas (for an energy marketer). lately I've been branching out into buying/selling ICE basis and using bank swaps to optimize calendar spreads
as they generally have better spread cash flows.
I was wondering how hard and set the rules need to be for OR? If I can pick up a directional bias on any given day, I can manage my book more efficiently by buying early or waiting until later in the day if I can anticipate a sell-off. A lot of the time, there is huge volume before before pit open with significant moves but other times nothing before open outcry.
Is it detrimental to the system to change OR timeframes? I'm sure consistency is important but if I see large action pre-pit, I tend to mold my OR around that action vs using a hard and fast time frame.
Again, this is subjective and I base it on what I see on T&S and my charts. I've only started experimenting with these variables so if I need to make a correction, or all those out there who are very knowledgeable with the system see a flaw I would appreciate any feedback.
Thx!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Thanks Mav,
I always use a consistent length of time just at different periods if the action is there. When I used the pit open exclusively as the start of my OR, my results were not as good as when I began incorporating big pre-open movements.
I really like the idea of using multiple OR's during the day and will start working this into my system.
Cheers
JO
I'm trying to understand how to use this concept on breaking news plays and would really appreciate any feedback. I'm using UNH today as there was news
midday that caused great volatility in the stock.I understand that ACD works
really well with understanding the volatility plays to set the opening
range.
So my first question is with this, when do you actually set the range? When
it was trading 42.50 took size on the offer quickly showing its strength,
and 45 rejected it cleanly. Would you use these levels as an opening range
for this type of play? Or use that swing low below 42.50 as the opening
range bottom (I know it probably doesn't matter) I'm just trying to
understand on breaking news plays, how you actually get the range.
Secondly, is the A value the same as it would be for a normal open? Or is it
different since its breaking news? I currently use about 20% of the average
daily range.
Thirdly, once it holds about the A value (if I'm using the correct number),
how long on breaking news plays? I was using about 2.5mins but also saw that
once it was above 43.16 it held for volume so I figured time wasn't as
important as it was strong above that level.
Finally, if we would have dropped to the C down, what would your play have
been besides thinking short? Would you carry it overnight as its a late day
C down?
Thanks again for helping me with this. I am a firm believe in using ACD to
get a bias, just need some clarification from someone more experienced in
using it.
Side note: Would today 02/03/2011 be considered a late day C up in the ES?
KD
Quote from KingDong130:
I'm trying to understand how to use this concept on breaking news plays and would really appreciate any feedback. I'm using UNH today as there was news
midday that caused great volatility in the stock.I understand that ACD works
really well with understanding the volatility plays to set the opening
range.
So my first question is with this, when do you actually set the range? When
it was trading 42.50 took size on the offer quickly showing its strength,
and 45 rejected it cleanly. Would you use these levels as an opening range
for this type of play? Or use that swing low below 42.50 as the opening
range bottom (I know it probably doesn't matter) I'm just trying to
understand on breaking news plays, how you actually get the range.
Secondly, is the A value the same as it would be for a normal open? Or is it
different since its breaking news? I currently use about 20% of the average
daily range.
Thirdly, once it holds about the A value (if I'm using the correct number),
how long on breaking news plays? I was using about 2.5mins but also saw that
once it was above 43.16 it held for volume so I figured time wasn't as
important as it was strong above that level.
Finally, if we would have dropped to the C down, what would your play have
been besides thinking short? Would you carry it overnight as its a late day
C down?
Thanks again for helping me with this. I am a firm believe in using ACD to
get a bias, just need some clarification from someone more experienced in
using it.
Side note: Would today 02/03/2011 be considered a late day C up in the ES?
KD
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Again, my answer is going to seem vague but I can't stress enough how one has to make ACD their own by making it compatible with trades you feel comfortable making. Are you a momentum trader or a fader? Are you only an intra-day trader or do you hold overnight? Do you like to scalp or hold on for the bigger moves? See all this will depend on how you set your ACD parameters.
On my intra-day ACD that day, the stock first made an A down and then on the news confirmed a C up. It made a weekly A up even before the daily C up which is a great long setup. Now another thing you could do is use your normal intra-day settings then when news comes out slap on another OR around the news event and see if the ACD news levels coordinate well with the normal intra-day setup.
In other words, maybe the news A up is the same area as the intra-day A up. Or, maybe you get an A up on the normal ACD levels and you are able to buy that wick on the failed A down on the news ACD level.
Use your creativity here! There are a million ways to use this but it will be for naught if you it's not compatible with how you like to trade. At the end of the day, all technical systems are about two things and two things only. Getting you to pull the trigger to get in a trade and getting you to get out when you are wrong. If your levels and parameters serve that function, then you my friend are shooting well over par.
Re: Re: ACD and EOD data
Quote from Maverick74:
Yes. Most of the ACD stuff I use is based on end of day data.
Re: Re: Re: ACD and EOD data
Quote from Robert Yanks:
Perhaps you can clear something up for me before I decide to spend a great deal of time studying the ACD methodology. Namely: What is the opening range when using end of day data?
I currently swing trade using end of day data with a breakout here or a pullback there. My work is in the evenings and weekends. I have read and enjoyed the first chapter of the Logical Trader (a few times) and even though the charts are not present I have no problem visualizing what is being described.
All the examples in chapter 1 deal with intraday trades and the OR is in minutes. How does one establish the OR with EOD data? A 2 or 3 day high and low? Weekly high and low?
Thank you.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from jsmooth:
You can really use any time period that has high volatility ( or a big order being filled), then just use that as your "opening range" value, then create some a and c values around that...
Re: Re: Re: Re: ACD and EOD data
Quote from Maverick74:
I don't want to go into the particulars as I've spent the last 4 years of my life perfecting this and I don't just want to throw out there all the various combination's of levels that work really well. If you read the book and have a solid understanding of what exactly the essence of ACD is, you will figure it out pretty easily.
Having said that, I'm not trying to imply there is a magical set of numbers that work. As I've said before, you need to have a very thorough understanding of volatility and price action to comprehend this. Me giving you opening range parameters or levels won't help you much.
Please understand that ACD is not a technical indicator in that it produces absolute price levels like a moving average or a support or resistance level. If you are not a good price action trader, it will be difficult to grasp what ACD is telling you. But everything you need to know about ACD is in Fisher's book.
Maverick do you use ACD to daytrade commodities?
Quote from bigarrow:
Maverick do you use ACD to daytrade commodities?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Re: ACD and EOD data
Quote from Robert Yanks:
Didn’t realize the EOD OR info is of a proprietary nature. I wrongly assumed some general EOD OR parameters would be covered in a later chapter or in the appendix. That’s apparently not the case.
Thanks for your input. I appreciate it.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I don't. What I do though is use intra-day signals for entering into weekly trades. Jsmooth went over similar type of trades. Such as using a failed A down on an intra-day to enter a weekly or monthly signal.
A new interview with the Logical Trader - http://www.futuresmag.com/Issues/20...-his-roots.aspx
Quote from Rodney King:
A new interview with the Logical Trader - http://www.futuresmag.com/Issues/20...-his-roots.aspx
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Great article MS. Thnx for posting.
what
What is the name of mark's CTA?
Re: what
Quote from 1prometheus:
What is the name of mark's CTA?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Re: Re: ACD and EOD data
Quote from Maverick74:
Let me explain so my response doesn't come off as rude. Here is the thing about trading. When you use standard stuff that everyone is using or watching, it creates traffic. It means obvious entries in the market are going to generate lots of stops in that area which means the market is likely to test that area and stop you out. This is the problem of making obvious trades. The idea is to find a part of the highway where there is little to no traffic. This means there will be a minimal amount of stops there and more likely you will be able to stay in the position. Telling everyone where my OR's are is like putting a sign out on where I'm entering the highway thereby creating more traffic or noise. So it would be better if you found your own quiet spot to enter trades. Hope that explains it better.
Re: Re: Re: Re: Re: Re: Re: ACD and EOD data
Quote from Robert Yanks:
Your post came off as someone I listen to.
That’s a damn fine nugget of information and I’m surprised more people haven’t mentioned that. What you say makes perfect sense as I’ve been spending far too much time in the obvious area.
I’m hopeful that I’ll see the tie in and a way to use EOD data with the ACD methodology. Currently I swing trade breakouts. Scan at night, look for best PA and take my best guess.
If anyone is interested I picked up the book yesterday and my method of learning is to scan, then quick read and finally to slow read and type key points, observations and questions (I type very fast thanks to the Army).
Here’s my first chapter notes.
Re: Re: Re: Re: Re: Re: Re: Re: ACD and EOD data
Quote from Robert Yanks:
This is a thread from few years back. there si a decent amount of ACD info there: http://www.strategybuilderfx.com/showthread.php?t=11961
FM: There has been a strong belief in many corners that speculators in general and long-only commodity funds specifically are distorting the price of oil. Where do you stand on this?
MF: That is rubbish. Basically if you look at the [commodities] that don’t trade on futures markets – coal, iron ore, uranium and those with a limited market like rubber, LNG (liquefied natural gas) or rice – they went up just as much as those [commodities] that trade on active futures markets. People who believe that will believe anything. You can blame the governments themselves because of all this quantitative easing and printing money will end up someplace. So the money went into commodities. Because commodity markets are so much smaller than the equity and debt markets, it is a huge tidal wave that gets reflected in price. So I don’t think you can blame speculators. You should blame the printing presses, not the speculators.
word.
Re: Re: what
Quote from Maverick74:
His management company is called MBF Asset Management. It looks like they are re-building the site as we speak. Not sure specifically what the name of the CTA is.
Re: Re: Re: what
Quote from Rodney King:
As with anyone in the futures business, you can search NFA for his activites -- http://www.nfa.futures.org/basicnet/ -- in this case, using NFA ID number 0065924.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: what
Quote from Maverick74:
Thanks Surf!
Re: Re: Re: Re: Re: what
Quote from Rodney King:
You're falling behind... The experts over at http://www.elitetrader.com/vb/showt...threadid=208993 say 'Kronykapital' or 'tonyalva' is Surf...
Re: Re: Re: Re: Re: Re: what
Quote from Samsara:
I've had a gut feeling you were too
mr
Mr. King has too much technical knowledge to be Surf.
Re: mr
Quote from 1prometheus:
Mr. King has too much technical knowledge to be Surf.
Re: mr
Quote from 1prometheus:
Mr. King has too much technical knowledge to be Surf.
Re: Re: mr
Quote from Samsara:
I'm not pot committed to my hunch, though I'm betting at the very least a personal connection.
Re: Re: Re: mr
Quote from Rodney King:
LOL. What a weasel... Almost everyone on ET has a "personal connection" with Surf -- he used to throw parties for the ET crowd.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Re: Re: Re: Re: Re: ACD and EOD data
Quote from Samsara:
Thanks for your notes man, seriously.
Down the road, if you keep this alias, I'd consider helping you out likewise if I can put together some tools related to this method.
Supplement Workbook
Today I did an ET search using “ACD” and discovered an extremely useful Supplement Workbook to The Logical Trader.
Everyone who reads and benefits please send Maverick74 a thank you note as he sure as hell deserves it.
Really appreciate for you guys contribution about the ACD method, learned a lot from here, thank you Mr. Maverick74 and Mr. Robert Yanks for your kindness. 
i
I learned allot from Mark's books. I even went to a seminar he did shortly after his book came out and watched the video at least 5 times (which is quite a few hours) and took notes.
The big thing I learned from the book and mark's lectures was not the ACD method itself.
It was the notion that liquidity sqeezes are what drive short term profits.
this is true for both momentum trades and fade trades. Short term trading is not really about static chart patterns. It is about understanding the logic of how:
1.) The longer term, less price sensitive traders enter the market (relative to your own time frame)
2. How weak handed traders, on your time frame or above, tend to position themselves and manage positions.
The sophisticated traders on the time frame below you might on net be taking from you, which is why you in turn must Focus on the time frame above yourself.
If you understand the logic of these few things and really explore this concept, you start learning how to set up good trades that have very little intended risk. (I say intended because, of course you never really know till the trade is closed.)
When I look for trades or ideas to backtest these concepts are what are on the forefront of my mind. It is not about my personal opinion it is about how other traders are positioning themselves. Go for a quick ride or catch them when they are overextended. That is what I want to focus on and to me that is all short term trading is.
Hi Maverik,
Are you planning to attend this year's expo in NY in a week?
Quote from RedDuke:
Hi Maverik,
Are you planning to attend this year's expo in NY in a week?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: i
Quote from 1prometheus:
I learned allot from Mark's books. I even went to a seminar he did shortly after his book came out and watched the video at least 5 times (which is quite a few hours) and took notes.
The big thing I learned from the book and mark's lectures was not the ACD method itself.
It was the notion that liquidity sqeezes are what drive short term profits.
this is true for both momentum trades and fade trades. Short term trading is not really about static chart patterns. It is about understanding the logic of how:
1.) The longer term, less price sensitive traders enter the market (relative to your own time frame)
2. How weak handed traders, on your time frame or above, tend to position themselves and manage positions.
The sophisticated traders on the time frame below you might on net be taking from you, which is why you in turn must Focus on the time frame above yourself.
If you understand the logic of these few things and really explore this concept, you start learning how to set up good trades that have very little intended risk. (I say intended because, of course you never really know till the trade is closed.)
When I look for trades or ideas to backtest these concepts are what are on the forefront of my mind. It is not about my personal opinion it is about how other traders are positioning themselves. Go for a quick ride or catch them when they are overextended. That is what I want to focus on and to me that is all short term trading is.
Quote from jsmooth:
Does anyone clear through fishers firm, MBF? I plan on going to NYC next month to meet with some people at the nymex about leasing a membership and also in search off a clearing firm, I was planning on contacting MBF. I know all you need to open an account with them is 100k plus data/cqg or tt...are all their traders (that don't do marks prop stuff) just remote, or do they have an office/trading room that all their guys trade from? I'll be contacting the firm, but I'm just curious if anyone has done business with them and has some feedback?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Mark Fisher will be on CNBC today between 11:00 and 11:30 central time. Check it out.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Here is the Mark Fisher video. Am I the only one that watched it? LOL.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Regarding the Sushi Roll:
I’m flipping thru EOD charts looking at the Sushi Roll and doing a little backtesting and I’d like your opinions on something.
I set up my scan and here’s what I noticed. In all cases today’s close is higher than the high of the previous 5 day rolling trading days, and in most cases today’s close is also higher than the current 5 day rolling trading days. But, sometimes today’s close is not the highest close of the current 5 day rolling trading days.
As an example, if you look at GE on 1/10/11 you can see that the close of 18.51 is higher than the 5 day rolling high from 12/28/10 to 1/3/11 (18.50) but in fact it’s not the highest close of the current 5 day rolling trading days from 1/4/11 to 1/10/11. Do you consider this a successful Sushi Roll? Or, do you want today’s close to also be the highest close of the current 5 day rolling trading days too?
Here are my notes from the 3rd tape of the NYMEX Symposium :
Trading is the hardest business in the world.
Not for the meek.
Tap into people’s emotions, people’s perceptions.
Get people caught so they want to run for the door.
The more the indicators line up, the more you want to step on the gas.
Jake Bernstein Sentiment indicator is what he uses.
Identify when people are caught, and beat them to the door.
The harder the trade is, the better the trade is.
How high is high-who the Hell knows?
How low is low-who the Hell knows?
The market Murphy’s Law: The market is there to screw the most amounts of people, to inflict the most amount of pain, to torture the most amounts of people, in the least amount of time. And it does exactly that.
Reversal pattern-He shows two down days in a row, lower highs and lows and closes and third days is a gap with the open higher than previous two closes: No one likes to buy gaps; If there is a gap, he wants to trade the higher gap because more people are hung or trapped.
The only thing he cares about is movement.
Outside reversals: H>H1 and L
Do you think that works (is there an edge here)? If everyone can see a chart pattern like an outside reversal day can it work? The answer is no.
What does work is outside 5 rolling days: Have 5 bars that are engulfed by the next 5 bars; He shows that last bar making an outside reversal up-that works. (38:25)
It works because people are hung and it’s not as easy to see as a one day outside day.
People make the same mistakes over and over-they don’t change.
What is slope? – Rate of change.
He thinks the slope of the moving averages measures the rate of change of the market’s perception of the market.
For moving averages he likes 14, 30 and 50. It’s his favorite in all time frames.
MAD move is a moving average divergence move. Moving averages are diverging. You get an extreme move and fade it.
First he looked to see if chart is going from neutral to all three ma’s rising together (market perceives a bullish attitude) then he will look at the number line to see if it’s up at +9 – buy it. If the number line goes back to zero they get out. Or, when the lines start to turn down get out.
Kindergarten trading: Watch the ma’s: If they are rising bullish; turning down then goes to neutral, then they can turn back up for bullish or turn completely down for bearish. It’s the perception of the market place.
Moving average fake out: Ma’s are rising and price drops below the 14 and reverses back up off the 30 and goes above the 14 look to buy at an A Up.
Regarding volume: He doesn’t follow it because volume is always hidden. Volume is not a good enough indicator to make a difference.
Trading is about finding people Achilles heel and knowing when they are weak and capitalizing on it.
Everybody has a weakness-marginalize your weakness-that’s the best you can do.
Minimize your risk by time, not by price. Time is a much more important stop.
Next he discussed rolling pivots: 3 day rolling pivots work better than a 2 or 4 day rolling pivot.
Everybody wants to predict when the market will be busy or slow (volatile or not).
They found “With the meat of the market concept” that when you have very narrow pivot ranges, the next day will often be volatile (have juice). That’s what you want if you’re a breakout or momentum trader.
Narrow pivots tend to predict volatile sessions.
In the markets they track, they look at the last nine trading days and ask “Is this the narrowest pivot of the last nine days?” If so, they want to trade it.
Also, if you have three consecutive smaller pivots, they like to trade it.
A trader’s best friend is volatility.
They go back and backtest like everyone else should be doing. After they know what works they backtest and look for optimal things.
He wants small opening ranges and small pivots with setups that make sense to create optimal risk to reward trades. If the trade isn’t there, don’t trade.
The best traders sit on their hands 80% of the time.
Quote from Maverick74:
Here is the Mark Fisher video. Am I the only one that watched it? LOL.
Re: Regarding the Sushi Roll:
Quote from Robert Yanks:
I’m flipping thru EOD charts looking at the Sushi Roll and doing a little backtesting and I’d like your opinions on something.
I set up my scan and here’s what I noticed. In all cases today’s close is higher than the high of the previous 5 day rolling trading days, and in most cases today’s close is also higher than the current 5 day rolling trading days. But, sometimes today’s close is not the highest close of the current 5 day rolling trading days.
As an example, if you look at GE on 1/10/11 you can see that the close of 18.51 is higher than the 5 day rolling high from 12/28/10 to 1/3/11 (18.50) but in fact it’s not the highest close of the current 5 day rolling trading days from 1/4/11 to 1/10/11. Do you consider this a successful Sushi Roll? Or, do you want today’s close to also be the highest close of the current 5 day rolling trading days too?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Thanks for posting. I was away otherwise I always want to hear what Mark has to say. If for nothing more than mere reflection.
Re: Re: Regarding the Sushi Roll:
Quote from Maverick74:
Honestly I never traded the sushi roll. It's very similar to an outside reversal day or week except you can use it on any time frame. The problem I have with outside reversal type patters is they are way too visible. Everybody seems them and they don't really work anymore. Is it something I would pay attention to if I saw one? Sure. But I'm not actually going to make a trade on that.
The one caveat I'll throw in there is the idea of rarity. Like Fisher says, the less frequent something happens, the better the signal. I see outside reversals all the time. They are not rare at all. But if you see a stock that has been smooth and trending for months or quarters and then you spot a sushi roll for the first time in perhaps 2 or 3 years, then I would certainly watch that like a hawk.
But in the broad based indices I see reversal patterns everywhere and they don't work. Why? Because the indices are analyzed 7 ways from Sunday.
Re: Re: Re: Regarding the Sushi Roll:
Quote from Robert Yanks:
Thank you Mav (if I may call you that). As always, excellent insight. I’m just looking at all the material and methods he brought forward in the book and videos so I can see it and test it and then hopefully come up with something that everyone else doesn’t see. As you pointed out, even at 5 days this pattern stands right out. Now I can scratch off the outside 5 day rolling trade.
If anyone is interested, I ran a simple backtest that found every 5 day rolling outside day and then bought the next day with various entries and one of the better ones was if today’s high is greater than the high of the previous 5 days plus .25 of the 10 day ATR. I’m using a group of 1500 stocks that consists of the sp500, mid cap 400 and small cap 600. Close after 3 days before getting fancy with exits to see if there is any edge. Bottom line as Mav pointed out is no edge there. I also ran a backtest so today’s close is higher than the previous 5 day rolling high but not the highest close of the current 5 days (looking to see if it’s hidden will it work better). Same basic results. I attached the 2010 ss for anyone that wants a peek. The first run was 3,614 setups and the second run (attached) was only 438 setups. About a 53% win rate taking every setup. For the years 09 08 07 it does worse, or worster.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Regarding the Sushi Roll:
Quote from Maverick74:
Robert, I would really prefer if you call me by birth name, Maverick74. Kidding.
I never did the back test so it was interesting to see your results. I pretty much expected that to be the case. Here is what I like about ACD. The idea in trading, like anything in life, is to look for the opportunity that others are not seeing. Head and shoulders, reversals, doji's, 200 day moving averages, moving average crosses, support and resistance, etc, everybody sees that shit. It's plain as day. Hell if you miss any of that stuff, CNBC will point it out to you to remind you. There is no edge in anything that everybody can see right in front of them.
So the idea is to become a good price action trader and ACD allows you to see price action better then any other method I have seen. This is why it's hard to back test ACD as many have tried because they are back testing simple binary action. The idea is to identify price action that is NOT obvious to everyone else. ACD is one of those things you just have to practice like tennis. The more products you watch, the better your feel will become.
Because ACD is a price action based methodology, others can't take your edge away from you. You know the old saying, if everyone does it, then it won't work anymore. That doesn't apply here. If you can learn to master ACD, you can keep your edge into perpetuity.
Hey everyone,
I'm new to this thread, but have read over it and am very happy to find a place where other traders are discussing ACD. I personally trade ACD, and have had a good deal of success with it so far.
Like Maverick, and other posters have pointed out, ACD is not the Holy Grail of trading, it is however a structural framework that allows a trader to see the big picture and remove much of the guesswork from their trading.
I'd like to throw out some questions, and also throw out some tidbits as to how I have developed a framework to trade using ACD.
Random thoughts observations with ACD trading futures only (this is solely my opinion and should not be taken as advice, just thoughts for you to work with):
1) If trading crude oil, one should not use ACD on the open before the major EIA supply report gets released at 10:30am. Doing so would be gambling, not trading. Yes, on certain days using ACD on these days would lead to catching major trends, but in general you will find yourself getting stopped more often than not.
2) In the sugar market, instead of using the other side of the opening range as a stop loss, use 40% of the range as your stop loss. In 90%+ of cases, it seems if price retraces back in to the opening range this much, they will tend to keep retracing.
3) When taking the opening range, pay attention to previous day high/lows, weekly high lows etc. These can serve as good take profit targets or signals of continuation should price break through these levels.
4) While Mr. Fisher may disagree with this a little bit, it does pay to use common sense and not just take a trade solely because an A up or A down was made. For example, in oil fell $4 overnight, but the general market sentiment is bullish, there is a chance that taking an A down right away may not be advantageous, as the market might be a little extended already.
On a similar note, lets say on any market, the first 15 min bar after a breakout shoots extremely far out of the opening range; if you are a "hold to close" type of trader, you may want to instead take profits at that moment knowing that such a move beyond this level is less likely. How to know this? Familiarity with the market you are trading/tape reading, knowledge of probabilities relative to standard deviations etc; the type skills as pointed out by maverick.
5) I have found that early day C downs/up are more powerful than even late day C downs/ups.
6) after a major A up/down parabolic trend day, the following day is less likely to have another trend day.
7) Some markets really do work better than others, know which ones to avoid. Also, find out what information actually moves the particular market you are trading.
8) I have found that the time factor regarding entering ACD trades is not as significant as previously proposed.
9) Excellent a up/down trend days rarely have price hanging inside the opening range for very long after the opening range is established.
10) The key to profitably trading ACD is to play great defense on most days, and to be on the right side of major rally/selloff trades (and they will come).
Now some questions if I may:
1) what markets do you successfully use ACD on? Do you have any personal filters you use? How do you exit your trades?
2) When calculating the pivot range, for the H+L+C/3, what time frames do you use?
For crude, would it be best to use 9:30am bar for the open and 9:15am bar following day for the close for the one day range calculations?
I ask because my platform uses 12:00am bar for the open and 11:59pm for the close, and I don't know if this time frame properly reflects when the most important trading of the prior day too place.
Would love to hear your opinions on this stuff. Thanks.
I have found when using it, use it in conjunction with Crabel NR7 and such. So if today following an NR7 daily, watch the PDH and PDL as well as the opening range.
Don't trade ACD after a wide range day. Because normally there is consolidation and this is bad for ACD.
As some have mentioned, you can use ACD to basically bracket and relevant action. That includes price action around the major reports or events. Unemployment, housing, oil reports, you get the point. I would not use it around less relevant reports. Right now evening open with the Yen would be relevant IMO as everyone is hanging on edge for Japanese news.
I have only used the pivot range off the previous day's range as Mark suggested.
Thanks for your tips.
I have to give a book recommendation. I'm reading it now:
http://www.amazon.com/Asylum-Renega...00286438&sr=1-2
Mark Fisher is in a lot of this book. Great behind the scenes look at the oil traders in NY.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I have to give a book recommendation. I'm reading it now:
http://www.amazon.com/Asylum-Renega...00286438&sr=1-2
Mark Fisher is in a lot of this book. Great behind the scenes look at the oil traders in NY.
Quote from Soon2Bgreat:
Is that the book that has the excerpt about NYMEX management's trip to Dubai? If so, totally ridiculous, and I'd imagine there's probably some great stories in there.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Funny, a week or two ago I read an interesting story how the crude oil was heavily manipulated by the traders. At the times referenced Mark and his firm would have been a part of that. It was a fairly good referenced story, but that doesn't mean it was completely accurate, but was easily believeable at the very least in part. It is a lot easier to be a genius in a market if you are part of a group manipulating. It makes your methods a lot better if you have control of a market.\ That being said I use my variation of his methods in the 6E and ES and I have been adding value to bottom line, so I guess there is some validity to his work.
Quote from taclander:
Funny, a week or two ago I read an interesting story how the crude oil was heavily manipulated by the traders. At the times referenced Mark and his firm would have been a part of that. It was a fairly good referenced story, but that doesn't mean it was completely accurate, but was easily believeable at the very least in part. It is a lot easier to be a genius in a market if you are part of a group manipulating. It makes your methods a lot better if you have control of a market.\ That being said I use my variation of his methods in the 6E and ES and I have been adding value to bottom line, so I guess there is some validity to his work.
Can anyone who trades CL using this method share some charts of recent trades they took and explain them?
I realize this is a stretch, but why don't you do the work yourself?
Quote from legend4life:
Can anyone who trades CL using this method share some charts of recent trades they took and explain them?
Excerpt from the book "The Asylum":
"You know how I know when someone's cut out to be a trader?" Mark Fisher remarked, hard at work at the time on an untitled screenplay about his concept of a dream trader. "If he can tell me, without looking, the exact time, what the temperature is outside, what I ate an hour ago, what I wore to work yesterday, and what the score to the ball game is on TV."
Fisher loved whiz kids, which was why he once poached a young man driving an ice cream truck in his hometown of Woodmere, New York. "True story," a former associate says. "Fish is hosting his son's birthday party on Long Island and orders a bunch of ice cream for it. The ice cream guy comes and Fish watches him do all the math in his head for, like, $500 worth of orders. Right there, he pulls him out of the truck, teaches him how to trade, and puts him on the trading floor. And I understand that guy did very well."
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Awesome I'm ordering this book now! I've heard that story a few times, but still a great story.
Quote from Maverick74:
Excerpt from the book "The Asylum":
"You know how I know when someone's cut out to be a trader?" Mark Fisher remarked, hard at work at the time on an untitled screenplay about his concept of a dream trader. "If he can tell me, without looking, the exact time, what the temperature is outside, what I ate an hour ago, what I wore to work yesterday, and what the score to the ball game is on TV."
Fisher loved whiz kids, which was why he once poached a young man driving an ice cream truck in his hometown of Woodmere, New York. "True story," a former associate says. "Fish is hosting his son's birthday party on Long Island and orders a bunch of ice cream for it. The ice cream guy comes and Fish watches him do all the math in his head for, like, $500 worth of orders. Right there, he pulls him out of the truck, teaches him how to trade, and puts him on the trading floor. And I understand that guy did very well."
Quote from legend4life:
Can anyone who trades CL using this method share some charts of recent trades they took and explain them?
Quote from kinggyppo:
If you have looked thru the thread you will see that there is no holy grail (although for me a trending market is THE HOLY GRAIL). Most of the stuff covered in ACD is along the lines of system trading 101. I am sure "the Fish" would tell you the same. Alot of the indicators etc are really giving you the same information. New traders are always looking for the perfect moving average, the 20 vs 50 is going to work better or worse depending on timeframe. Look at the markets this way, if you were forced to make a trade right now what would it be?what is a good entry, R/R, should you go for a scalp, a swing, how does the volatility effect the position, etc. Using a case study mentality on a given mkt will help keep your losses small. Not sure why you would want to trade crude for example, I think it is a tough market to trade, don't believe me check out some of the price spikes on qm, How do you quantify the trendiness of a mkt, what should your position size be. I could go on and on. I would tell you to pick one or two mkts/contracts/stocks and focus on them. Can you tell the difference between the price action on AAPL vs GOOG, C vs AIG, a good trader will see the difference in the tape movement etc. Anyway just some thoughts, one thing I noticed about Mark Fisher from watching him trade for charity was that he always hedged himself. ie he would buy oil and sell gas, why would he do that? If you can't answer that question you need to keep trading small and study, good luck with your trading either way.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
You attended his seminar in NY?
Quote from kinggyppo:
no I am referring to his trade for charity, I think Dr J from the CBOE put it on and had Mr Fisher as a guest over the past couple years, I will look for a link when I get a minute. My point was he always appears to be hedged, ie he is long spuz, short bonds, etc. I remember him doing the same with corn/wheat.
here is the link to Dr J's site re MF. Too bad he can't put up a video of this, if he charged like $50 per use he could make some $$ for the kids, well worth it for a new/old trader.
http://www.traders4kids.org/
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Did you attend that or watch it live on the net?
Quote from kinggyppo:
on the net
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from smcmahon83:
Now some questions if I may:
1) what markets do you successfully use ACD on? Do you have any personal filters you use? How do you exit your trades?
2) When calculating the pivot range, for the H+L+C/3, what time frames do you use?
For crude, would it be best to use 9:30am bar for the open and 9:15am bar following day for the close for the one day range calculations?
I ask because my platform uses 12:00am bar for the open and 11:59pm for the close, and I don't know if this time frame properly reflects when the most important trading of the prior day too place.
Would love to hear your opinions on this stuff. Thanks.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Did you guys catch Mark Fisher's son on Fast Money? He was doing a report on the nat gas market. He looks like he was 15 years old. He trades at MBF of course.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Did you guys catch Mark Fisher's son on Fast Money? He was doing a report on the nat gas market. He looks like he was 15 years old. He trades at MBF of course.
Quote from Maverick74:
Did you guys catch Mark Fisher's son on Fast Money? He was doing a report on the nat gas market. He looks like he was 15 years old. He trades at MBF of course.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
What video?
Quote from Maverick74:
Did you guys catch Mark Fisher's son on Fast Money? He was doing a report on the nat gas market. He looks like he was 15 years old. He trades at MBF of course.
Quote from Trader13:
I saw it ... he did well, did not appear nervous at all. Dad should be proud.
I wonder if he trades speculatively (perhaps using ACD), or if he really is trading order flow (market making). Also wonder if Fisher's MBF firm is profitable from their speculative trading, or if their clearing business (really a no-risk transactional business) subsidizes all their speculative trading.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
http://www.mbfassetmgmt.com/
http://investment-advisors.findtheb...-Management-Llc
Looks like they have 135 million under management.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from kinggyppo:
missed it, I bet he is sharp though, who is pops gonna give the family business to? Mav here is something you may find interesting
regarding QE2, there are some wackos on this site but this interview of Jim Rickards I found pretty compelling.
http://www.kingworldnews.com/kingwo...m_Rickards.html
Maverick,
I know you don't want to release your proprietary research about ACD, and understand completely, but I was wondering if I could just ask you a few questions and you can answer whatever you feel comfortable with:
Do you use the number line scoring method for the commodities you trade? Do you think trading the markets with the highest scores actually does improve results? Do you think using a filter such as a 14 day MA and only taking A or C's on the same side of the moving average direction would improve results?
Do you use your own custom opening range times? Do you use your own A and C values? Do you use the pivot range as described by fisher to filter trades? Has it improved your results?
I've had a good deal of success with ACD, and am just looking to continually improve my approach. I can also share some of my own additional research as well.
Quote from smcmahon83:
Maverick,
I know you don't want to release your proprietary research about ACD, and understand completely, but I was wondering if I could just ask you a few questions and you can answer whatever you feel comfortable with:
Do you use the number line scoring method for the commodities you trade? Do you think trading the markets with the highest scores actually does improve results? Do you think using a filter such as a 14 day MA and only taking A or C's on the same side of the moving average direction would improve results?
Do you use your own custom opening range times? Do you use your own A and C values? Do you use the pivot range as described by fisher to filter trades? Has it improved your results?
I've had a good deal of success with ACD, and am just looking to continually improve my approach. I can also share some of my own additional research as well.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Great post Mav, thanks for sharing.
I agree about the Pivot Ranges, its one of my favorite setups and seems to work the best intraday.
Mav,
The interesting thing is that decent number of my entries and exits correspond with Acd, plus few other systems.
Are we all doing the same thing with different flavors, I wonder?
Regards,
Red duke
P.S. I guess you are not going to expos these days. Was hoping to see you there this year in NYC.
Mav,
Thanks a bunch for releasing some of your tweaks to the ACD system. After calculating the prior days pivot, you don't worry about the overnight session in regards to the next mornings opening when using the pivot range? (you don't worry about the pivot becoming invalidated based on the overseas trading action is what I'm trying to say).
Something I can share that I noticed is the following:
If you're trading grains and you take an A-down or A-up, on a very good rally/selloff day you should be able to put your stop right about the low of your A-up confirmation bar for longs and vice versa.
You will get stopped out much more frequently on non-rally days, but if you are the type of person who prefers to take 8 losses of $200 each and have 2 winners of $1400 each this might be a better strategy as opposed to using the other side of the range for stop loss.
Also on grains, round numbers do well for exit points, and they should also be paid attention to for entries. For example, if I have a 10 cent opening range on beans, and my A up is at 1358, despite the A up being hit, I will put my entry above 1360 knowing that their could be resistance at 1360.
For profit targets the same idea can be used. If I take an A up at say 1335, and then price breaks clean through 1340 I will stay long. Lets say there is only an hour left in trading and price is up to 1347, unless the market is showing tremendous strength I will look to take profits at 1349.75. However, if I am comfortable that the market will continue higher, I may just put my stop loss right at 1340 so I will lock in profit and have a free trade for the rest of the day.
I'll share more stuff if others besides Mav also make worthwhile contributions.
Quote from RedDuke:
Mav,
The interesting thing is that decent number of my entries and exits correspond with Acd, plus few other systems.
Are we all doing the same thing with different flavors, I wonder?
Regards,
Red duke
P.S. I guess you are not going to expos these days. Was hoping to see you there this year in NYC.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from kinggyppo:
http://www.kingworldnews.com/kingwo...m_Rickards.html
this interview has a better discussion of QE, this is important to understand if you are a commodities bull.
Quote from Maverick74:
Well, everyone has different variables for ACD so you must be using some generic numbers. LOL. Just kidding.
I haven't been to an expo in ages. I'll probably come up to NY this summer. Should I organize an ET get together? I was going to come up for Surf fest but the event has been discontinued.
Hello, may I ask what do you think is the best software to go with this system ? I have an old metastock that I have to change ...
thank you !
Quote from Builder17:
thanks king. didnt he basically say the run in commodities should not stop? even though it should with FED announcement/talk of no more QE.
Quote from elwoodygold:
Hello, may I ask what do you think is the best software to go with this system ? I have an old metastock that I have to change ...
thank you !
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Thank for your reply Maverik, any reason why you use Thinkscript rather than Tradestation or E-signal ? did you code yourself or is it possible to buy it ?
Quote from elwoodygold:
Thank for your reply Maverik, any reason why you use Thinkscript rather than Tradestation or E-signal ? did you code yourself or is it possible to buy it ?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Hey, screw New York, how about a good old Midwest meet up? Up here in Milwaukee I never meet traders. And we actually have a couple of hedge funds running up here. I don't qualify for those circles. lol I constantly have the "what do you do conversation" and when I say I trade futures, they ask what stock is a good one now. I've given up explaining futures. I need to start being more active with my IRA so I can start giving stock recommendations.
I use ACD at a base level, and have found it to be helpful. I would love to hear about different layers to fine tune my approach, or at least look at and decide if it helps.
There was some nice acd setups in may silver today to get you long and short...tues open was (overnight) HOD 4345, week open 4310, and 2 tick +/- pivot of 4290. _Acd, or just trading the pivots and opening ranges would have got you short down to the pivot (right after NYC open), and gave you some longs/buy covers at the pivot and even better longs back through the 4310 (wk OR), then a nice break out to add into new contract highs above 4345 (Aussie/day open)...I would consider that more or less a c up trade using buy stop limits to initiate or add above the 4310 or 4290 pivot long setups. _As for all those setups you can easily use them with 10 tick stops and time stops on the buy stop limit orders. _
I don't frequent ET too much, wish I would have read this forum a few days ago...
TAcalender...I'm in mequon, and just yesterday I was down on Water st for happy hour with some Goldman I-bankers up from Chi for Passover and some of the St Francis hedge fund guys (conv bond arbs) your probably referring too. _I'll shoot you and email next time we get together downtown...
Mav, I'll shoot you and email, I'll be down in chi in the next week or so I'll let you know....sorry I missed your last messages, haven't really been on ET these past few months and took a short break from trading..
Anyone use any of the acd methods to trade spreads?...I really think there are some good cl crack spread opportunities and 2/10yr yield spreads up here...just wish I had some acd or pivot setups to lean on in the spread markets.
Quote from jsmooth:
There was some nice acd setups in may silver today to get you long and short...tues open was (overnight) HOD 4345, week open 4310, and 2 tick +/- pivot of 4290. _Acd, or just trading the pivots and opening ranges would have got you short down to the pivot (right after NYC open), and gave you some longs/buy covers at the pivot and even better longs back through the 4310 (wk OR), then a nice break out to add into new contract highs above 4345 (Aussie/day open)...I would consider that more or less a c up trade using buy stop limits to initiate or add above the 4310 or 4290 pivot long setups. _As for all those setups you can easily use them with 10 tick stops and time stops on the buy stop limit orders. _
I don't frequent ET too much, wish I would have read this forum a few days ago...
TAcalender...I'm in mequon, and just yesterday I was down on Water st for happy hour with some Goldman I-bankers up from Chi for Passover and some of the St Francis hedge fund guys (conv bond arbs) your probably referring too. _I'll shoot you and email next time we get together downtown...
Mav, I'll shoot you and email, I'll be down in chi in the next week or so I'll let you know....sorry I missed your last messages, haven't really been on ET these past few months and took a short break from trading..
Anyone use any of the acd methods to trade spreads?...I really think there are some good cl crack spread opportunities and 2/10yr yield spreads up here...just wish I had some acd or pivot setups to lean on in the spread markets.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I got long some may nat gas at 4290 stops below LOD, 77, and then I'd flip short stops above 86 then, based on Aussie and Asia opening...nat gas is such a thin mkt at this time of night tho
Also got some sell short limits on June euro at 4613(stop), 4609 limit...if we break below 14 going to be a lot of longs stuck going to be a nice move even on higher timeframes. That trade should get hit should break immediately, stop would be on price action or at max 15-20 ticks.
jsmooth, thanks for the response. For the last couple of years I end up taking most of the summer off to run kids here and there. I don't like jumping in and out during my trading day, so I plan the days I can trade and take the others off. I also am helping my Dad these days, and he is out in Mequon also. If a time works out I'd love to find a lunch time that works. You and the people you mention sound like you are way above my analysis, but it works for me.
Does anyone here have a consensus about what the consistently "best" markets to trade ACD are?
I myself would say that Soybeans are the best grain market to trade. Over the last couple of years that I have been manually backtesting results, I've only seed about 4 losing months over the entire period, and that is just trading ACD's without filtering with ACD number line or pivot ranges. Pretty impressive. Also, when beans are breaking out well the 2 cent buffer outside the opening range is not necessary to use. Just a breakout outside the first 15 min bar is good enough.
Sugar is nice because you can setup trades with a 35 cent stoploss consistently and therefore don't have to worry about getting killed on stops. C trades tend to work pretty good on Sugar as well.
Out of the indexes, I would say the Russel 2000 contract works better with ACD then both the Emini or the Dow Mini.
Coffee was working well for a while, but has cooled off a lot lately, and you need pretty deep pockets to trade it. (Stop loss, plus 200 pt buffer). The buffer alone has a dollar value of about $650 per contract, let alone the stop.
a 45M breakout ACD on /ZB has been working very well lately. 8am-845am range, 5 tick buffer. I expect it to continue to work in the near future based on the problems in the US monetary system, but beware, in the past this combo of time period and buffer has not produced great results, but lately it has been excellent.
For the near future, I think I am going to start trading Nat Gas using ACD. Oil has gotten to a price level where you are starting to hear news stories about people driving distances to find cheaper fuel, cutting back on trips etc.
It seems reasonable that going forward until Crude cools off, Nat Gas is going to gain at least some popularity relative to crude. Any boy is it volitile. Avoid the 1030am Nat Gas storage report on Thursdays though.
I also think the mother of all good C down trades might be found in Silver at some point in the future. Regardless of the long term outlook for it, Silver is due for a significant and sharp correction very soon.
So these are my thoughts at the moment, feel free to chime in.
Mark Fisher will be on the Strategy Session today on CNBC. Check it out!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Mark Fisher will be on the Strategy Session today on CNBC. Check it out!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from smcmahon83:
Does anyone here have a consensus about what the consistently "best" markets to trade ACD are?
I myself would say that Soybeans are the best grain market to trade. Over the last couple of years that I have been manually backtesting results, I've only seed about 4 losing months over the entire period, and that is just trading ACD's without filtering with ACD number line or pivot ranges. Pretty impressive. Also, when beans are breaking out well the 2 cent buffer outside the opening range is not necessary to use. Just a breakout outside the first 15 min bar is good enough.
Sugar is nice because you can setup trades with a 35 cent stoploss consistently and therefore don't have to worry about getting killed on stops. C trades tend to work pretty good on Sugar as well.
Out of the indexes, I would say the Russel 2000 contract works better with ACD then both the Emini or the Dow Mini.
Coffee was working well for a while, but has cooled off a lot lately, and you need pretty deep pockets to trade it. (Stop loss, plus 200 pt buffer). The buffer alone has a dollar value of about $650 per contract, let alone the stop.
a 45M breakout ACD on /ZB has been working very well lately. 8am-845am range, 5 tick buffer. I expect it to continue to work in the near future based on the problems in the US monetary system, but beware, in the past this combo of time period and buffer has not produced great results, but lately it has been excellent.
For the near future, I think I am going to start trading Nat Gas using ACD. Oil has gotten to a price level where you are starting to hear news stories about people driving distances to find cheaper fuel, cutting back on trips etc.
It seems reasonable that going forward until Crude cools off, Nat Gas is going to gain at least some popularity relative to crude. Any boy is it volitile. Avoid the 1030am Nat Gas storage report on Thursdays though.
I also think the mother of all good C down trades might be found in Silver at some point in the future. Regardless of the long term outlook for it, Silver is due for a significant and sharp correction very soon.
So these are my thoughts at the moment, feel free to chime in.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Mav,
Thanks for the infor. When you say "longer time frame ACD values" do you mean that you use something similar to the rolling 3 day pivot as described by Fisher, or take opening range of first day of trading and use that as your breakout/stop placement for the rest of the week? A little bit of both?
Looks like Fisher's kid is getting a lot of air time lately.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Is it just my internet connection, or is this a blank space?
Quote from Maverick74:
Looks like Fisher's kid is getting a lot of air time lately.
Quote from Robert Yanks:
Is it just my internet connection, or is this a blank space?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
It may be your browser. It shows up fine for me.
Quote from rubibond007:
Mav, I only see a blank space too.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from smcmahon83:
Mav,
Thanks for the infor. When you say "longer time frame ACD values" do you mean that you use something similar to the rolling 3 day pivot as described by Fisher, or take opening range of first day of trading and use that as your breakout/stop placement for the rest of the week? A little bit of both?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I can't believe there are like 4 people on ET that use ACD. Maybe that is why it's so effective. Everyone else is too busy trying to pick a top in silver and the S&P instead of actually learning how to trade.
Quote from logic_man:
Let me ask you if you think this stat (which I'm grabbing from an Amazon review of the Logical Trader book) is accurate:
"Traders taught by Fisher have had a 40 - 50% success rate compared to around 10 - 15% for the average trader using different techniques"
The reason I ask is that I'm pretty interested in the relative success rates of trading methodologies and trying to unpack the "95% of traders fail" statistic into something more meaningful to discern if there are any statistically significant differences in failure rates by trading methodology. This is why I started this thread last week:
http://www.elitetrader.com/vb/showt...threadid=219746
I've got my approach and I'm very happy with it, so this is more of a curiosity than me trying to figure out which approach to use, although I suppose diversifying approaches might not hurt if they were non-correlated.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
As always, good insightful posts Mav.
The book was very enjoyable for me and it has provided a great deal of overall market knowledge that I would never have considered without it. I'm going to read it again. I kinda sorta set it aside for now because I have not figured out a way to calculate workable opening range values being a strictly end of day data swing/position trader. (And, a not so successful just below breakeven so far this year swing trader.)
Interesting to see your posts as just this morning I was thinking perhaps I’ll take a look at say a Monday’s action on a number of issues and then consider open/close or perhaps even the H/L as a quasi OR for the rest of the week. Thinking out loud here … then perhaps use the pivot ma’s to help pick best candidates to set next day orders etc.
Btw Mav, do you follow the White Socks? They just got a dose of feel better playing my woeful Mariners. Gawd it’s painful to be a fan of a multi-year miserable team!
Mav,
I agree completely with your last few posts. I found it interesting too, if you watch the video of Fisher's son that you posted, the CNBC crowd asks him what caused to 10% drop in Crude Oil the day before...
His response was in regards to the problems caused by front running and high-frequency trading and that "there was no fundamental reason for the selloff". I laughed when I read that, because it is the exact thing the Fisher says separates himself from the majority of other traders. "How high is high? Who knows" "the best trades are often the ones hardest to take" and things like that. Even Fish's own kid was breaking the mental framework of ACD methodology. (trade the tape, price moves before News etc).
I agree with what you're saying in terms of the nuances of ACD as well. Something I've been working with lately has to do with finding other periods during the trading day that have ranges that are significant other than opening ranges for certain commodities.
I also agree that ACD is just a framework for trading, and is not the holy grail nor should be interpreted as such.
The greatest thing that ACD trading has done for me is that it laid down a structural framework for me while intraday trading. Before ACD, if I was bullish on a commodity I would buy on the open in the morning. So whether price started going in against me or going for me I still had no framework to know where I was and where I should be looking to take profits or exit my trades. So needless to say I was consistently losing money because I was completely driven by my emotions with no "map" to guide me.
Fast forward to today and that has all changed. My ACD framework is in place....And like you were saying, profits in ACD do require additional abilities and discretion. To enhance these areas I use different tools like prior day high/lows, paying attention to economic releases coming out during the day. Something I've also been looking at lately is to see if the 30YR treasury makes an A up/or down to confirm taking index trades in the opposite direction.
Fisher has a trade called the "Super A" on energies....He looks for an "A" to be make in Brent Crude on the overnight, and then looks crude and RBOB(Summer mos) HO(cold months) to both make A's in the direction of the brent A. This is one of his "press your bets" trades according to him...
Basically for me, it is continuing to add those layers of confirmation that lead to trading with confidence which in turn leads to trading much more profitably. My biggest problem is that I make my money early in the day from ACD and then take additional stupid trades later in the day. Like Mav said, with the Casino mentality if we know we have a 70% chance of winning a hand, and we have won that hand, every hand we play thereafter during the same day has a MUCH less chance of success. Hopefully I will learn this fully in the near future.
If you consistently research ACD setups across multiple markets and would like to exchange ideas, PM me.
Quote from Robert Yanks:
As always, good insightful posts Mav.
The book was very enjoyable for me and it has provided a great deal of overall market knowledge that I would never have considered without it. I'm going to read it again. I kinda sorta set it aside for now because I have not figured out a way to calculate workable opening range values being a strictly end of day data swing/position trader. (And, a not so successful just below breakeven so far this year swing trader.)
Interesting to see your posts as just this morning I was thinking perhaps I’ll take a look at say a Monday’s action on a number of issues and then consider open/close or perhaps even the H/L as a quasi OR for the rest of the week. Thinking out loud here … then perhaps use the pivot ma’s to help pick best candidates to set next day orders etc.
Btw Mav, do you follow the White Socks? They just got a dose of feel better playing my woeful Mariners. Gawd it’s painful to be a fan of a multi-year miserable team!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from smcmahon83:
Fisher has a trade called the "Super A" on energies....He looks for an "A" to be make in Brent Crude on the overnight, and then looks crude and RBOB(Summer mos) HO(cold months) to both make A's in the direction of the brent A. This is one of his "press your bets" trades according to him...
Basically for me, it is continuing to add those layers of confirmation that lead to trading with confidence which in turn leads to trading much more profitably. My biggest problem is that I make my money early in the day from ACD and then take additional stupid trades later in the day. Like Mav said, with the Casino mentality if we know we have a 70% chance of winning a hand, and we have won that hand, every hand we play thereafter during the same day has a MUCH less chance of success. Hopefully I will learn this fully in the near future.
If you consistently research ACD setups across multiple markets and would like to exchange ideas, PM me.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I was debating whether to post this, markets trend and chop, but when they trend you want to be there to get paid. Chop to me and getting stopped out is paying tuition to the market, you have to have a system that captures the big swings to come out ahead, good trading all.
slv 60 minute
http://www.cnbc.com/id/42934352/Fas...s_May_11th_12th
FAST MONEY'S LINE-UP FOR THE WEEK OF APRIL 25th
Check out the guests lined up for next week when Fast Money broadcasts live at 12:30p ET and 5P ET from the 3rd annual SALT Conference at the Bellagio in Las Vegas!
AT HALFTIME
WEDNESDAY, MAY 11th
- Sam Hocking, BNP Paribas Global Head of Prime Brokerage Sales
THURSDAY MAY 12th
- Leon Cooperman, Omega Advisors Chairman
FAST AT 5PM
WEDNESDAY, MAY 11th
- Chris Hyzy, U.S. Trust Chief Investment Officer
THURSDAY, MAY 12th
- Jon Corzine, MF Global CEO
- Mark Fisher, MBF Asset Management Founder & Chief Investment Officer
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I must have missed it in the book, but when are we supposed to exit a winning position ? It seems you have to hold on until the end of the day, is that right ?
I think it is indeed a great system, however I cannot strees enough the importance of using it where you have volatility, otherwise you get killed. I disagree you can use it with "anything.". During an interview Fisher actually admitted it does not perform too well on the S&P500 for example.
Quote from MrFuture:
I must have missed it in the book, but when are we supposed to exit a winning position ? It seems you have to hold on until the end of the day, is that right ?
I think it is indeed a great system, however I cannot strees enough the importance of using it where you have volatility, otherwise you get killed. I disagree you can use it with "anything.". During an interview Fisher actually admitted it does not perform too well on the S&P500 for example.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
long setup here in slv long from 36.40 stop 36.15 this is an opening range breakout.
Quote from kinggyppo:
long setup here in slv long from 36.40 stop 36.15 this is an opening range breakout.
Quote from Maverick74:
You absolutely can use ACD for anything and I've done really well in markets like the s&p 500. I should note that I use the system very differently then he does. I have a yet to find a market that it does not work well on. The macro even works with mutual funds!
To answer your question, I use pivot levels, ATR and A values to exit. Let me say this again because I believe it is of the utmost importance. You have to make ACD work with your personality. What Fisher writes about in his book is untradeable. He told me this much in person. The book was meant to be a context for which to build your trading system.
Quote from MrFuture:
Thank you very much for your reply Maverick.
I like that you mentioned ATR for exits, I think it is extremely important. I do not know specifically how you use it of course, but to me it is THE tool that tells me how much move is left for the day, and whether or not it is worth keeping the position open to catch some more, or if it is most likely done for the day.
Someone once built a cool indicator that can be added on Metatrader, where basically at the bottom of the screen you would have a live count of points left for the day, based on the ATR and days of your choice. It is an excellent way of knowing where you are at.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I've got an indicator on TOS that shades the ATR range and as the market makes new highs or lows the shaded area adjusts so you can see exactly where the ATR is on both the upside and the downside. Very nice visual.
Quote from MrFuture:
Wow, that's even better, you can actually see it on the chart then, very nice
Quote from MrFuture:
Oh wait a sec, by TOS you mean Think Or Swim ? 'Cause that's what I mainly use for stocks...is that one of the existing indicators, or you built it ? When I look under ATR I do not see anything other than the usual ATR line at the bottom....Thanks !
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I've got an indicator on TOS that shades the ATR range and as the market makes new highs or lows the shaded area adjusts so you can see exactly where the ATR is on both the upside and the downside. Very nice visual.
Here is a PDF of some of the spreadsheets i use each day to get my levels for the ACD to trade...when it comes to the ES and SPY i have a few of them that i'll look at, and for currencys and energies its basically the same but with some added values showing the Asia/London OR and those PP (but that gives you a good idea)..stocks i keep it simple...ATR(30) x .25 = Aup value; C is around ATR(30)x.05; Also with SPY and ES i like to note the 7:30am price OR (if a number comes out)....In my opion the OR for spooz should be 7:30ct.
Commodities....basically the same thing, but i'll again use two OR's, Pit/Options Open 7:15 open and 8:30 open...
the MAIN thing i watch is the days OR in relation to the Week and Month OR....i'll be a buyer right out the open if the days OR is above the Week, Month, YR....i just buy it with a stop under the day OR with a hope of a trend day in that direction....and i'lll use the WK, MN, YR OR as price targets for other moves)....As for Cup/downs....i'll just use the opening print price with buy/sell stop limit orders...if the trade doesnt work right away on those, your seeing one of those mkt profiles that sees a few ticks of range expansion then back to a normal dist...GREAT trade to flip your position.
Mav, If you use ACD to trade stocks, IMO, Liquidity plays a HUGE facture if you trade size....ACD got me short at the absolute high on TZOO 1-2 weeks ago, i SS 2k shares, but the huge BxA spread on just random noise got me out before the single day 10pt drop (within a few mintues)...IMO ACD works best in mkts that are purely supply and demand driven, commodity/FX futures...(you can really capitilize on the ppl that are on the wrong side of the mkt)...
stocks
Quote from jsmooth:
Here is a PDF of some of the spreadsheets i use each day to get my levels for the ACD to trade...when it comes to the ES and SPY i have a few of them that i'll look at, and for currencys and energies its basically the same but with some added values showing the Asia/London OR and those PP (but that gives you a good idea)..stocks i keep it simple...ATR(30) x .25 = Aup value; C is around ATR(30)x.05; Also with SPY and ES i like to note the 7:30am price OR (if a number comes out)....In my opion the OR for spooz should be 7:30ct.
Commodities....basically the same thing, but i'll again use two OR's, Pit/Options Open 7:15 open and 8:30 open...
the MAIN thing i watch is the days OR in relation to the Week and Month OR....i'll be a buyer right out the open if the days OR is above the Week, Month, YR....i just buy it with a stop under the day OR with a hope of a trend day in that direction....and i'lll use the WK, MN, YR OR as price targets for other moves)....As for Cup/downs....i'll just use the opening print price with buy/sell stop limit orders...if the trade doesnt work right away on those, your seeing one of those mkt profiles that sees a few ticks of range expansion then back to a normal dist...GREAT trade to flip your position.
Mav, If you use ACD to trade stocks, IMO, Liquidity plays a HUGE facture if you trade size....ACD got me short at the absolute high on TZOO 1-2 weeks ago, i SS 2k shares, but the huge BxA spread on just random noise got me out before the single day 10pt drop (within a few mintues)...IMO ACD works best in mkts that are purely supply and demand driven, commodity/FX futures...(you can really capitilize on the ppl that are on the wrong side of the mkt)...
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I gotta say I agree with Maverick....the real strenght of the system is that it forces you to be disciplined....losses will come, but if you follow the main idea, you'll see that the winners in the long run will crush the losers.
I am also making changes to it that accomodate my trading, but in the end the main idea of respecting important levels remains.
I am impressed.
Quote from Maverick74:
http://www.cnbc.com/id/42934352/Fas...s_May_11th_12th
FAST MONEY'S LINE-UP FOR THE WEEK OF APRIL 25th
Check out the guests lined up for next week when Fast Money broadcasts live at 12:30p ET and 5P ET from the 3rd annual SALT Conference at the Bellagio in Las Vegas!
AT HALFTIME
WEDNESDAY, MAY 11th
- Sam Hocking, BNP Paribas Global Head of Prime Brokerage Sales
THURSDAY MAY 12th
- Leon Cooperman, Omega Advisors Chairman
FAST AT 5PM
WEDNESDAY, MAY 11th
- Chris Hyzy, U.S. Trust Chief Investment Officer
THURSDAY, MAY 12th
- Jon Corzine, MF Global CEO
- Mark Fisher, MBF Asset Management Founder & Chief Investment Officer
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
My advice of the day...
...if you are using ACD to daytrade, avoid getting into positions in which the OR (or any other range you may use as reference) is too wide....always check what is the ATR of that particular stock/commodity/currency you want to trade...and if the OR is too wide, leaving no upside or downside room left...don't bother trading...'cause chances are, the trade won't go anywhere and will get you out at a loss.....
Quote from MrFuture:
My advice of the day...
...if you are using ACD to daytrade, avoid getting into positions in which the OR (or any other range you may use as reference) is too wide....always check what is the ATR of that particular stock/commodity/currency you want to trade...and if the OR is too wide, leaving no upside or downside room left...don't bother trading...'cause chances are, the trade won't go anywhere and will get you out at a loss.....
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Not sure if it is just me, but perfect example of F----- U trade today with Crude oil....
ACD is giving me major sell signals on 6E now....shorting against the 4130 level as the long/short bias...we may see a major move
I think we can sell these 4080 in size with a 10 tick stop, we going to fall...lets risk 10 ticks on this
Quote from jsmooth:
I think we can sell these 4080 in size with a 10 tick stop, we going to fall...lets risk 10 ticks on this
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
6E trading around 4130-4140 level....
using some of those same weekly opening OR values and WK high prints, we can really use those values to start looking for some longs now....i think we can extend the time frame out too, look at the daily chart, we are setting up for a nice breakout from a triangle pattern, and a downside drop was already rejected Monday morning on bad news from the EU, so we start moving back up we can have a up breakout bias.
AUD open was around 4080 and a PP from the CME settlement prices is 4063 +/-4 (tight PP), so....so we got levels to use, trade above 4130 is bullish (also WK High prints), plus we above 4100 handle (being that level was minor Res the past few days and round number).
Time to start getting long IMO, we are breaking out of that triangle on the daily. I would then be watching the 4130 level as real tight stop to get long on a longer time frame move...
I'd also be putting some big size Short sell stop limits below 4078, and add more into breaks below new lows....i'd see that as a C down type trade through a tight PP....we would def make some new WK lows (and we should close on the lows of a weekly chart) if that trade develops IMO.
Just my opinion, whats everyone else think, or you just watching American Idol???
Quote from jsmooth:
6E trading around 4130-4140 level....
using some of those same weekly opening OR values and WK high prints, we can really use those values to start looking for some longs now....i think we can extend the time frame out too, look at the daily chart, we are setting up for a nice breakout from a triangle pattern, and a downside drop was already rejected Monday morning on bad news from the EU, so we start moving back up we can have a up breakout bias.
AUD open was around 4080 and a PP from the CME settlement prices is 4063 +/-4 (tight PP), so....so we got levels to use, trade above 4130 is bullish (also WK High prints), plus we above 4100 handle (being that level was minor Res the past few days and round number).
Time to start getting long IMO, we are breaking out of that triangle on the daily. I would then be watching the 4130 level as real tight stop to get long on a longer time frame move...
I'd also be putting some big size Short sell stop limits below 4078, and add more into breaks below new lows....i'd see that as a C down type trade through a tight PP....we would def make some new WK lows (and we should close on the lows of a weekly chart) if that trade develops IMO.
Just my opinion, whats everyone else think, or you just watching American Idol???
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Hey jsmooth, how did that trade work out? Curious how you managed that trade.
Mav, you getting a tight PP Range for today/tomorow? you think we'll see a volitile session? I am.
Quote from jsmooth:
Mav, you getting a tight PP Range for today/tomorow? you think we'll see a volitile session? I am.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
My weekly A up is at 1.4133. However, we have a confirmed monthly A down. So I would not be looking for any longs here. Rather I think this is a great short if we fail at this level. Also, we are going into month end so I don't like to initiate new trades at month end as there tends to be no follow through.
Im bidding more and adding size here, 4128-35...and moving my normal stop to more cars....if we starts trading low20s on volume ill be out and looking for something else
nice, over 4150+ moving stops around 4120 area, and watching YEN failure at this high is my sig to get out of 6e/usd or trade into the 20s, going to roll some stops though and let some ride
bought a few more on this way up, stops on all at 4125 on everything...playing a bigger move/breakout...time to just wait
price action now is shit, moving the stop up...4135 level
fuck, no more posting, got me stopped out on bullshit...ill catch you all back later
We are kinda getting some of the same setups tonight....PP +/- 1 @ 4134 (tight)...right at the WK OR (4130)...rallied right out the gate in australia. 4200 is a key level today, if we fail up there the daily is going to show a nice downtrend trend line for next week (and just a range bound mkt in a smaller time frame chart).
I think the reversal levels are again around 4120, but being a Fri into a three day USA weekend i dont think you'll see much follow through after an 11 ET US. I dont think we can really see a big C down type trade down through those levels.
Best trades are probably looking for a long with stops around the LOD and WK OR 4130 area and PP, but i dont thin we'll get any good setups.
My trade right now would probably to place some resting SS Stop limits below those daily and weekly OR numbers, and try to get long now around high 60's-70's with some initial stops under the 50 handle, then watch the 30 handle for support.
Keep your eye on the YEN...once we break 80, its going to test those earthquake 70 lows...
im bidding (smaller size, bigger stops) for some 4165's, stops 4148's. target continued up move.
mkt is 76x77...you got a good trade here buy big size at 76 stops under 69
stopped out on that
Wow, I guess there was follow through on that weekly A up after all. Traded right up to the ATR to the exact tick.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
This is a great thread and I was hoping someone who's read the book already can answer this question for me. Can the "numberline" concept be applied on any timeframe or is it meant to apply only to the "macro" timeframe?
Quote from logic_man:
This is a great thread and I was hoping someone who's read the book already can answer this question for me. Can the "numberline" concept be applied on any timeframe or is it meant to apply only to the "macro" timeframe?
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
What do you mean by any timeframe? Macro implies longer then intra-day. And since the numberline is rolling, there really is no max time frame.
Quote from logic_man:
Well, "macro" can also just refer to covering a large number of time units, even if the time units themselves are relatively small, e.g. hourly bars, or refer to simply a timeframe higher than the one you trade in, e.g. a daily indicator for someone who day trades, but I see your point.
I guess I was wondering if the numberline is, as they say, "fractal" so you could calculate it intraday, even if the calculation spanned multiple days using your selected time periodicity, so I could calculate a numberline for the hourly trend, or if you would just apply it at a daily or higher level.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I gotcha. Just as there is no wrong way to eat a Reese's peanut butter cup, there is no wrong way to use ACD. The number line hinges on the importance of recording significant price action in the market through the A levels. So any significant time frame that generates important A levels I think would be valid. So if you are talking about hour fractals, the problem I see is do you really believe the opening range at the beginning of an hour is statistically significant? If you do, then go right ahead. Remember, the number line is simply a recording device for ACD levels.
Quote from logic_man:
Thanks. From your response I see that the numberline is probably not going to work intraday because I don't think there is anything consistently important about the beginning of an hour, although it is true that the larger fluctuations tend to happen in the time just after the turn of the hour, at least in the ES.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Let me add a few ideas here for you. You can slap an OR on any time period that brings volatility and volume into the market. Examples would be 9:00 central time economic reports, 1:15 pm central time fed meetings and I've found that the European close at 10:30 am central time has been useful for OR. Also noon treasury auctions. So it is possible to have multiple opening ranges during the day, just not at the beginning of an hour.
Quote from logic_man:
Thanks. I've got a method for dealing with the fluctuations in volatility throughout the day, so that I'm always comparing apples to apples when it comes to price action. The specific problem I'm trying to solve is the one of "false positive" trade triggers in the context of a change in the hourly trend, either from uptrend to downtrend/downtrend to uptrend or from range to trend in either direction.
Of course, I need a way to distinguish them from the "true positive" triggers that is objective and thought that the numberline concept might be helpful, if it could be applied at a lower timeframe than daily. I think I've come up with something that will work, though, and still be objective, so it's not just me saying "I think I'm going to skip this trade. Doesn't feel right".
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
One of the key things about ACD is that it keeps you from over trading. It's actually a very passive approach to markets. I'm not sure it's all that effective is one is trying to be very active in the markets. When you talk about trend changes on such small time frames, it kind of goes against what ACD is built for. ACD is about a general bias. And the idea is the bias should NOT change throughout the day. So Fisher created these A levels as a high hurdle for the market to overcome to reveal the bias.
I think most daytraders get chopped up trying to catch every slight move and trend change. Many days ACD tells you not to even bother trading. This is why Fisher recommends following many markets and not just one. If all you follow is the spoos, you will find all sorts of patterns and reasons to jump into trades when crude oil or gold might be offering you a perfect layup.
I'm not saying it can't be done, I've just never seen ACD work well in a high frequency fashion. In fact, as a guy who has been around 1000's of traders over the last 10 years, I think there is a correlation to frequency of trading and failure. Especially in futures. We know that 90% of futures action is noise so we are really trying to capture that 10%. The more you try to catch every turn and every dip and every breakout and every big move, I think you are just sinking in quicksand.
BTW, I know hourly bars don't fall under the category of active trading, just trying to point out that less is more with ACD.
This thread has kinda died the past month....hows everyone been doing with ACD? does anyone motify their ACD levels now that its the start of Q3 - instead of using Jan levels, using some July levels on a macro basis (start of Q3).
Interesting action in the energy markets since the release from the SPR...Fisher was right on point when he noted some support at 9025 and some of the calendar spreads I think his son was talking about....we are getting some nice levels to play RBOB at the 3.08 breakout level, and the Crack now trading back up to 34. Their might be some opportunity in a Silver/Gold spread right now too...? Interest rate wise, the 2/10 spread has been pretty volitile...if we can firm up on these dips, around 250bp's, financials might be back in play to start buying again...?
Quote from jsmooth:
This thread has kinda died the past month....hows everyone been doing with ACD? does anyone motify their ACD levels now that its the start of Q3 - instead of using Jan levels, using some July levels on a macro basis (start of Q3).
Interesting action in the energy markets since the release from the SPR...Fisher was right on point when he noted some support at 9025 and some of the calendar spreads I think his son was talking about....we are getting some nice levels to play RBOB at the 3.08 breakout level, and the Crack now trading back up to 34. Their might be some opportunity in a Silver/Gold spread right now too...? Interest rate wise, the 2/10 spread has been pretty volitile...if we can firm up on these dips, around 250bp's, financials might be back in play to start buying again...?
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Q3 and beyond
Hi All,
I'm relatively new to the thread, but have been using ACD for some time now. JSmooth had asked about whether or not anyone re-set after the start of Q3. I'd say less than a "re-set" I kind of layer a new set of data on top of the old. So while I might have macro stuff for the year, the half-year and new quarter presents new opportunities to add another data "blanket" if you will.
I tend to think of ACD as a pile of blankets that I add and remove to find just the right temperature to sleep through the night, (if that makes any sense).
Anywho, this week has stunk for my levels and stocks, (the ones I use for ACD) and after getting a little chopped, (my own stupidity) on Tuesday I'm watching more than trading right now. Last week however was epic! Wondering if anyone else was having a similar experience as of late, (though I'm fully aware we all use different vehicles to make it work).
Re: Q3 and beyond
Quote from Quon:
Hi All,
I'm relatively new to the thread, but have been using ACD for some time now. JSmooth had asked about whether or not anyone re-set after the start of Q3. I'd say less than a "re-set" I kind of layer a new set of data on top of the old. So while I might have macro stuff for the year, the half-year and new quarter presents new opportunities to add another data "blanket" if you will.
I tend to think of ACD as a pile of blankets that I add and remove to find just the right temperature to sleep through the night, (if that makes any sense).
Anywho, this week has stunk for my levels and stocks, (the ones I use for ACD) and after getting a little chopped, (my own stupidity) on Tuesday I'm watching more than trading right now. Last week however was epic! Wondering if anyone else was having a similar experience as of late, (though I'm fully aware we all use different vehicles to make it work).
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Hi Maverick,
Thanks for the reply. Totally agree, (nice bid under the mkt). Regarding getting chopped Tuesday I was still looking down when I should have been looking up, (finally). That said, I should have known, given the covering that began at the end of this week's OR, (in almost everything I look at).
Thanks again for the reply, this is a great thread, and it's nice to be able to bounce things off of folks who have been doing this longer than me!
Nice set-up for a counter-trend ACD trade on SPY today.
Based on 15 minute opening range and an "A" value of 0.4, the "A Down" was almost exactly on top of the (H+L+C)/3 pivot point.
SPY bounced right off it and never looked back.
Keep MCO on your radar, look at todays actions/daily chart...Marks got a chapter in his book about those type of reversal patterns that span over multiple days (forgot what he calls it, but outside reversal day patterns that engulf multiple days prior) ....keep watching that one, your going to get a some nice TIGHT stop SS setups that you can potential really leverage up on...3671 is a key level to sell big size into (for this week)...plus add on some daily OR and daily PP for a tighter sell level...plus we all know these rating firms are shit and Einhorn is a big bear and short.
i'll be playing this one the next week...just read ken shaleen's book on options, i might try to play this one with options, i got about 7k of throw away capital to experiment with the options mkt for some MCO trades...I'll keep you updated on my ACD analysis and trades these next few days...your input is also needed, what is everyone else looking at, ACD wise...?
Hey JSmooth,
I'm looking at F. Despite the decent report Tuesday they tanked along with the broader market anyway. I managed a weekly a down, off the back of two dailies in a row. I'd expect weak strength today and further pain tomorrow.
I'm not really a guesser, but based on what I'm seeing, (D.C. etc) I think there's plenty more pain to come in the short-term, but that said, no reason to take any new positions this week.
Quote from jsmooth:
i'll be playing this one the next week...just read ken shaleen's book on options, i might try to play this one with options, i got about 7k of throw away capital to experiment with the options mkt for some MCO trades...I'll keep you updated on my ACD analysis and trades these next few days...your input is also needed, what is everyone else looking at, ACD wise...?
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
What the 30 year bonds. We confirmed a monthly A up and we failed at the weekly about 4 times but then broke above today. Tomorrow is the last day of the month which means we get new levels next week. I get the feeling the world is massively short bonds and the price action is very strong. These bonds could really explode to the upside regardless of the debt ceiling news. This is the trade to watch in my opinion. I think everyone is leaning the wrong way. I would look at the weekly levels next week after we get the news to take action.
Spoos are sitting on their monthly levels. We already bounced off of them twice to the tick. But with tomorrow being the end of the month, I would wait for next month's levels to take action.
I ended up watching MCO at the open, but that thing just didnt move (wasnt volitile enough for me), and i think it could be a 2-3 days before see a major move....ill just wait to be a seller once it breaks 35 (seems like Res on the chart).
Instead ended up looking at options on the $SPX...ended up buying 5 Aug 1250 Puts during slow lunch trade when we where sitting right below the pivot (on SPY - around 131.45 - if i remember) - bought 5 on a 9.50 bid. SPY/SPX/ES was above the opening prints but seemed like an A up fail, so my stop (and still currently is) a SPX cash close above the July Opening, or a day thats very well bid on the Aug first trade...
At around 2:15CT, I was long 5, I tried bidding on 3 more cars once the SPY broke below the day OR (130.60 - C DOWN) - was placing the order on the BID, never got filled tho...so ended the day still holding 5.
First support/place i'm looking to cover 1285 (200day MA on SPX daily)... not sure what my greek exposure is...but i'd be selling the Vega at vix 28-30.
The drop after the 'no vote' is around this level, so i may be considering closing tomorrow morning if the market goes bid (opens down, is bid, and never really makes an A down), and the VIX is not moving up (from the open)...on days like this, the first place i look for is the 50% fib of the gap...
But I'm staying short on this one right now and hopefully i can find a place to add and really push it tomorrow morning
The trade RIGHT NOW....is playing the 4320 level on the 6e (from the long and short side
Quote from drm7:
What opening ranges do you use for weekly and monthly levels? I would think that, since there are about 24 15 minute bars in a day, then the week's opening range would be about 5 hours and the month's the first day's range? I assume that the "A" levels are derived off of the monthly and weekly ATRs as well.
Quote from Maverick74:
Watch the 30 year bonds. We confirmed a monthly A up and we failed at the weekly about 4 times but then broke above today. Tomorrow is the last day of the month which means we get new levels next week. I get the feeling the world is massively short bonds and the price action is very strong. These bonds could really explode to the upside regardless of the debt ceiling news. This is the trade to watch in my opinion. I think everyone is leaning the wrong way. I would look at the weekly levels next week after we get the news to take action.
Spoos are sitting on their monthly levels. We already bounced off of them twice to the tick. But with tomorrow being the end of the month, I would wait for next month's levels to take action.
Quote from jsmooth:
I ended up watching MCO at the open, but that thing just didnt move (wasnt volitile enough for me), and i think it could be a 2-3 days before see a major move....ill just wait to be a seller once it breaks 35 (seems like Res on the chart).
Instead ended up looking at options on the $SPX...ended up buying 5 Aug 1250 Puts during slow lunch trade when we where sitting right below the pivot (on SPY - around 131.45 - if i remember) - bought 5 on a 9.50 bid. SPY/SPX/ES was above the opening prints but seemed like an A up fail, so my stop (and still currently is) a SPX cash close above the July Opening, or a day thats very well bid on the Aug first trade...
At around 2:15CT, I was long 5, I tried bidding on 3 more cars once the SPY broke below the day OR (130.60 - C DOWN) - was placing the order on the BID, never got filled tho...so ended the day still holding 5.
First support/place i'm looking to cover 1285 (200day MA on SPX daily)... not sure what my greek exposure is...but i'd be selling the Vega at vix 28-30.
The drop after the 'no vote' is around this level, so i may be considering closing tomorrow morning if the market goes bid (opens down, is bid, and never really makes an A down), and the VIX is not moving up (from the open)...on days like this, the first place i look for is the 50% fib of the gap...
But I'm staying short on this one right now and hopefully i can find a place to add and really push it tomorrow morning
The trade RIGHT NOW....is playing the 4320 level on the 6e (from the long and short side
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
i think we can just sell some 6e here (4266 )with a 20 tick give or take stop 1:15AMCT
Quote from jsmooth:
Dont worry about specific levels/times....you need to just understand about the whole concept of ACD....any level can be an A level (but it must be a point in time that someone, buyer or seller, is pushing the market (and getting fills aggresively - they dont care that they are paying up to buy, buying the offer and placing new bids...) , and you combine that info with the "avg volitility"/ATR to see if they are keep coming back to buy or are done buying and the market makes a failed A level...your not trying to identify A ups and downs....your trying to understand what is going on with the T&S - someone comes in and buys (Aup), or he just buys, then stops (failed Aup), or hes buying the first few hours (Aup), then stops and sellers come in (C down - now all those buyers are stuck short)....
Quote from Maverick74:
My weekly level on the Euro is 142.20 and we bounced off of it almost to the pip this morning.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Watch the 30 year bonds. We confirmed a monthly A up and we failed at the weekly about 4 times but then broke above today. Tomorrow is the last day of the month which means we get new levels next week. I get the feeling the world is massively short bonds and the price action is very strong. These bonds could really explode to the upside regardless of the debt ceiling news. This is the trade to watch in my opinion. I think everyone is leaning the wrong way. I would look at the weekly levels next week after we get the news to take action.
Spoos are sitting on their monthly levels. We already bounced off of them twice to the tick. But with tomorrow being the end of the month, I would wait for next month's levels to take action.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Watching the auto space today as usual. Weekly a downs were made in most names on Tuesday and we're confirmed for the month as well. Hopefully you're already short, (or long puts) looks like we'll take out the monthly ATR today. I was looking to cover F at 12.22 today, but the pre-market has it trading well below there... Could make a significant move lower if/when we break the 200 day SMA on the 'ole S&P.
Hope all you ACDers are on the right side of things today.
Quote from Maverick74:
Man this price action in bonds is really good. I truly believe this is "the trade". I'm telling you guys. Everyone is short, massively short. This debt news is going to catch everyone on the wrong side. Confirmations across the board. If bonds go out on the highs today going into the weekend and we pop on Monday, the shorts are going to experience some serious pain.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
My intra-day level on bonds today is 127'05. And that is currently the high. That level should hold.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
The fact that I'm the only one on ET talking about this trade only makes it better. Amazing.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
SPY with a strong rally, too. Lately SPY/ES and ZN/ZB, etc have been moving in opposite directions...looks like either a QE3 trade or a rally on rumors of a debt deal. (Not that it has anything to do with ACD...just an observation.)
The pivot at 130.67-ish would be a good target for this leg up on SPY.
Mav, your going to have a nice lead on that bond trade...i couldnt believe my eyes when i woke up and the 10 year was back down to 287! And the 2/10 curve is down to 248bp!
Quote from jsmooth:
Mav, your going to have a nice lead on that bond trade...i couldnt believe my eyes when i woke up and the 10 year was back down to 287! And the 2/10 curve is down to 248bp!
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Added to my SPX puts a few hours ago - BOT 1 AUG 1280P @ 20.50 when $spx traded back up to 1300 and failed (that was just below the SPY PP Range)...so currently long 5 1250P and 1 1280P.
I added with the 1280 in case we retrace for the rest of the day and trade back down to the 200day MA (daily). I probably should have took some profits this morning, was up about 7k+, now i got about a 4k lead on this position. just staying long vega, hope this vix keeps moving up.
Quote from jsmooth:
Added to my SPX puts a few hours ago - BOT 1 AUG 1280P @ 20.50 when $spx traded back up to 1300 and failed (that was just below the SPY PP Range)...so currently long 5 1250P and 1 1280P.
I added with the 1280 in case we retrace for the rest of the day and trade back down to the 200day MA (daily). I probably should have took some profits this morning, was up about 7k+, now i got about a 4k lead on this position. just staying long vega, hope this vix keeps moving up.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Unreal...127'27 trades. I think we are going to print a 130 handle soon.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Hey Maverick, I've been watching the 30-year as a result of your head's up this morning, wow, what a trade. Looks like the signals call for some last minute deal that catches everyone off sides. Just heard a talking head on TV proclaim with great certainty that the trade was in shorting the treasuries. Ouch!
http://www.zerohedge.com/news/massi...rops+to+zero%29
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Unreal...127'27 trades. I think we are going to print a 130 handle soon.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
So seriously, am I the only one watching this action in the 30 year? I rarely discuss trades on ET. This trade was juicy due to the debt ceiling news next week and the ACD price action which was going completely opposite of the crowd. I wanted to demonstrate how you use the levels to determine proper price action. You guys do know that you can trade the TLT ETF and get the same action right?
I'll publish the levels next week for everyone to follow along. But let me emphasize again what made this trade so good. Everyone is watching the spoos but the overall equity market has been choppy. I don't think anyone is leaning the wrong way in stocks right now. The spoos have been range bound now for 4 months so I don't think that is the trade.
Gold is overbought and certainly could sell off hard on the news but I think there are too many bids below the market to make that exciting. Bonds though, this trade is good because I believe the entire world is short. Bonds have been range bound the last few months but they are actually breaking out of their range now. If they continue to go higher you are going to see massive short covering. So the play is to watch your ACD levels to determine the price action.
Next week you'll want to buy the failed A downs intra-day and the failed weekly A down. Lighten up at the failed A ups. Keep watching your levels to spot the real energy behind the move. Next week we'll have real price targets on the upside to use as our guide. And if Bonds roll over, you'll be able to spot the difference between a normal pullback and an actual confirming sell signal to get out!
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
So seriously, am I the only one watching this action in the 30 year?
Quote from drm7:
Don't worry, Mav, there are more people following this than you think.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Be careful with the index trade. We failed at the A downs across the board in all the indices. I think we could pop really big on Monday.
First day of the month has been a killer for shorts this year.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Alright, check this prediction off. There's the pop. Bonds as expected coming off a few ticks along with Gold. The first test tomorrow for Bonds will be the intra-day A down and the weekly A down. Stay tuned...
Quote from jsmooth:
Yep...I was sitting on Lake Michigan, trying to relax, at around noon today, reading the twitter headlines, and i just had this sick feeling of death in my gut that spooz would be up big come 5pm and i should already be long now....
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
time to just wait and see...we'll sell some, watching 1309.50 ES...
Intra-day levels for bonds are 128'09 and 127'18.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Weekly levels for Bonds are 128'28 and 127'07. If we take out the weekly and confirm...watch out. We'll make a beeline to the 130 handle.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Weekly confirm on bonds and notes. The action is going to stay hot all the way into Friday's jobs report. The monthly A up will be an ideal target on this move. Traded a full handle up from the intra-day A up on the 30 year. Very Impressive.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
The strength in bonds continued today with a confirmed intra-day A up and a confirmed weekly A up. We closed just under the weekly. Upside target will be the monthly A up at 130'11. I would look to buy more on the dips at the failed intra-day A downs or the failed weekly A down at 127'07 if we get there.
Notes were a little weaker failing at the weekly A up at 126'11.
Bonds will probably chop for a few days digesting this rally a little waiting for the Friday jobs report. The bond market is totally focused on the econ data, not on the debt ceiling.
The spoos failed this morning at the weekly A down and we popped off of it. The TF almost to the tick.
Gold failed at the weekly A up.
Equity vol got crushed today after being bid through the roof last week. The VIX and the TED spread show no default risk in the market. Equities will probably get a pop on any kind of resolution tomorrow. The weekly A up in the spoos would be an ideal target at 1314.
Jobs report on Friday is going to be disastrous. However stocks most likely have priced that in. Bonds will probably a catch a bid on some more short covering.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Mav,
1. I cant believe your bonds are rallying so much!
2. The 2/10 spread keeps flattening...down to 248bp now! that is the big hedge fund trade now IMO
3. ES/Gold/CL (risk on trade)...wow what a reversal day!
4. USD/JPY...Intervention????
As for my option position, closed out the SPX 1250 and 1280 puts this afternoon, and bought 2 1300 calls...I was ready to close them at 9am if we opened and after 30 mins where trading above the Opening price on the SPY....(didnt happen) we pretty much just sold off on that level...I should have added (thats a low risk trade to sell more), but didn’t just kept holding with a mental stop of some time trade above that opening price (monthly/weekly/day) opening price....stayed short through the shitty 9 o clock number, which traded aggressively down through the PP (TIGHT pivot/volatile day)....closed out the puts after that and the slow trade below prior trade lows...flipped and went long around 2:30 during the Boner press conf....only long 2, so its basically a no risk trade...will add if we can trade above Mondays OR for SPY/SPX/DJI/NAS...
Also...watching the BAC 9Calls...want to get long 100 cars if I cant get a nice ACD setup on them.
I dont like the fact that tomorrow PP for the SPY/SPX/ES is ABOVE today’s closing price....we immediately open the day with the PP residence, but if we can get a gap up above that i'll leverage up even more on the long side...
Intra-day A down in bonds today at 129'02.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Intra-day A down in bonds today at 129'02.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
And what was the low today...it was 129'02.
Intra-day A up is 129'27. We should tag that at some point today. Getting close to that monthly guys.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
We just tagged 129'27. My work is done here.
Quote from Maverick74:
Upside target will be the monthly A up at 130'11. I would look to buy more on the dips at the failed intra-day A downs or the failed weekly A down at 127'07 if we get there.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Samsara:
Very admirable Mav, you make a great case.
One fundamental thing I cannot wrap my mind around though is the idea that there are no "objective" levels. Everything I've read still makes it seem as if there are values in these variables that either work or don't. Fisher's stated himself that the numbers in the book would lead to losses, indicating there are right and wrong values that adjust to market conditions.
If that is the case, then wider exposure of this method will dilute its results, which is pretty much one of the few fundamental truths of market behavior. If it's not the case, then there really are no precise levels, including what you've been posting (which clearly work in your context).
Regardless, everything about this method makes sense on an intuitive level. I find a lot of value in using ACD to read price behavior within the context of what I currently have, which is systematic. It seems to help "describe" what's happening in my completely uncorrelated system that actually does not use the instrument's price as a variable at all. Because it seems to make sense, I still feel a little uneasy with people's willingness to discuss ACD.
I wonder if anyone else might feel the same way. Is there a discrete "edge" here, and if so, can it be diluted?
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
http://blog.afraidtotrade.com/chart...ade.com+Blog%29
Here is another look at the bond trade by another person. No ACD involved but same idea.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Monthly A down in the ES is 1252.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
There really are no magic levels. As I've said before, ACD is a price action based system. Our levels could be off by 5 or 10 ticks but I'm pretty certain we would be in agreement about the relative strength or weakness of any given product.
I don't think there is any way to dilute the effectiveness of this methodology. Because not everyone will use the same volatility levels or the same opening ranges or trade in the same style.
I tried many times to "teach" ACD to guys in my prop office and it was an utter failure. Which proves that there is no "magic" involved. Trading is hard and it won't turn a bad trader into a superstar. It will simply make a good trader better. But you have to get guys to the good trader level. I think peace in the middle east might be an easier mission.
You don't see that everyday.
zbu....
Quote from Maverick74:
There really are no magic levels. As I've said before, ACD is a price action based system. Our levels could be off by 5 or 10 ticks but I'm pretty certain we would be in agreement about the relative strength or weakness of any given product.
Quote from Samsara:
But you are making specific calls to the pip/tick and noting how price has reacted to those levels. Certainly you can adjust the time frame in question and get different levels, but that's not a novel observation.
How is what you're saying different from "a cup & handle can be measured on different time frames"?
In other words, how are the principles of ACD any different from those of TA?
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Samsara:
But you are making specific calls to the pip/tick and noting how price has reacted to those levels. Certainly you can adjust the time frame in question and get different levels, but that's not a novel observation.
How is what you're saying different from "a cup & handle can be measured on different time frames"?
In other words, how are the principles of ACD any different from those of TA?
Mav, i'll catch catch you at Ceres on thurs or Fri (if u aint busy), let me know i'll be on LaSalle these next few days with some CBOE option guys.
Was long the aug1300Calls, sold em around $11 after we traded back below todays (7:30ct) OR on ES...and flipped and got long some 1250 Sept Puts...still holding..MAJOR LEVEL ON THE SPOOZ isnt the 200MAday, it the YR Opening Range....IMO..get at me cuz, @jdax414 twitter
Quote from jsmooth:
Mav, i'll catch catch you at Ceres on thurs or Fri (if u aint busy), let me know i'll be on LaSalle these next few days with some CBOE option guys.
Was long the aug1300Calls, sold em around $11 after we traded back below todays (7:30ct) OR on ES...and flipped and got long some 1250 Sept Puts...still holding..MAJOR LEVEL ON THE SPOOZ isnt the 200MAday, it the YR Opening Range....IMO..get at me cuz, @jdax414 twitter
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Bonds...131'11 high this evening. Wow. Very impressive.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
So the monthly A down in the spoos is 1252. If we close above there today then we did not confirm and this will more then likely be a short term low for the market. Textbook wick on the monthly A down. The Wicks are the perfect signals at failed A levels. Classic.
A bounce in the market should put some pressure on bonds and that 132 level today "should" be a short term high. But we did confirm on the monthly so I would be looking to buy any failed weekly A downs in the following weeks.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Watch the 30 year bonds. We confirmed a monthly A up and we failed at the weekly about 4 times but then broke above today. Tomorrow is the last day of the month which means we get new levels next week. I get the feeling the world is massively short bonds and the price action is very strong. These bonds could really explode to the upside regardless of the debt ceiling news. This is the trade to watch in my opinion. I think everyone is leaning the wrong way. I would look at the weekly levels next week after we get the news to take action.
Spoos are sitting on their monthly levels. We already bounced off of them twice to the tick. But with tomorrow being the end of the month, I would wait for next month's levels to take action.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
So the monthly A down in the spoos is 1252. If we close above there today then we did not confirm and this will more then likely be a short term low for the market. Textbook wick on the monthly A down. The Wicks are the perfect signals at failed A levels. Classic.
A bounce in the market should put some pressure on bonds and that 132 level today "should" be a short term high. But we did confirm on the monthly so I would be looking to buy any failed weekly A downs in the following weeks.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
The TED spread over the last 3 days popped over 50% from 16 to 26 which is the high end of the "normal" range. That's a pretty big pop and demonstrated better then the VIX the fear and panic. The VIX did some very nice volume though even though we couldn't break 25.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Sure. The levels I use in particular will work very well when volatility is pretty constant as it's a volatility based system. But they don't have to be to the tick. There are many unique factors that distinguish ACD from standard TA. The opening range cycles are "significant" and can be quantified. The system adjusts to current volatility. The time confirmation confirms volatility and price. And the volatility allows one to have price targets. At the end of the day, it either helps you read price action or it doesn't. Like I said, the levels are not magic. I taught the system to many guys in my office and the levels didn't do shit for them.
Because of the simplicity of the system it's very easy to compare different products against each other. That's very hard to do with standard TA. So AAPL has a cup and handle but GOOG doesn't. So what do you do? NFLX broke it's 50 day moving average but so have 50 other stocks. So now what?
As an option trader, I see the market through the lens of volatility. That is probably why ACD is so intuitive to me. If one is enamored with fundamentals or oscillators, this will be hard to pick up.
Quote from drm7:
I'm only a rank beginner in ACD (and its close cousin, Tony Crabel's opening range breakout), but I'll take a swing at this: The entire foundation of any opening range breakout strategy is a mathematical analysis - there are an unnaturally high number of days where the open is either the high or low of the day. The entire ACD strategy is built around exploiting that anomaly.
The follow-on observation is that, if price moves "enough" from the open, the probability of the open being the high or low of the day goes up even more. The "A" levels are rough approximations of "moving enough."
"Day" could also mean "week" or "month." Supposedly this aberration holds true for most timeframes.
Mr. Fisher also adds a bunch of other techniques on top of that (I haven't even scratched the surface there), but this simple statistical anomaly gets you 80% of the way there.
Failed intra-day A downs across the board in the indices! Pretty much to the tick.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Failed intra-day A downs across the board in the indices! Pretty much to the tick.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Wow. Lowest ISEE reading I have ever seen.
http://www.ise.com/WebForm/viewPage.aspx?categoryId=126
Low is bullish btw. Usually market bottoms happen around 50 to 60 on the ISEE. Tops around 200 to 250. Today's low 31!
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
mmfi stocks over 50 day avg, you can get this on barchart.
MMFI closed 3.76 today. Lowest print was 2.11 Oct. 2008.
Quote from kinggyppo:
MMFI closed 3.76 today. Lowest print was 2.11 Oct. 2008.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Maverick, today's fed statement explains
what you saw with ACD on August 2 in bonds,
which at the time seemed weird.
Who knows these things before they are announced?
I'm not sure what the difference is. I think it's the same. sometimes we simplify things and it comes across as something new. All these chart patterns and stuff all come from a deep analyses.
What i see is this being a possible difference:
TA would not memorize a pattern but will recognize it when he does his magic.
While others will have taken the TA's ideas, simplified it and made some memorable patterns that one can easily spot.
So one uses the others ideas simplifies it and focuses on memory. while the other develops and does studies to identify patterns.
Even a moving average in the end is TA. Its manipulating data to find a trend.
Just my thought i dont even know what acd is but sounds like it may have some thing to do with my style
Quote from Samsara:
What you wrote is an excellent explanation for those looking into this. It doesn't exactly get at what I was asking (i.e., how is this not a flavor of TA which is susceptible to being diluted with more people using it), but I think Maverick provided some ideas along those lines that makes a bit of sense to me. Many thanks.
at any give time there is a place for price to go up and down. We can find these spots anytime. a number of factors can guide price to a predetermined place. Like news.
sure the news will dictate direction. but studies can dictate where we have a strong support and resistance... even if price has never been in that level.
Also based on peoples tendencies not only can we spot where they will resist price, we can equally see when they will.
I still don't understand it and yes at times it feels like i am predicting news. Maybe I am ? maybe price does what it is to do and we actually follow ? our buying and selling is dependent on the chart. so in essence it is possible that we all follow a given set of rules ?
Quote from maler:
Maverick, today's fed statement explains
what you saw with ACD on August 2 in bonds,
which at the time seemed weird.
Who knows these things before they are announced?
What a week!
Wow, you really had to white knuckle playing any weekly signals this week, but ACD delivers again! My favorites in the auto space all lived up to their weeklies set Monday/Tuesday. That Fed statement was visual chaos, but I had the fortune of of remembering something Maverick posted once upon a time ago about slapping an OR around a Fed statement, or bond auction, etc.
Thanks Mav, that intra-day bounce off the OR created by the Fed Tuesday really made my week!
Hope everyone's ready for the pain next week, (unless I missed something and the whole world suddenly got better/fixed).
Quote from kinggyppo:
mmfi stocks over 50 day avg, you can get this on barchart.
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"You have to fix your roof when it's sunny outside" - JFK
Re: What a week!
Quote from Quon:
Wow, you really had to white knuckle playing any weekly signals this week, but ACD delivers again! My favorites in the auto space all lived up to their weeklies set Monday/Tuesday. That Fed statement was visual chaos, but I had the fortune of of remembering something Maverick posted once upon a time ago about slapping an OR around a Fed statement, or bond auction, etc.
Thanks Mav, that intra-day bounce off the OR created by the Fed Tuesday really made my week!
Hope everyone's ready for the pain next week, (unless I missed something and the whole world suddenly got better/fixed).
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from nitro:
Do you know what the yahoo symbol for that is?
Hi Maverick,
What formula are you using for A and ? Unless of course it is proprietary.
Thanks
Re: Re: What a week!
Quote from Maverick74:
I don't know about pain next week, but the weekly ACD signals will be your tell. Don't try to go into the week with a pre-set idea of what you "think" will happen or worse, what you "want" to happen.
Re: Re: Re: What a week!
Quote from Quon:
Maverick,
Thanks as always for your insight. I was getting caught up in the monthly levels and having seen an A down thought maybe last week was something of a head-fake before more monthly pain. Truly appreciate the wisdom you share with us here!
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Another failed A down today in the ES at 1184. The chop continues.
Bonds rallied 2 full handles off the failed A down intraday.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Great thread- I'm now looking forward to buying the book.
__________________
"I was in this game for the money.
The low hanging fruit, i.e. idiots
whose parents paid for prep
school, Yale, and then the Harvard
MBA, was there for the taking."
mav, why does fish use the same A and C values in stocks...but not in commodities? ive wondered this for the past year after reading, re-reading, and watching his vids (i cant figure it out)? when it comes to stocks i'll just use 25% of the ATR(30) (for both the A and C values): this is according to his website FAQ....why use the same value in stocks but not commodities? any ideas?
Quote from jsmooth:
mav, why does fish use the same A and C values in stocks...but not in commodities? ive wondered this for the past year after reading, re-reading, and watching his vids (i cant figure it out)? when it comes to stocks i'll just use 25% of the ATR(30) (for both the A and C values): this is according to his website FAQ....why use the same value in stocks but not commodities? any ideas?
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
One other thing I want to point out. There are a lot of guys on ET that go apeshit over large moves up and down. The A values adjust to volatility so they bring a sense of normalcy to the market. They keep you grounded. When the VIX was at 15 we had 10 handle ranges every day in the ES. With the VIX over 30, we now have 20 to 25 handle ranges. So just take whatever move we get and cut it in half if you have to get an idea of price action. This is what makes ACD so effective is that it immediately adjusts to the new volatility and gives you a proper perspective of price action. The same is true when ranges get really tight and we have 6 to 8 handle ranges in the ES.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Man this price action in bonds is really good. I truly believe this is "the trade". I'm telling you guys. Everyone is short, massively short. This debt news is going to catch everyone on the wrong side. Confirmations across the board. If bonds go out on the highs today going into the weekend and we pop on Monday, the shorts are going to experience some serious pain.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Bonds Gold
Hey Maverick,
Again, kudos on the Bond and Gold trades that you pegged in late July. I'm curious, was it the number-line that tipped you off to those moves, or was it just a time frame encompassing the month of August along with the fundamental decline in world financial markets?
I hope my question isn't too intrusive, but I do appreciate all of your posts here!
As always, many many thanks!
Re: Bonds Gold
Quote from Quon:
Hey Maverick,
Again, kudos on the Bond and Gold trades that you pegged in late July. I'm curious, was it the number-line that tipped you off to those moves, or was it just a time frame encompassing the month of August along with the fundamental decline in world financial markets?
I hope my question isn't too intrusive, but I do appreciate all of your posts here!
As always, many many thanks!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Bonds Gold
Quote from Maverick74:
So that was the thought process throughout the whole trade.
Re: Re: Bonds Gold
So that was the thought process throughout the whole trade.
Hi everyone,
I've read almost every post on this thread regarding ACD and understand that its use in trading.
Regardless, I just want to confirm a few things - in particular when Maverick refers to the A and C levels for different time frames (intraday, weekly, monthly, yearly).
You mentioned a good starting point is 20% - 25% of ATR(5) to ATR(10) calculation to determine ACD levels. However for intraday, would that be ATR of the last 5/10 days or ATR of the timeframe dictated by your Opening Range (say 15 minutes), then last 5, 15-minute bars
Conversely for weekly ACD levels, if your opening range is 1 hour, would you be using ATR of the last 5/10 hourly, daily or weekly bars?
IF you decide to use an opening range of 2 hours for the weekly ACD levels, would you be looking at ATR of the last 5/10 2-hour bars.
I understand that the levels are set as a level of which you consider a move significant based on the volatility. I just have a bit of difficulty understanding when you guys refer to ATR(5), ATR(10), ATR(30) what time frames you are actually using corresponding to the time frame in question.
Thanks,
Felix
Quote from Sedul:
Hi everyone,
I've read almost every post on this thread regarding ACD and understand that its use in trading.
Regardless, I just want to confirm a few things - in particular when Maverick refers to the A and C levels for different time frames (intraday, weekly, monthly, yearly).
You mentioned a good starting point is 20% - 25% of ATR(5) to ATR(10) calculation to determine ACD levels. However for intraday, would that be ATR of the last 5/10 days or ATR of the timeframe dictated by your Opening Range (say 15 minutes), then last 5, 15-minute bars
Conversely for weekly ACD levels, if your opening range is 1 hour, would you be using ATR of the last 5/10 hourly, daily or weekly bars?
IF you decide to use an opening range of 2 hours for the weekly ACD levels, would you be looking at ATR of the last 5/10 2-hour bars.
I understand that the levels are set as a level of which you consider a move significant based on the volatility. I just have a bit of difficulty understanding when you guys refer to ATR(5), ATR(10), ATR(30) what time frames you are actually using corresponding to the time frame in question.
Thanks,
Felix
Hi Quon,
Thanks for your prompt reply
I understand there's no wrong way but I want to identify the general approach that people have been using to figure out why the A level is calculated the way it is.
From the sounds of it, I am still evaluating the daily period (even though I am looking at the intraday movement) then I should really look at the average daily volatility of the past 5-30 days to identify how much movement can happen that current day.
The ACD levels as suggested by some users could be 20-25% of the average daily volatility to identify the significant levels where bullish/bearish bias is established.
Again the % of the ATR used can be dependent on how big the opening range I decide to use, which is also dependent on what I determine to be appropriate for the security I am trading. The style / framework factor also comes into play.
Thanks,
Felix
OK, so a good old friend of mine from the P&R forums decided to come up here and give me some criticism of my method or perhaps my application of this method. He sent this to me over PM. I won't name the poster as it's irrelevant. However, I do wish to post his comment and address on here as there has been very little commotion on this thread (which has been good). For the record, I love criticism and actually don't mind people posting some on this forum. I'm not sure how sincere this poster really was, but I'll address it none the less.
His comments:
"Bottom line: You either follow a method or you don't. You either take a confirmed signal or you don't. If you trade the ACD method, or any other for that matter, then you take its confirmed setups. Period. Everything else is only so much fluff & fold, including what your CTA friend does. If you hold this ACD method in such high regard, would you not have taken a confirmed setup irrespective of sentiment et al?
May I recommend Occam's Barber Shop for a really close shave?"
OK, so let's get right to it. I know the phrase price action can be very ambiguous to many on here. So let me try to define what I mean by the word price action and point out that the ACD methodology IS a price action based system. It is NOT a rules based system. A rules based system usually follows a logic of "if/then instructions. If this happens, then do that. It's very static and rigid and quite frankly, rules based systems work much better in predictable environments, certainly not the financial markets.
Price action is about making decisions based on the interpretation of several variables. It usually leans on the trader's past history, experience, knowledge and ability to recognize nuance and subtlety. The purpose of using price action over a rules based system is to spot and locate opportunities in the market that are NOT obvious to everyone else. Static systems are the opposite. Because static systems regurgitate the same variables over and over again in the same rigid manner, they can easily be spotted and acted upon by anyone that pays attention to it. And believe me they will if those static patterns happen to be working.
The reason why ACD cannot be a rigid rules based system is because there would have to be an assumption that the input variables are absolutely correct, which we have no idea that they are. Those input variables are the ATR length, the width of the opening range and the A variable. Since these are just "approximations" we cannot take them as absolutes.
So since we know there is some wiggle room in these input variables, we have to accept the fact that they are not always going to be precise and we must use them in a way that gives us some allowance for deviations. By utilizing a price action approach where we are watching several markets and using all the data available to us, we can actually get a much clearer picture of what is happening.
I have often described ACD as lens in which we view the market. We still have to trade and make decisions, but ACD makes those decisions more clear and precise.
His comment about confirmed set ups. There are NO confirmed setups in ACD. Again, the whole word confirmed brings us back to the rigid world of rules based trading. That simply does not work for me. When I use the word confirmation as it pertains to an A level, that simply means it has confirmed in "time". It does not mean close your eyes and take the trade. There are many reasons why I would NOT trade a confirmation on any time frame and I've gone over that in detail and have given specific examples.
Let me say this again, the best trades one finds in the market are usually the ones nobody else sees. ACD gives you the lens to find those trades. The whole world can identify a trend. The whole world can spot new highs and new lows and which products are breaking XYZ moving avg or taking out some critical support or resistance levels. I don't take trades that the whole world is running into. Not because they are not going to work, often times they do. But they will be messy. Stops going off all over the place. I prefer the trades no one is watching or levels that no one is paying attention to. Even better if most people are on the other side of the trade.
To sum up, trading is not easy. Very few people will ever succeed at this. ACD will not make a bad trader into a good one. It will only make a good trader better. There are no magic levels. There are no magical setups. Trading is going to require you to go against the best people in the world and beat them day in and day out every single day. It's going to require more then rules to succeed. It's going to require more then just a "system". I also want to point out there are a millions ways to use ACD and the way I use it is not the "right" way. It's simply MY way.
Hopefully I have addressed this PM in full. I always welcome comments and feedback. Both good and bad. It's possible the other poster simply doesn't like me and wanted to mouth off. Fair enough. But in case his comments were sincere, my above post should be an adequate response.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
So after this long detailed explanation, the poster who PMed me still thinks all I did on the bond trade was get long a confirmed breakout. For the record, the bond trade was NOT a breakout trade and I went through the logic in my previous posts. Anyone that pulls up a bond chart can clearly see that the price level where the monthly A up was in July was not a breakout and was in fact in the middle of the trading range of the previous month. That was my whole point!
What I've learned about ET over the years here is it doesn't matter how many times you say something or how well you explain it, people will believe what they want to believe.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
What I've learned about ET over the years here is it doesn't matter how many times you say something or how well you explain it, people will believe what they want to believe.
Quote from Samsara:
The most vocal are those who have a vested interest in disagreeing, but they're not everyone.
There's something to be said about cognitive dissonance and the people who talk a lot on ET.
I concur with others' sentiment on the value of this thread. I've been lurking around ET for awhile, and I gotta say this is one of the most informative and reasoned threads I've read. Much food for thought here. Thanks a ton for your insight and detailed explanations Maverick.
Quote from Quon:
This is well put. In my experience, the loudest folks are typically the ones who are getting their hats handed to them, and feel the need to "hate" if you will.
Maverick,
I think I speak for many of us when I say how grateful we are that you share so much of your hard work here at ET. I think for most people it's just impossible to believe that any level of interpretation could color a richer understanding of ACD. Hell, just last week I was on vacation 6 hours behind est, (the wife forces me to leave a convenient time zone so I don't trade-and I completely agree) and I spotted a move that was the near polar opposite of the monthly. No signal told me to get short, but I did, and it ended up being the best trade of the month!
ACD is a framework though which you have an opportunity to trade, but you have to know how to trade. Would you build a house knowing only how to swing a hammer? Nope.
Quote from Maverick74:
OK, so a good old friend of mine from the P&R forums decided to come up here and give me some criticism of my method or perhaps my application of this method. He sent this to me over PM. I won't name the poster as it's irrelevant. However, I do wish to post his comment and address on here as there has been very little commotion on this thread (which has been good). For the record, I love criticism and actually don't mind people posting some on this forum. I'm not sure how sincere this poster really was, but I'll address it none the less.
His comments:
"Bottom line: You either follow a method or you don't. You either take a confirmed signal or you don't. If you trade the ACD method, or any other for that matter, then you take its confirmed setups. Period. Everything else is only so much fluff & fold, including what your CTA friend does. If you hold this ACD method in such high regard, would you not have taken a confirmed setup irrespective of sentiment et al?
May I recommend Occam's Barber Shop for a really close shave?"
OK, so let's get right to it. I know the phrase price action can be very ambiguous to many on here. So let me try to define what I mean by the word price action and point out that the ACD methodology IS a price action based system. It is NOT a rules based system. A rules based system usually follows a logic of "if/then instructions. If this happens, then do that. It's very static and rigid and quite frankly, rules based systems work much better in predictable environments, certainly not the financial markets.
Price action is about making decisions based on the interpretation of several variables. It usually leans on the trader's past history, experience, knowledge and ability to recognize nuance and subtlety. The purpose of using price action over a rules based system is to spot and locate opportunities in the market that are NOT obvious to everyone else. Static systems are the opposite. Because static systems regurgitate the same variables over and over again in the same rigid manner, they can easily be spotted and acted upon by anyone that pays attention to it. And believe me they will if those static patterns happen to be working.
The reason why ACD cannot be a rigid rules based system is because there would have to be an assumption that the input variables are absolutely correct, which we have no idea that they are. Those input variables are the ATR length, the width of the opening range and the A variable. Since these are just "approximations" we cannot take them as absolutes.
So since we know there is some wiggle room in these input variables, we have to accept the fact that they are not always going to be precise and we must use them in a way that gives us some allowance for deviations. By utilizing a price action approach where we are watching several markets and using all the data available to us, we can actually get a much clearer picture of what is happening.
I have often described ACD as lens in which we view the market. We still have to trade and make decisions, but ACD makes those decisions more clear and precise.
His comment about confirmed set ups. There are NO confirmed setups in ACD. Again, the whole word confirmed brings us back to the rigid world of rules based trading. That simply does not work for me. When I use the word confirmation as it pertains to an A level, that simply means it has confirmed in "time". It does not mean close your eyes and take the trade. There are many reasons why I would NOT trade a confirmation on any time frame and I've gone over that in detail and have given specific examples.
Let me say this again, the best trades one finds in the market are usually the ones nobody else sees. ACD gives you the lens to find those trades. The whole world can identify a trend. The whole world can spot new highs and new lows and which products are breaking XYZ moving avg or taking out some critical support or resistance levels. I don't take trades that the whole world is running into. Not because they are not going to work, often times they do. But they will be messy. Stops going off all over the place. I prefer the trades no one is watching or levels that no one is paying attention to. Even better if most people are on the other side of the trade.
To sum up, trading is not easy. Very few people will ever succeed at this. ACD will not make a bad trader into a good one. It will only make a good trader better. There are no magic levels. There are no magical setups. Trading is going to require you to go against the best people in the world and beat them day in and day out every single day. It's going to require more then rules to succeed. It's going to require more then just a "system". I also want to point out there are a millions ways to use ACD and the way I use it is not the "right" way. It's simply MY way.
Hopefully I have addressed this PM in full. I always welcome comments and feedback. Both good and bad. It's possible the other poster simply doesn't like me and wanted to mouth off. Fair enough. But in case his comments were sincere, my above post should be an adequate response.
Quote from RCG Trader:
it's the only reason I don't have this fool on ignore. He is a trader, so I put up with his ass. jk, Mav, jk
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from cholmon:
I concur with others' sentiment on the value of this thread. I've been lurking around ET for awhile, and I gotta say this is one of the most informative and reasoned threads I've read. Much food for thought here. Thanks a ton for your insight and detailed explanations Maverick.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Yes. Thank you. I read but rarely comment. Today's action is indicative of new (or should I say ongoing) bearish sentiment. The rally got sold. Few are willing to buy at the top of the latest rally. Not very reassuring to longs.
Quote from Lojanica:
Yes. Thank you. I read but rarely comment. Today's action is indicative of new (or should I say ongoing) bearish sentiment. The rally got sold. Few are willing to buy at the top of the latest rally. Not very reassuring to longs.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
aug 15 interview, this guy articulates current events very well. Good stuff.
http://www.kingworldnews.com/kingwo...3A15%3A2011.mp3
spy gld
Quote from Maverick74:
You're welcome. I have to say, I'm very pleasantly surprised that this thread has not been infested with trolls yet. Usually they look for high quality threads where everyone is getting along so they can piss all over it. Knock on wood....hope they stay away.
Quote from kinggyppo:
aug 15 interview, this guy articulates current events very well. Good stuff.
http://www.kingworldnews.com/kingwo...3A15%3A2011.mp3
I have been following this thread with more interest for a few weeks, and went back and read the whole thing. All I can say is thank you to Maverick, and the others who have chimed in with their insight, warnings, and various styles of use of the method.
I went out and bought the book, and am about 1/2 way through. What I like about it is that I like the style of trading. It seems to keep you from getting hurt, and its strict enough to avoid overtrading. And it seems intuitive in the sense that it tries to stack different factors in your favor, b/4 you take a trade.
It seems to focus on the things that I have been studying, and trying to build a system around. I have been looking at developing a system based around price action, volatiity, and basic statistics of equities based on behavior in specific time frames. Focused on price moves from the opening print. (ie, if the stock moved x% from open by 9:45, what % of time did behave in x fashion, type stuff..)
I just havent been able to put it together, but this seems to give me a great template/framework to build upon.
This acd methodology incorporates alot of that, but just does it based on a OR, individual criteria for A formations, and some other goodies.
(I also like that volume isnt stressed. I have ever been able to make heads or tails of anything meaningful looking at volume in different forms, and pretty much thought volatility changes seemed like a better thing to focus on.)
I already have some questions regarding the method, but will withhold them until I read the book completely.
Thanks again for all the info.
edit: (I cant help myself, Just one question : )) I am an equities guy, and I have read over and over the need for "sufficient liquidity" in w/e you choose to trade ACD. Can someone who trades equities with this care to elaborate, on why it supposedly works better?
It seems to me like more of the volatile (frequently consistant, wide % intraday ATR issues) are around the 1M-7M average volume stocks.
Or does he mean "unusually" volatile (news/etc) where there is unusually alot more people trading?
Quote from mdl060374:
edit: (I cant help myself, Just one question : )) I am an equities guy, and I have read over and over the need for "sufficient liquidity" in w/e you choose to trade ACD. Can someone who trades equities with this care to elaborate, on why it supposedly works better?
It seems to me like more of the volatile (frequently consistant, wide % intraday ATR issues) are around the 1M-7M average volume stocks.
Or does he mean "unusually" volatile (news/etc) where there is unusually alot more people trading?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Just throwing my approach out there for a variation on the theme.
Some premises I am forward testing are continuation moves running into the next day's open, without exiting earlier unless on a stop. Entering at the A level, and at C on a failed A-up/down, given enough time holding above/below. I'm trying to supplement my current medium-term trading with shorter moves, as well as use certain setups to enter into positions earlier. But I don't have much success beyond closing profitable short term setups at the next day's open. How to put the puzzle pieces together to better visualize the big, longer term picture is what I'm ultimately after.
Cross-market analysis requires a bit of nuance I'm not ready to bring in just yet, but seems to offer the most promise down the road, as my main method requires tracking the relative behavior of other instruments in order to trade the indices. This is why I was drawn to ACD. Building a custom indicator based on ACD principles across multiple instruments is not easy to approach in a formulaic manner though.
For those of you who incorporate weekly levels, do you just use Monday's H-L +- A&C, based on a % of the 30 ATR? How do you use the weekly behavior in relation to intraday -- as a filter for the latter, or just to establish longer term positions, as Maverick demonstrated?
Quote from Maverick74:
Another product to watch is Coffee which is quietly breaking out. Monthly A up was 252 and it closed above the weekly today at 275. The level to watch is the QTR at 283. We take that out and she might gun it for the highs at 309.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Coffee
Another great heads up! Thanks again Maverick, much appreciated.
As you can see, Coffee was quite the out performer for the month of August. Once again showing that "product selection" is very important to making money in the market.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
As you can see, Coffee was quite the out performer for the month of August. Once again showing that "product selection" is very important to making money in the market.
Quote from Samsara:
For something like this, are there any other commodities you look at through the lens of ACD to inform a trade in coffee?
Or do you feel comfortable with the price action of C alone?
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
The answer is, it depends. For example in the grain space, you can look at what soybeans, wheat and Corn are doing and get an idea of which product is really breaking out. Same with fixed income and currencies. With coffee, sugar, cotton and coco, I just look at them individually. I'm sure there are plenty of fundamental guys out there that look at all sorts of stuff, but I try to keep it simple.
The real important thing for me is finding trades early before everyone else does. The whole world is watching the breakouts in Gold for example. Very messy trade now.
Last year ACD spotted a huge breakout in Cotton at 95 when 95 was a 20 year high. My CTA buddy explained to me that from a fundamental perspective cotton really can't go much higher. He later went on about 115 being the all time notional high during the Civil War. I told him it was a confirmed monthly A up and it was the first real breakout in quite some time and nobody in the media was talking about cotton yet. Well, we went from 95 to about 219 shattering every record on the book, doubling the levels from the Civil War. By the time cotton got to 150 CNBC was talking about cotton every day and it started to get messy. Limit moves up and down every day.
I cannot emphasize enough the importance in product selection, getting in products that are not over crowded and spotting tells no one else has picked up on yet. Just remember, when you get long or short with the crowd, your stops are next to their stops as well.
This thread finally made me go out and get this book. It fits perfectly with my volatility based models I already have. But even if one has no system, this is a good place to start if you understand the concepts. On a preexisting system, ACD will help ferret out false signals. That is what I see in it anyways, also a good way to develop a trail stop method.
Nice work starting this Mav.
Quote from RCG Trader:
This thread finally made me go out and get this book. It fits perfectly with my volatility based models I already have. But even if one has no system, this is a good place to start if you understand the concepts. On a preexisting system, ACD will help ferret out false signals. That is what I see in it anyways, also a good way to develop a trail stop method.
Nice work starting this Mav.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Throwing out more ideas, just to hopefully keep some discussion going.
My primary trading measures the rate of change of various inter-market relationships, and my long term goal is to build upon the tools I've created to incorporate ACD.
Right now I can only trade the equity indices because the relationships I track only show profitable signals there. Using ACD would allow me to expand the instruments I trade while normalizing, and maybe refining, a method of tracking relative changes in volatility. Diversifying across time frames would also help this.
I understand Macro ACD uses a running total of recent A or C entries, failed A entries, etc. Maverick's also been using monthly levels for various instruments. I'm sure his team's got their own proprietary variables for that. I'm trying to build my own to track, but it is arbitrary and contrary to the theory to use the beginning of the month to set the OR (unless transactional volume is statistically significant).
So, starting with the indices, maybe CPI, BLS nonfarm payroll employment reports and FOMC meetings seem to be logical opening range guidelines. They're cyclical, so it's easy to code, rather than readjusting for important events. The goal is to cast a good net between events to define when significant positions are established. That's what I'll be coding up next. Has anyone else found those events useful for longer term ACD?
OR around BLS
Sounds like a pretty good idea there. I especially like the idea of using the BLS non-farm report to build a monthly level around. That said, I haven't used it in the past myself, (my levels tend to be a bit more pedantic-happy to take the meat of a move and leave some on the table so long as I have some consistency).
From an ACD stand point you've got guaranteed volatility, at the begining of a timeframe, that's cylical. Kinda sounds like you're checking all the boxes, and you've certainly given us all something to discuss/think about. Many thanks for the post!
Re: OR around BLS
Quote from Quon:
Sounds like a pretty good idea there. I especially like the idea of using the BLS non-farm report to build a monthly level around. That said, I haven't used it in the past myself, (my levels tend to be a bit more pedantic-happy to take the meat of a move and leave some on the table so long as I have some consistency).
From an ACD stand point you've got guaranteed volatility, at the begining of a timeframe, that's cylical. Kinda sounds like you're checking all the boxes, and you've certainly given us all something to discuss/think about. Many thanks for the post!
You can get very creative with ACD. You might also look for big volume days, news event days, gap days, etc. All those days can be used for OR.
As I've said before, you will find your trading improve greatly when looking for things that don't happen often. Look for the rare trades. The trades no one is talking about. Look for things that don't make sense.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Coffee 284
Quote from Maverick74:
You can get very creative with ACD. You might also look for big volume days, news event days, gap days, etc. All those days can be used for OR.
As I've said before, you will find your trading improve greatly when looking for things that don't happen often. Look for the rare trades. The trades no one is talking about. Look for things that don't make sense.
Quote from mdl060374:
This is something I was thinking about, and would like feedback on from anyone in the thread. I guess it is a 2 part question.
1) Is anyone using more of a "macro setup" like a daily chart technical formation pattern as a point of interest when looking for candidates? (an example would be a wedge forming or major S/R level)
2) With regards to "high volatility", can anyone define what they use as criteria for this? What I mean is this:
A stock can be volatile (large % atr's intraday) on a regular basis. In other words, its normal to have decent swings, but not unusual. In other words, its normal to have large intraday swings.
-or-
A stock can be "recently and unusually" volatile in the last week or so (news, etc) but normally average.
So I guess my question has to do with how people defiine volatility, and is one of my criteria more applicable to this situation.
I ask b/c with situation #1, you will have naturally larger ATR levels, even if a tighter % is found to get your A's...
With situation #2, your "normal" ATR will be alot less (due to normal conditions) but since the stock NOW RECENTLY) is whipping around, it might work better.
or am I just over thinking this thing, and barking up the wrong tree?I am asking this b/c I trade equities, etc.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Lojanica:
Good call. Coffee has continued to climb!!!
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mdl060374:
This is something I was thinking about, and would like feedback on from anyone in the thread. I guess it is a 2 part question.
1) Is anyone using more of a "macro setup" like a daily chart technical formation pattern as a point of interest when looking for candidates? (an example would be a wedge forming or major S/R level)
2) With regards to "high volatility", can anyone define what they use as criteria for this? What I mean is this:
A stock can be volatile (large % atr's intraday) on a regular basis. In other words, its normal to have decent swings, but not unusual. In other words, its normal to have large intraday swings.
-or-
A stock can be "recently and unusually" volatile in the last week or so (news, etc) but normally average.
So I guess my question has to do with how people defiine volatility, and is one of my criteria more applicable to this situation.
I ask b/c with situation #1, you will have naturally larger ATR levels, even if a tighter % is found to get your A's...
With situation #2, your "normal" ATR will be alot less (due to normal conditions) but since the stock NOW RECENTLY) is whipping around, it might work better.
or am I just overthinking this thing, and barking up the wrong tree?I am asking this b/c I trade equities, etc.
Not sure if I posted this before. In case anyone is interested:
http://www.futuresmag.com/Issues/20...ots.aspx?page=1
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Not sure if I posted this before. In case anyone is interested:
http://www.futuresmag.com/Issues/20...ots.aspx?page=1
Quote from Maverick74:
I think you may be over thinking things too much. Keep things simple. Ask yourself some basic questions:
1) Does the product look strong or weak?
2) Is there anything unusual about the behavior of the product right now?
3) Is this product being heavily watched at the moment?
I actually don't like when a product becomes more volatile the normal because more often then not, that means the move is just about over. Volatility is nature's way of bring back normalcy to a product. You want to get in the product before it becomes overly volatile.
Also, just a general recommendation. Please don't add too many other indicators to whatever you are doing. I've never met a profitable trader that uses too many indicators and needs so many confirming indicators. What makes price action is effective is that it's simple. Indicators kill price action because it destroys the purity of it.
Quote from mdl060374:
I am a bit confused. Are you saying those are desireable traits? If so, I thought earlier you said that when everyone is watching/trading the same thing, its not a good quality. But isnt that what brings volatility?
Sorry, I am kinda confused on the point you are trying to make.
I guess, (and perhaps I am wrong) since volatility moves in cycles, I was thinking find something that has recently been volatile, (or has the habit of expanding and contracting rather frequently), wait for it to settle, than anticpate the next move or failure...
Absolutely. I learned this awhile ago. In fact, I skipped the section on moving averages in the book. [/B]
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Excellent stuff Maverick. TY for the tip.
And yeah, I think I kinda fit that profile, I did the scan thing a bunch of different ways, and got similar results
Although with futures a historically low ATR produces little results for me not sure about ACD?
Quote from Maverick74:
Volatility usually means the trade is becoming crowded, over leveraged and the price action is driven by stops. It's very hard to make money in those markets. Usually "daytraders" want volatility because they have a fixed amount of time to exit a position. A swing trader does not. A swing trader wants trend, not volatility. Of course all traders want movement, but not erratic movement.
It's very hard to enter a swing trade with a stop if there are stops all around you and people jumping in and out with massive leverage. I much rather have a quiet market that is being slowly accumulated that is trending.
One of the mistakes a lot of newbies make is looking for volatility. It causes them to get into stocks or commodities "after" they have made big moves and now the product is whipping back and forth stopping everyone out. It causes them to over trade and also to build bad habits i.e taking profits too quickly.
Once you see an explosive move in volatility, usually it's best to look for trades elsewhere. Not wait for them to calm down and get in them. The volatility usually represents the culmination of a move.
I remember back when I daytraded in NY for Worldco as a newbie, I would run scans everyday for volatile stocks, because that is where I thought the "action" was. Then one day a guy came up to me and said why are you watching those stocks, the move already happened. Watch these. I said, those stocks look dead, why would I trade them. And his response was, because they are going to move. I asked him, how did he know that? He said, it takes practice, but that is the skill you need to develop. It's not easy, but who said trading was.
Quote from Quon:
Just adding my two cents, (for what it's worth).
I think it's important that you find something that's confirmed an A on a longer term time frame, and yet not become overly volatile just yet. A's tend to occur before the product really explodes to the upside, (look at Maverick's calls on Gold, Coffee, and ESPECIALLY the 30yr) and just because something confirms say a monthly A, doesn't mean it can't pull back too, (this is important).
Sometimes you're in the trade while it's making an A. If so, great, but sometimes you're not. No worries there, keep watching, and play a favorable bounce. Remember what Fisher says about confirmed A's - they can pull all the way back to the bottom of your OR without being "broken."
Quote from pwrtrdr:
Although with futures a historically low ATR produces little results for me not sure about ACD?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Aw shucks RCG. I'm so flattered.
Down in P&R I got the impression you didn't think I traded or understood markets.
Well, good to get you out of the basement of ET. There is more light up here and a little bit more friendly. Welcome on board. Have a cocktail. Stay awhile.
My first trade post ACD is to take a good A down and sell Aussies and buy Yen. So far so good. I was so confident of this trade that I took the weekend spread to get in at Oanda.
Quote from Maverick74:
If you are a not a price action trader, the comments about volatility are not particularly applicable.
Let me put this another way. Volatility produces noise. The more noise, the harder to read price action.
Quote from RCG Trader:
I knew you traded, but I can see you are a competent technician, which translates to you knowing what you are doing. I know ur in my neck of the woods, so next time I am in Chicagoland I will take you up on that brewski. You follow the White Sox tho, and thats an issue, but otherwise you seem like a pretty cool guy
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from RCG Trader:
My first trade post ACD is to take a good A down and sell Aussies and buy Yen. So far so good. I was so confident of this trade that I took the weekend spread to get in at Oanda.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from pwrtrdr:
Day trading requires some decent volatility imo.
Swing and trend trading I understand what you are saying......although risks change dramatically comparing over night positions vs. intraday.
I read the book, some good ideas well presented
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
BTW, my monthly A down on the AUD/JPY is 80.58. It traded down to 80.45 and bounced. Successful test of that level.
Quote from Maverick74:
Brewski sounds good. Just give me some advance notice to make sure I don't have a stormfront meeting that night.
Quote from Maverick74:
Let me clarify my comments on volatility a little more. I'm not talking about absolute volatility i.e CL is more volatile then DX. I'm talking about relative volatility. For example, AAPL has a 30 day ATR say of 7.00 and now has an ATR of 12.00. I'm saying when volatility exploded likes that, usually the move is either over or in the process of being over. I'm not saying to look for products that don't move. The tells are spotted by looking at "relative volatility" not "absolute volatility". Hope this clears that up.
Quote from RCG Trader:
Fish does mention that when Pivot ranges contract, a big move is on the way. I saw that with the usdjpy pair. Three day and one day pivot two pips apart. Oh well, hindsight.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Let me clarify my comments on volatility a little more. I'm not talking about absolute volatility i.e CL is more volatile then DX. I'm talking about relative volatility. For example, AAPL has a 30 day ATR say of 7.00 and now has an ATR of 12.00. I'm saying when volatility exploded likes that, usually the move is either over or in the process of being over. I'm not saying to look for products that don't move. The tells are spotted by looking at "relative volatility" not "absolute volatility". Hope this clears that up.
Another way to use ACD is to watch the pivots on the higher time frames. If price is trading within the pivot ranges or on the wrong side of your daily signal then it could invalidate the trade or suggest you reduce size due the daily signal being either counter trend or consolidation. I noticed that when Mav pointed out to me an A number on a higher time frame on that AUDJPY trade. That could serve as a profit target if a bounce or a pullback from that number is seen.
Very nice book this Logical Trader, got me to thinking about how to improve my system again.
I like Joe. He spent 18 years at MBF. He and Rick Santelli are the only ones I listen to on CNBC. So I'm giving him a plug for his new book about to come out.
http://www.amazon.com/High-Sell-Hig...15404223&sr=8-1
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Joe's Book/September
Hey Maverick,
I typically like to look at what Joe's doing too. Since reading the Logical Trader, (and seeing his name in the dedication) I've tried to keep an ear out for some of the trades he seems to be looking at.
Sounds like the book, (just based on the title) is something that'll be of interest to the folks in the forum. Thanks for bringing this to our attention.
All,
On a trading note, I'm looking at monthly A downs in lots of things so far, and this "rally" the last day or so looks a little long in the tooth, (just based on not getting any intra-day A ups yet today - granted it's early). I'm wondering if other people are looking at the same things, or if I'm grossly off-sides for September. I will say that with all the added volatility as of late I'm less sure of my levels, (seems like on any given day something could just break and scream higher/lower).
Anyone have any thoughts on September's action so far? Or are we all waiting and seeing still?
Re: Joe's Book/September
Quote from Quon:
Hey Maverick,
I typically like to look at what Joe's doing too. Since reading the Logical Trader, (and seeing his name in the dedication) I've tried to keep an ear out for some of the trades he seems to be looking at.
Sounds like the book, (just based on the title) is something that'll be of interest to the folks in the forum. Thanks for bringing this to our attention.
All,
On a trading note, I'm looking at monthly A downs in lots of things so far, and this "rally" the last day or so looks a little long in the tooth, (just based on not getting any intra-day A ups yet today - granted it's early). I'm wondering if other people are looking at the same things, or if I'm grossly off-sides for September. I will say that with all the added volatility as of late I'm less sure of my levels, (seems like on any given day something could just break and scream higher/lower).
Anyone have any thoughts on September's action so far? Or are we all waiting and seeing still?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Also, we are now back above the monthly A down in the ES. This is one of my favorite trades when the weekly A up is right above the monthly A down and we cross back above the monthly A down to confirm the weekly A up. Solid setup for a low risk trade.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Maverick,
As always thank you! I think I need to re-evaluate my OR for the monthly level, or take a look at my entry method/timing. I think I'm jumping the gun on some of my trades, (especially when I'm leaning against the monthly level).
Again, thanks for your insight, much appreciated.
Quote from Quon:
Maverick,
As always thank you! I think I need to re-evaluate my OR for the monthly level, or take a look at my entry method/timing. I think I'm jumping the gun on some of my trades, (especially when I'm leaning against the monthly level).
Again, thanks for your insight, much appreciated.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Also, we are now back above the monthly A down in the ES. This is one of my favorite trades when the weekly A up is right above the monthly A down and we cross back above the monthly A down to confirm the weekly A up. Solid setup for a low risk trade.
Quote from Joman:
Very good thread and thanks for the relevant information provided.
Just a quick question, sorry if this has already been answered.
What is the time basis for weekly and monthly opening ranges ? 1st day of the week , of the month ? I think I saw 1st Friday somewhere in the thread ?
I don't remember that Mark Fisher talked about higher timeframes in his book and I find this idea very interesting.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I appreciate the fairness of your answer
You're right, this method is flexible enough to make it your own.
Keep up the good work.
Quote from Maverick74:
There is no "standard" time basis. Again, I really want to emphasize something. Whenever I Google ACD to see what others are saying about it, all I get our topics where people are asking what the magic A levels are or what are the "right" opening range times. There are no NO secret A levels and there are NO right opening range times. You need to pick times and levels that make sense to YOU. Not me or anyone else. At the end of the day, you are the one that has to pull the trigger.
Quote from Samsara:
I get what you're saying and why you're saying it, but I think there's a bit of nuance in the idea that there are no right levels. Certainly there's a right and wrong way to approach his method.
Fisher's trading began from the premise that the intraday opening high-low of an instrument determines its close at a statistically significant level of confidence. Care must be put into choosing the right "domicile market".
The theory implies that you're casting a relevant net on the behavior of those traders who move the instrument, and that the net should land around when big players take their positions (relevant to your preferred holding period). You mentioned gaps and above-average volume as possible boundaries. To me, for the indices, I'm using the time between two big cyclical reports. But I'm mostly using it to support my other method, by providing a lens to intraday behavior so I can fine tune when I jump in.
The levels can vary, and they're not "objective" in the sense that they always work for all people at all times. But it also doesn't mean that the method is completely relativistic.
It wouldn't make sense to choose the last 47 minutes of the day as an OR in determining what the next morning's open, for example. For other commodities it makes no sense to me to arbitrarily choose, say, the first five days of every month. Why would it? Do funds or big traders change their models like clockwork based on day 1 of every month? Intraday (to me) seems to accommodate more flexible ORs; longer term seems like it requires some data analysis.
That's why I think it's fair for people to wonder what the right levels are. "Right" implying logical -- consistent with the theory and not chosen out of a hat, while still accommodating the right volatility and holding period for the individual trader.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Yes, of course the opening range should make sense. I'm simply referring to the difference of say using 5 minutes vs 10 minutes. I thought that was assumed. And yes, choosing the domicile market is important and that is explained thoroughly in the book.
Please understand, I'm responding to many of these posts assuming the reader has read the book. It would be far too cumbersome if I had to actually write out all the material from the book when I'm assuming anyone who is reading this thread and would actually apply this method to their own trading would make the small investment required to purchase the book.
All the basic ideas are discussed thoroughly in the book.
Quote from Samsara:
But I'm not about to dive into the softs or cotton without a good idea why ACD works for it -- why I'm casting my net a certain way. Just my opinion, take it with a grain of salt; I don't have the track record with this method to speak from experience.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
This is exactly why "you" need to construct the levels so you know why it should work or not. You shouldn't trust me. ACD is a canvas. You need to supply the paint and brush to create your own art. My art will look like shit to you.
Look, I read the book just like everyone else. I didn't have a direct line to Fisher. I spent 5 years working on this stuff. Yeah, it's a lot of work and I continue to work on it day in and day out. Everyone is going to have to go through the same process. I simply took what I knew about trading and did a lot of trial and error and tried to apply whatever logic I could to put together a complete and robust methodology. There were no shortcuts. I had no reference material to read or websites to go over. In fact, most of you guys reading this thread are getting a 3 year head start on where I had to begin.
Quote from Samsara:
Agreed: and right on. For those of us who've been at this for a while, I think what you've demonstrated and talked about with ACD really hits it home. Not like anything else I've seen on ET. I'm personally incredibly grateful people like you and Fisher are willing to provide a view into this.
Trading is like that anyway: you have to make any method your own. I've never seen anyone successfully translate their own successful skill to others. You only stand behind the risk of your positions if you fully get what goes into them.
I'm all for talking about the process I'm going through building out my own "lens" here -- that's all I'm saying. In other words, it's not a bad thing that people are trying to figure out what aspects of the method are logical for their own strategies. Some may be looking for magical levels, but I think many are just trying to understand how and when the theory has utility.
Quote from RCG Trader:
ACD, from what I can see, is structural method. Your signals are your own. ACD is a good way to look at, and filter, some of your own signals.
Some more meat for the grill.
Does anyone see a possible monthly A Up in live cattle on your charting setup?
Or cotton?
Or is my lens broke? Just testing the waters here. Ignore this if I'm off in left field.
Well, that just the thing, and the beauty of the method. There is no wrong way to apply it. The only wrong way to apply is if you don't do it.
The point is that, according to your own rules, cattle makes a monthly A up. If it is a good A, so much the better. You then pan in to look for a good place to get long because you know you have price behind your back. ACD from what I can glean is meant to force a trader to trade less and not be countertrend when they do. So it is not what number cattle made a monthly A. Your number is your own. It is that price action caused cattle to meet your monthly A up.
Quote from RCG Trader:
Well, that just the thing, and the beauty of the method. There is no wrong way to apply it. The only wrong way to apply is if you don't do it.
The point is that, according to your own rules, cattle makes a monthly A up. If it is a good A, so much the better. You then pan in to look for a good place to get long because you know you have price behind your back. ACD from what I can glean is meant to force a trader to trade less and not be countertrend when they do. So it is not what number cattle made a monthly A. Your number is your own. It is that price action caused cattle to meet your monthly A up.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Here is an example. Just a few minutes ago, on the daily chart I received a buy signal from the EURUSD in the form of a momentum change on my MACD. So let's verify this with ACD.
1. Price is below the pivot range.
2. Price has not made MY personal A up. I will have a good A up at 4197. I got the signal at 4010.
Lemme check the weekly chart. Top of the weekly pivot range is 4341
Top of the monthly pivot is is 4266.
So, 4342 is the place where there will likely be more buyers than sellers and I will get long there. That is how I use ACD. That entry point is 300+ pips away for a reason. So ACD makes it much harder to get long than short in this particular environment. This slows down the pace that trade at, and makes sure that price is lined up on all the major time frames. If I take that trade and immediately get stopped out, I can watch for a C down for that calendar day.
Best, we can discuss trade anatomy because everyone will use ACD differently.
Quote from Maverick74:
RCG, I'm thinking you may have read "The Logical Trader" more then once.
RGC Trader,
I see exactly what you're saying. Yesterday I posted that I was looking at modifying my OR. It wasn't because I thought it should be a half day versus a full day, but rather because I thought the day I might be using was less significant, (TO ME) than another time frame I'm considering.
I'm really still testing it all out here, (only got the book about 2 months ago, and have read it about three times thus far).
One way or the other I appreciate the contributions of everyone here and since reading ACD have been impressed with my results.
Quote from Samsara:
Some more meat for the grill.
Does anyone see a possible monthly A Up in live cattle on your charting setup?
Or is my lens broke? Just testing the waters here. Ignore this if I'm off in left field.
Quote from drm7:
Samsara,
One thing to keep in mind when looking at longer-term commodity charts is the "roll effect." See those big gaps in the cattle chart? They don't really exist as that represents the difference between the expiring contract and the next contract. To get a true long-term picture, you can either chart back-adjusted data (which costs either $$ or time), or chart just the current front-month. You won't get as long a history, but you see what is actually happening with price action.
Barchart.com has a "daily contract" setting for this.
By the way, this is a great thread.
Quote from RCG Trader:
Well, that just the thing, and the beauty of the method. There is no wrong way to apply it. The only wrong way to apply is if you don't do it.
Quote from Samsara:
Listen, I know you're digging the broad strokes. There are many things I disagree with in Fisher's discussion (the moving averages stuff, MAs of pivots, etc.). But the idea that there's no wrong way to use what he's discussed gets under my skin.
As he said himself -- take his method he put forward in the book and use it on the indices and you'll lose money. Use the levels as straight-up entry signals and you'll lose money. Draw the OR on the wrong domicile market and you're just flipping coins. Plenty of ways to misapply the idea of capturing the right volatility for the right reasons.
What I'm working on is using this stuff as a lens into my own longer term method, and that requires effort and practice. Dreamy mysticism isn't my flavor.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Samsara:
Listen, I know you're digging the broad strokes. There are many things I disagree with in Fisher's discussion (the moving averages stuff, MAs of pivots, etc.). But the idea that there's no wrong way to use what he's discussed gets under my skin.
As he said himself -- take his method he put forward in the book and use it on the indices and you'll lose money. Use the levels as straight-up entry signals and you'll lose money. Draw the OR on the wrong domicile market and you're just flipping coins. Plenty of ways to misapply the idea of capturing the right volatility for the right reasons.
What I'm working on is using this stuff as a lens into my own longer term method, and that requires effort and practice. Dreamy mysticism isn't my flavor.
Quote from Maverick74:
Well, yes and no. There can be debate about this but at the end of the day, all technical analysis is about the presentation of data. Since all that data is historical in nature, TA simply presents that data in a readable format. I personally disagree with Fisher on some things, well a lot of things. But that is probably because we have different trading styles. I have picked up on some things that I'm sure he would disagree with but they actually work, and work quite well.
I also disagree with the notion that he or anybody can say if you do this then you will lose money. That implies red light/green light. When I talked to him in person he said that obviously if you just get long and short at the A levels you will lose money and that I agree with. He was speaking about the intra-day signals.
But as I've said before, this is a trend following system for the most part. Even the fade trades are and can be trend following in nature. I don't think anybody would look at a gold chart and think short or a bond chart and think short. We might disagree on where to enter and where to exit but both of us should be looking to buy gold, not sell it.
A big part of trading futures is not getting stopped out. So it's very important for me to avoid crowded trades and taking obvious trades because those trades will have the most stops and the most whipsaw. In a perfect world you enter in areas on a trend where no one else is. This gives you that level all to yourself and minimizes the risk of getting stopped out. It's important to note what RCG said in that what is nice about ACD is you don't over trade. You don't get long, then stopped out then get long again only to get stopped out and then long yet again. It's one shot. So stop placement and entry areas need careful consideration. This is irregardless of A levels.
What I liked about the book is that in the back where he had the trader interviews, he had 5 or 10 guys all using ACD differently. Some barely at all, others used it simply to verify their own instincts. As long as they made money and they understood the price action, that is really all that matters.
Quote from Quon:
RGC Trader,
I see exactly what you're saying. Yesterday I posted that I was looking at modifying my OR. It wasn't because I thought it should be a half day versus a full day, but rather because I thought the day I might be using was less significant, (TO ME) than another time frame I'm considering.
I'm really still testing it all out here, (only got the book about 2 months ago, and have read it about three times thus far).
One way or the other I appreciate the contributions of everyone here and since reading ACD have been impressed with my results.
Quote from Maverick74:
A big part of trading futures is not getting stopped out. So it's very important for me to avoid crowded trades and taking obvious trades because those trades will have the most stops and the most whipsaw. In a perfect world you enter in areas on a trend where no one else is. This gives you that level all to yourself and minimizes the risk of getting stopped out. It's important to note what RCG said in that what is nice about ACD is you don't over trade. You don't get long, then stopped out then get long again only to get stopped out and then long yet again. It's one shot. So stop placement and entry areas need careful consideration. This is irregardless of A levels.
Quote from RCG Trader:
Think of ACD as trading restrictor plates so you don't hit the wall and kill yourself.
What is so mystical about that?
Quote from Samsara:
I'll just be very brief and clear.
I am not saying ACD is mystical. I'm saying the notion that anyone can choose any variable for the method he described and have it remain useful is mysticism.
Please just try to resist the urge to re-describe the method and read closer into the specifics of what I am saying; it saves a lot of back and forth.
Quote from Samsara:
I'll just be very brief and clear.
I am not saying ACD is mystical. I'm saying the notion that anyone can choose any variable for the method he described and have it remain useful is mysticism.
Please just try to resist the urge to re-describe the method and read closer into the specifics of what I am saying; it saves a lot of back and forth.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from RCG Trader:
Okay, please try to find the post where I did not describe the method verbatim as described in the book. I think your own filters are getting in the way. I think that any and all readers would agree with my assessment.
Quote from Maverick74:
Now he probably has a reason for why he chose those A values. In fact if he sat me down and explained why he chose them I might say, hmm...that makes sense. But since I have no idea how he thinks, his A values look crazy to me.
Quote from Samsara:
Not trying to be rude man. I think either I'm being too wordy or your reading comprehension is completely missing something and you're disagreeing with a phantom interlocutor in your head. Maybe reread from page 66 of the thread if you want, but it's all good either way -- let's just hopefully get back to discussing the logic of the method.
Quote from Samsara:
I'd be curious also. I have no idea how he trades or what his levels would look like. I know he's got a few people optimizing the ATR stuff by backtesting. For how I'm trying to approach it, the A and C levels are pretty arbitrary. It's the OR that I am trying to be really careful about -- particularly for weekly and monthly data.
Quote from RCG Trader:
So you keep saying that you have an issue with the idea that the method can applied any way you want and you will be successful. THERE IS NO WRONG WAY TO DO THIS.
Quote from RCG Trader:
Try this. For weekly values, your OR is the first day of the week. For monthly the OR is the first week of the month. This ain't hard Sam
You are overthinking this.
Quote from Maverick74:
Don't get caught up in precise levels. It's much much much more important that you understand "your" levels and why you chose them. My levels are not better then yours. But I understand my levels forward and backwards seven days a week and twice on Sundays. Remember, ACD is simply a lens in which to understand price action. You and I might wear different shades of sunglasses but if we walk outside and it's raining, we should both agree no?
Too many traders focus on minute details and fail to see the forest through the trees. Just try to focus on price. Think about what is actually happening in the market with regards to price. Leave your personal opinions out of it. I always tell traders, markets are not that complicated they can only go up or down. You have two choices. Most important decisions in life have far more then two choices to make. Remember, trading is easy, very easy, when compared to real decisions you make every day that affect your family, your health or people around you.
Quote from mfbreakout:
It's hard to express how happy I am to find fellow traders who use Mark Fisher ACD system as part of their trading. I been looking for 9 months or so to connect with traders who use ACD system and finally landed here.
I been trading full time for 3 years. First 2 years stocks and E-mini. Basically, went through all the learning steps, each new trader goes through. After loosing money for 2 years and spending 12k on different coaches and training material, I was at the end of the rope.
I happen to notice Mark Fisher on CNBC 9 months ago. The moment, i saw he was youngest silver pit trader at one time , MBA from Wharton with distinction on TV screen, i was hooked.
Got his book next day, tested for 3 months and have not looked back.
I day trade Crude Oil futures full time. To me, Mark fisher is a genius. There is a reason his firm clears 1/3 rd of daily crude volume and Paul Tudor Jones calls him the best pit trader ever.
I always remember the story MF shares of 2 new traders he hired some time back. One was Harvard Law Graduate , 3rd in his class. The other one - selling door to door( something which I do not remember).
Harvard law graduate could not make it as he thought he knew what to do. The other guy said, he does not know a thing and will do exactly what MF tells him to do. Even while working at MF firm with all the training at the feet of the master, he has to bust his ass for 3 years to get his feet grounded and become a very successful trader.
Glad to be here, and look forward to share and learn. GOD bless who ever started this thread.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Hi all,
mfbreakout joined the CL thread couple weeks ago. I had been making decent progress daytrading CL which i started about a year ago(before that i was swing trading equities). anyways, it was strange but he was making similar trades as me often times with only a few cent difference in entry/exit. He told me about the ACD method and so I read Mark Fisher's book last week and backtested a small sample over the wknd. I modified the method a little to fit my style and took the method live this week. This method has improved my trading significantly and given me confidence in each trade. I thought I had this daytrading thing down pretty good but the ACD method has brought it up to a whole new level. The funny thing is that it's so simple not rocket science. If you would like to join me and mfbreakout ,come over to the CL thread. it's been a great learning experience sharing ideas throughout the day and making decent amount of ticks.
i do have one question for those with experience using this ACD method. have you tried making a blackbox or graybox so you can trade multiple number of stock symbols or futures? i'm daytrading CL only right now but would like to expand/branch out in the future once i get a decent track record. if you could share your experience and know a good programmer i'd appreciate your feedback. TIA.
Quote from Maverick74:
Come on board. We've been expecting you.
Quote from Samsara:
All right, I tried. Just answer me one question:
If there is no wrong way to do this, is it logical to use the first 3 minutes of 9/1/2011 for my monthly opening range? Why or why not?
I'll let you respond in any way you see fit, but I honestly don't want to derail this thread any further, so this will be all from me. Looking forward to moving on from here.
Thanks.
Quote from RCG Trader:
Actually, it is. Why? You are still following the process. Follow the process. Take your three minutes and follow the rules. If you get a good A up, price is clear of the most recent daily,weekly and monthly pivot ranges that you have then take the trade. A trend starts and ends with a single price point. If it gets thru the ACD filters, then price action is in your favor. Take your trade.
Quote from Samsara:
All right then, thanks for the direct response. I'm not in your camp, but bygones shall be bygones.
In other news, anything unusual on your radar that's quietly making a move? Would you have taken an interest in yesterday's cotton or cattle setups (BAL & COW for the ETFs) based on today's price action?
How does cocoa look to you?
Quote from DonCorleone:
i do have one question for those with experience using this ACD method. have you tried making a blackbox or graybox so you can trade multiple number of stock symbols or futures? i'm daytrading CL only right now but would like to expand/branch out in the future once i get a decent track record. if you could share your experience and know a good programmer i'd appreciate your feedback. TIA.
Quote from Joman:
I'm currently working such on such a system for EUR/USD in Multicharts.
Haven't found better that a break-even system for now: it's quite difficult to model the price action in the OR or following the OR to determine if you will take the A up, or fade it or wait for a C ...
The human brain is much smarter to quickly understand the kind of market we're in (chop, wide range, strong strend, weak trend etc..) and adapt the method to the trading day.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Let me forewarn you. Mark Fisher in his book talks about using ACD as a casino and I agree with this concept very much. What that means is that you if you SOLELY focus on just one product, you are going to end up forcing yourself to take sub par trades. You really want to trade as many products as possibly and only focus on the best trades. This is just a suggestion. I know how guys fall in love with one product or like to "get to know one product really well". But I think you will find trading much easier if you open yourself up to all markets.
Let me also add that the Euro along with the S&P are two of the worst products to trade because they are so crowded. Stops galore. Very choppy and very messy. Also, automating ACD can be very difficult since it's a price action based methodology.
Having said that, I'm in the process of automating an intra-day stock strategy based on ACD. More of a grey box. This only goes to show that you shouldn't trust everything I say.
Quote from RCG Trader:
My analysis of COW would have gotten me in on the daily chart at the close today it looks like price broke the weekly pivot up at 2967. A good A up following a buy signal on my system was made at 2902 but there was a lot of selling in the past weeks and price has not sufficiently cleared the MAs that I use. There is also a negative slope to the MA i use for trend. I would take this trade on minimum position strength. Stop would be at 2889, one penny below the bottom of the pivot range on the daily chart.
Too many gaps on the BAL daily chart, so would move up to weekly. Got a buy signal four weeks ago, good A up at 6454, but this is on heels of a tremendous down trend. Im in at 7543 and would manage this trade on a weekly chart. Full position on this one due to a positive MA slope and good clearance from short term MA's
I will start doing scans for stuff in the mornings so we can talk about it all. I think we should start posting ACD based trades on here, so this is a good idea Samsara. We can talk ACD all day without revealing one iota about the systems we use.
Quote from Samsara:
Interesting -- it does seem you've done your homework on incorporating Fisher's thought processes into your own. Nicely done.
Those setups look good to me, but they were chosen with arbitrary monthly ranges, which violates the theory to me. Given that, I'm only watching to just get a feel. Cocoa does likewise look interesting to me, but from the short side.
In the coming days I might post a shot of my layout to solicit opinions and highlight some differences (I use volume profile instead of pivot ranges, for instance). Not sure if it's worth putting anything out there publicly.
Quote from Maverick74:
Let me forewarn you. Mark Fisher in his book talks about using ACD as a casino and I agree with this concept very much. What that means is that you if you SOLELY focus on just one product, you are going to end up forcing yourself to take sub par trades. You really want to trade as many products as possibly and only focus on the best trades. This is just a suggestion. I know how guys fall in love with one product or like to "get to know one product really well". But I think you will find trading much easier if you open yourself up to all markets.
Let me also add that the Euro along with the S&P are two of the worst products to trade because they are so crowded. Stops galore. Very choppy and very messy. Also, automating ACD can be very difficult since it's a price action based methodology.
Having said that, I'm in the process of automating an intra-day stock strategy based on ACD. More of a grey box. This only goes to show that you shouldn't trust everything I say.
Quote from Samsara:
Interesting -- it does seem you've done your homework on incorporating Fisher's thought processes into your own. Nicely done.
Those setups look good to me, but they were chosen with arbitrary monthly ranges, which violates the theory to me. Given that, I'm only watching to just get a feel. Cocoa does likewise look interesting to me, but from the short side.
In the coming days I might post a shot of my layout to solicit opinions and highlight some differences (I use volume profile instead of pivot ranges, for instance). Not sure if it's worth putting anything out there publicly.
Quote from mfbreakout:
By the way , I am so much into Mark fisher that i use MFbreakout as a screen name and had to work for 2 months to find a connection to have my copy of The logical Trader signed by the MASTER.
He has terrible hand writing but still looks beautiful.
Thanks,
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
No way mfbreakout. I thought that handle was just chosen randomly! Cool stuff. LOL.
BTW, Mark doesn't need his ego boosted that much. Have you read the book "Asylum". About 1/3 of the book is about him.
http://www.amazon.com/Asylum-Renega...15613424&sr=1-3
Quote from mfbreakout:
How about recommending some futures instruments to look into so that I do not have to keep trading set ups in CL everyday when there is no set up. At the present, I only trades CL futures.
Thanks,
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
A lot of people have been asking me about the 6 hours of video Fisher did at the NYMEX back in 2003.
Here they are. He speaks fast and he does dart around a lot, but these videos are outstanding.
http://www.4shared.com/dir/8iqeNDfz...osium_2003.html
And yes, that is Joe Terranova in the background.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Having said that, I'm in the process of automating an intra-day stock strategy based on ACD. More of a grey box. This only goes to show that you shouldn't trust everything I say.
Quote from mdl060374:
I have already been toying with this idea. I have the OR, and ATR stuff programmed into Tradestation, but need to figure out the other stuff (pivots, etc).
Actually, its more just taking other peoples code, and figuring out what I like and dont like, and putting it together.
It would be a grey box. I just want an alert so I can focus in on it, I dont want to bother with automation.
I really have to reread the book, (and this thread) and see which indicators I want to use that he mentions. I am thinking about giving each of them a weight. And if a certain amount of them line up favorably for a scenario at once, I get notified through an alert. That way I can only end up focusing on ones that have a better chance of succeeding.
I might also incorporate different time frames like you mentioned Maverick.
Quote from RCG Trader:
Discussing the concept of ACD does not require public disclosure really. For example, my levels seem arbitrary to you because you do not know how, or why, I have them. The nice thing about ACD as anyone can come along and discuss an ACD trade and reveal nothing about the system. So post away, I know I will be.
A scan of action friday revealed no stocks or ETFs that I would mention on the thread. I took an ACD short on the Euro that is so far working out well.
Quote from mfbreakout:
I find it interesting that some traders think that sharing their system will take away their edge. I understand, why one may not want to share fruits of their HARD WORK for free and it makes perfect sense.
Mark Fisher- is totally opposite. He being the greediest person in AMERICA ( according to him) he shares his core system with everyone. More traders become his disciple and trade his ACD , more successful his system is.
People get hung on A value and C values- as to why he does not tell how he calculates them. He has given examples in many places as to how one can calculate. Once they calculate A values themselves, they make mockery of MF for saying that calculation of A values are proprietary to his firm. Traders say , it's so simple to calculate A value - what's so special about it or OR etc..
One can subscribe to his daily service for $1800/year which provides excellent daily commentary, levels, all A , C values, 30 days number line etc.. but they do not want to pay.
Traders do not want to pay for MF experience but they want to take trades against some of the sharpest minds while spending countless hours looking for answers- when answers are right there if one believes in KISS.
Quote from mfbreakout:
I find it interesting that some traders think that sharing their system will take away their edge. I understand, why one may not want to share fruits of their HARD WORK for free and it makes perfect sense.
Mark Fisher- is totally opposite. He being the greediest person in AMERICA ( according to him) he shares his core system with everyone. More traders become his disciple and trade his ACD , more successful his system is.
People get hung on A value and C values- as to why he does not tell how he calculates them. He has given examples in many places as to how one can calculate. Once they calculate A values themselves, they make mockery of MF for saying that calculation of A values are proprietary to his firm. Traders say , it's so simple to calculate A value - what's so special about it or OR etc..
One can subscribe to his daily service for $1800/year which provides excellent daily commentary, levels, all A , C values, 30 days number line etc.. but they do not want to pay.
Traders do not want to pay for MF experience but they want to take trades against some of the sharpest minds while spending countless hours looking for answers- when answers are right there if one believes in KISS.
Quote from mfbreakout:
I find it interesting that some traders think that sharing their system will take away their edge. I understand, why one may not want to share fruits of their HARD WORK for free and it makes perfect sense.
Mark Fisher- is totally opposite. He being the greediest person in AMERICA ( according to him) he shares his core system with everyone. More traders become his disciple and trade his ACD , more successful his system is.
People get hung on A value and C values- as to why he does not tell how he calculates them. He has given examples in many places as to how one can calculate. Once they calculate A values themselves, they make mockery of MF for saying that calculation of A values are proprietary to his firm. Traders say , it's so simple to calculate A value - what's so special about it or OR etc..
One can subscribe to his daily service for $1800/year which provides excellent daily commentary, levels, all A , C values, 30 days number line etc.. but they do not want to pay.
Traders do not want to pay for MF experience but they want to take trades against some of the sharpest minds while spending countless hours looking for answers- when answers are right there if one believes in KISS.
Quote from Samsara:
Yeah, for me it's the problem with the "bus people" that Fisher talks about. When too many people with the coin flipping or casino mentality start to look at the same things you do, it gets diluted.
When Maverick's spent 5 years of his life working on his own system and says he's not going to broadcast the specifics, some might believe he's got a decent reason for it.
Personally, I've been at this over 8 years going from prop to independent. The last 3 of which have borne consistent, solid fruit after all the volatility of doing prop full time. Now I'm mixing ACD with my own system based on correlated instruments -- integrating the two was what I was talking about. But for me I think the payoff isn't really there to actively go further with the discussion.
Fish sounds so much like W D Gann that it is not funny. What is so sad is that Gann was judged on putting Astro in his analysis, without people understanding that Gann did not have the laptops or desktops of today. He was trying to find a consistent framework in which the markets could be viewed.
That said, Fish does provide this with ACD. It can only make whatever system you have, better.
Quote from Samsara:
Yeah, for me it's the problem with the "bus people" that Fisher talks about. When too many people with the coin flipping or casino mentality start to look at the same things you do, it gets diluted.
When Maverick's spent 5 years of his life working on his own system and says he's not going to broadcast the specifics, some might believe he's got a decent reason for it.
Personally, I've been at this over 8 years going from prop to independent. The last 3 of which have borne consistent, solid fruit after all the volatility of doing prop full time. Now I'm mixing ACD with my own system based on correlated instruments -- integrating the two was what I was talking about. But for me I think the payoff isn't really there to actively go further with the discussion.
Quote from RCG Trader:
Sam, I think I get where you are coming from. But what you say is only possible if everyone has the same A levels. No one will. Your A level is your own A level. If price penetrates your A level, you know something is afoot.
Quote from Samsara:
Nah, it's revealing what parts of the layout look like related to my other method. If I were doing ACD by itself, yeah it's all good. But there are two puzzle pieces here. ACD's about human psychology. My own stuff's got specific data.
Keep in mind anyone can search ET years down the road. Not saying I have anything that special or that it will even continue to pay off -- it's just something I've sweated over. After a few years after I began prop, it was a hard lesson to watch something work begin to decay once people parse what you do algorithmically.
Quote from mfbreakout:
Congratulation on being independent and more importantly successful. I think when a trader does not share his/her system, he/she is doing other traders a BIG and REAL favor. There are several reasons for it, but for me 1 key reason is;
1) One can not trade a system based on someone else style/thinking/input. So, it is counter productive and harmful .
Having said that sharing general guidelines and principles is beneficial for both the giver and receiver.
Giver- by sharing crystallizes his/her thinking and receiver hopefully does not have to spend 5 to 8 years to learn if something can be learned in 2 years.
I been trying to help 4 other traders with ACD system for last 4 months. As MF says the day he teaches a class or one of his traders teaches a class, their trading is much better for the simple fact it is very hard for someone to teach something for 2 hours and then go on to trading and do not follow it in his/her own trading.
Quote from mfbreakout:
By the way sharpest trading minds does not necessarily mean traders at GS, JPM etc.. Per MF most traders at these firms can not
trade their way out of a paper bag. All they do all day long is to follow on their customers order flow.
These guys get money from Govt. at 0% , follow customer order flow to trade and lot of people send their children to best schools all their life to get a job at these firms?
Something is wrong here (lol).
Quote from RCG Trader:
Sam, I think I get where you are coming from. But what you say is only possible if everyone has the same A levels. No one will. Your A level is your own A level. If price penetrates your A level, you know something is afoot.
Quote from mfbreakout:
I have a slightly different take on everyone looking at same A levels. Your and mine levels do not mean a thing - unless we are GS, MS , MBFCC etc..
In fact even their levels will not mean a thing if no one looks at them.
My belief is that MORE the MERRIER.
Time is more important than PRICE per MF. When talking about bus people getting on the same trade at the same price, i think he was talking about TIME being more important than PRICE.
He was not talking about his levels being so unique that only he knows about them.
Again, I am only talking in terms of day trading as i have no experience with swing or long term trading.
Quote from RCG Trader:
U have reading skills!
Yes, if the market does not move after a period of time, then something is wrong and it is time to bail. I do not daytrade as I have too much energy to just sit in front of a pc all day. I swing trade all the major economies and their possible combinations. That leads to 27 pairs that I look at. What ACD has done is allow me to objectively qualify each sig that I get. I put in alerts. If the alerts are hit, then I trade. It is simple. IF IF IF one has done homework and already has a system that needs some refining.
Quote from Maverick74:
A lot of people have been asking me about the 6 hours of video Fisher did at the NYMEX back in 2003.
Here they are. He speaks fast and he does dart around a lot, but these videos are outstanding.
http://www.4shared.com/dir/8iqeNDfz...osium_2003.html
And yes, that is Joe Terranova in the background.
Quote from Samsara:
Hey, congrats also on so quickly getting it right and running with it in CL.
Here's one thing that's always on my mind.
I still hesitate with the idea that working theories get better with popularity. When MBF is the largest clearing firm in its specialty, and when almost everyone in the pit immediately bids up his orders when he places a buy -- that makes sense. But a lot's changed since 2003, with a globalized, electronic marketplace. You gotta watch both the fly-by-night quants and the "bus people" who just flip orders and don't dig into why they're taking positions.
Hell, the prop I used to trade at (not Swift, which was notorious for outsourcing to China) aggressively shipped out its chop shop model to China and drilled its techniques into the students there. There's a cultural norm of replicating something that works in China, by rote, without understanding the theory. There's a lot more bus people out there is all I'm saying.
I kinda commented on this reluctance a while back in this thread.
Quote from Joman:
I've been in one of those firms and can confirm what you say is very true.
One of the question a (senior) trader asked me when I told him I was going to trade on my own was: "but how are you going to trade without the information we have here in the bank ?"
It really made me wonder (one more time) why these guys were paid so much to just steal a bid-ask spread from their clients
Quote from Maverick74:
A lot of people have been asking me about the 6 hours of video Fisher did at the NYMEX back in 2003.
Here they are. He speaks fast and he does dart around a lot, but these videos are outstanding.
http://www.4shared.com/dir/8iqeNDfz...osium_2003.html
And yes, that is Joe Terranova in the background.
This appears to be an honest to god trading thread.
You don't see that every day.
Quote from Lucrum:
This appears to be an honest to god trading thread.
You don't see that every day.
Quote from RCG Trader:
Nope, you don't. It's enuf to make you bury the hatchet
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Monthly A down on the spot EUR/USD for me is 140.89. Currently 135.64. Nice short on the confirmed monthly A down. Of course the US Dollar index broke out last week and confirmed a monthly A up at 75.49. Taking out the high of the QTR as well. Seems the Euro bears are going to press their bets this week on the downside.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Monthly A down on the spot EUR/USD for me is 140.89. Currently 135.64. Nice short on the confirmed monthly A down. Of course the US Dollar index broke out last week and confirmed a monthly A up at 75.49. Taking out the high of the QTR as well. Seems the Euro bears are going to press their bets this week on the downside.
I'm on the 5th video in the NYSE seminar video series...all I can say is good stuff!
I looked into ACD in the past and as any other newb would do, I tossed it away after glancing over a couple charts and trying to apply it. Now a year+ later, things actually make sense. The methodology helps to clearly classify price and time. If anything the way Fisher uses Macro and Micro ACD help to keep a running tally on a market.
Obviously one has to have had some screentime to know what to look for, and after getting much more screen time in the past 6 months I see the value in it. Going forward I will definitely be working on applying these principles...I know it will take some time but it will definitely be a good investment.
John you've packed alot of info into this thread I have alot of reading to do! LOL
Quote from Maverick74:
So there was a hatchet?
The AUD and GBP yen pairs both triggered an A down for me at 430 my time. I was out on the town watching football, so when I got back, AUD/JPY was only 20pips away from the trigger, so I took it. Minimal position sizing.
Quote from RCG Trader:
The AUD and GBP yen pairs both triggered an A down for me at 430 my time. I was out on the town watching football, so when I got back, AUD/JPY was only 20pips away from the trigger, so I took it. Minimal position sizing.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Shanb:
I'm on the 5th video in the NYSE seminar video series...all I can say is good stuff!
I looked into ACD in the past and as any other newb would do, I tossed it away after glancing over a couple charts and trying to apply it. Now a year+ later, things actually make sense. The methodology helps to clearly classify price and time. If anything the way Fisher uses Macro and Micro ACD help to keep a running tally on a market.
Obviously one has to have had some screentime to know what to look for, and after getting much more screen time in the past 6 months I see the value in it. Going forward I will definitely be working on applying these principles...I know it will take some time but it will definitely be a good investment.
John you've packed alot of info into this thread I have alot of reading to do! LOL
Quote from Maverick74:
I think the AUD/USD is a better short then AUD/JPY. It's already confirmed a monthly A down and AUD/JPY hass not yet.
This can be confirmed by looking at USD/JPY which is catching a bid.
Mav, it looks like Fish is big into intermarket analysis as well. What is a good way to expand on that for this thread?
Nzd/cad - A down. Minimal position due to possible consolidation/back and fill.
Quote from RCG Trader:
Nzd/cad - A down. Minimal position due to possible consolidation/back and fill.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I'm sure you don't trade this pair RCG, but when there is a major crisis, this USD/HUF is a roman candle. I know the spreads are wide but when this thing goes, it goes. Confirmed A's across the board.
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"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
I just started looking into Monthly and weekly A down, A up. What method do you use to calculate A and C values , for example for CL, EUR/USD?
At the present, I just day trade and use A value of 8 ticks and C value of 13 ticks for CL.
A value of 10 and C value of 12.5 for eur/usd. These values are provided by MF service. They currently do not provide A and C values for weekly or monthly time frame.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I'm sure you don't trade this pair RCG, but when there is a major crisis, this USD/HUF is a roman candle. I know the spreads are wide but when this thing goes, it goes. Confirmed A's across the board.
stopped out of Nzd/Cad. Two big winners and two small losers. One more great thing about following the ACD process.
Quote from Maverick74:
BTW, Mark doesn't need his ego boosted that much. Have you read the book "Asylum". About 1/3 of the book is about him.
http://www.amazon.com/Asylum-Renega...15613424&sr=1-3
Quote from Soon2Bgreat:
I know you've mentioned this book before - so I was at B&N yesterday and picked it up.
Haven't been able to put it down since and am nearly done. It's really, really interesting/insane/informative. Good suggestion
...also it's interesting to compare the portrayals of MF in this and The Logical Trader (obviously a bit different, and you weren't kidding about the ego stroking).
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I got your PM. I figure I'll just respond here. I don't really want to share my A levels or my OR levels. It's not because they are "special". I just don't want more stops around me. I have to be selfish sometimes.
EURSEK A up. Confirmed at the end of the US session. If so, I will take a position. Sentiment good, consolidation number is bad. Minimum position due to possible consolidation.
Edit, going to try ACD values based on first of the month opening ranges. Price will have to clear all major TF pivots to qualify, so the A up will come at 2157
Quote from RCG Trader:
EURSEK A up. Confirmed at the end of the US session. If so, I will take a position. Sentiment good, consolidation number is bad. Minimum position due to possible consolidation.
Edit, going to try ACD values based on first of the month opening ranges. Price will have to clear all major TF pivots to qualify, so the A up will come at 2157
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
EUR/SEK has not confirmed yet on my monthly and is right below my QTR as well. This pair looks very choppy to me.
I saw the chop as well, kinda looking forward to trying my first failed A trade
RCG, when do you sleep man?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from RCG Trader:
Interesting, now to confirm an a A up on say a quarterly chart, do you actually wait a month and a half?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Wheat and Soybeans breaking down.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Live Cattle still looking good but failed at the weekly today and yesterday.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
RCG, when do you sleep man?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
This was a daily SPX setup today for ACD...hope you can read the PDF, dont have a scanner...
sorry, quality is shit...IM me if you want the excel file, my free PDF software is trash.
Re: pdf
Quote from jsmooth:
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Mav, its all good! same stuff, money is all i care about....top chart was some Silver today, bottom, Gap setup plays....
ACD trading....Silver Today...not sure why these PDFs aint working?
that second setup in the PDF is a Gap up/down play....
Quote from Maverick74:
I guess I know now.
EurSek did not confirm.
EurCad looking good right now. What I am using ACD for is to make sure macro price action is good when I take a trade. Im going to look at the first day of the month and plot values off of that. Based on that, and my interpretation of values, anything below 3896 is a good short after a price action setup. Yesterday the bulls tried push the plummeting Euro back, they will have failed as of midnight tonight.
Quote from RCG Trader:
EurSek did not confirm.
EurCad looking good right now. What I am using ACD for is to make sure macro price action is good when I take a trade. Im going to look at the first day of the month and plot values off of that. Based on that, and my interpretation of values, anything below 3896 is a good short after a price action setup. Yesterday the bulls tried push the plummeting Euro back, they will have failed as of midnight tonight.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
In case anyone is interested, Gold and Silver bounced off their monthly A downs.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Hey there everyone! Been putting in some work to implement some
ACD into my approach. Here are some trades that I put in on the
SPY in the past two days.
On Thursday I used the OR after the 730 numbers were released as
it seemed logical. Today I used the OR after the Michigan Sentiment number was released. Was long biased as the market opened above the pivot range for both days.
I've attached some Screenshots, would appreciate some feedback and
will detail more if needed. Thanks!
The grey box is the pivot range. The white lines are the OR and the dashed are the A levels.
I definitely favor a intraday swing approach, just didnt have an methodology to collect my thoughts and create a bias. I've been scalping momentum intraday(unsuccessfully). I am feeling that
I like going this route much more. Just like any other trader out there...looking to find something that fits me!
Currency traders......
Focus on good A thru the pivot. It will help you. 30 percent on my account this week.
Quote from Maverick74:
In case anyone is interested, Gold and Silver bounced off their monthly A downs.
Quote from Shanb:
I definitely favor a intraday swing approach, just didnt have an methodology to collect my thoughts and create a bias. I've been scalping momentum intraday(unsuccessfully). I am feeling that
I like going this route much more. Just like any other trader out there...looking to find something that fits me!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from RCG Trader:
Currency traders......
Focus on good A thru the pivot. It will help you. 30 percent on my account this week.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Nice work Shan. You are catching on to ACD pretty fast. Yesterday was a perfect failed A down intraday on the ES. I use very different levels then you and we both came to the same conclusion. That is how price action works. Good job.
Does anybody know if there is an indicator for ACD in Thinkorwim? I've been searching, but no luck. Even something as simple as a pivot range indicator would help, so I don't have to calculate and draw them out every time.
Any help would be appreciated
Quote from Maverick74:
RCG, a couple of things here. I don't own this thread or control it, but these are a few suggestions. I've been trading for 15 years and I have not once met a profitable trader that EVER tells people how much they make on trades either % wise or dollar wise. So it's best not to make comments like that. It's also poor etiquette for a trading thread.
Second, this thread can be anything it wants. If people want to post trades that's wonderful. But in order to keep the thread clean and the trolls out, do not post anything AFTER the fact. Traders want to know what you are thinking BEFORE you make the trade and the want to watch the trade play out.
I just want to keep this thread clean. It's only a matter of time before the trolls smell this thread and come in and start posting crap all over the place about how much they make or some great they made, etc.
Having said all that, let's keep the quality content coming.
Quote from RCG Trader:
Well congratulations Mav you just met your first one!
I don't worry much about trolls in this thread because of what ACD requires. If the average trader could do what turns out to be so simple that I feel a bit dumb for having not thought of it before, then every trader would be doing it.
As far as what I am thinking BEFORE the trade, I just told you. Look for bars that comply with good A thru the pivot. For some reason, the price action of this setup causes good follow thru. That is just a starting point tho. The trader still has to decide what to follow and what to allocate.
That said, congrats again on meeting the first profitable trader who posted a percentage gain.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
RCG...there is a strong correlation for one's desire to boast and things they are lacking in their life....but I'll leave Dr. Freud out of this. LOL.
Congrats on the trade. What I meant, was not saying something like get long on good A ups through the pivot but rather, watch this EUR/JPY as it's about to break out. This way others can FOLLOW the trade and offer their opinions on the trade. Not to counter your views but rather to show how all of our levels are basically going to say the same thing.
Good work on the trade RCG! (Wish I knew what the trade was...)
[QUOTE]Quote from Shanb:
30 minutes for the SPY opening range is too large and too late, sorry buddy you are in the wrong page. study harder !
BTW, Freud had been solidly debunked in most medical circles
Quote from RCG Trader:
Ohhh, okay, I see my mistake.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Shanb:
Does anybody know if there is an indicator for ACD in Thinkorwim? I've been searching, but no luck. Even something as simple as a pivot range indicator would help, so I don't have to calculate and draw them out every time.
Any help would be appreciated
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Pretty nice thread offering some solid commenting....subbed.
Shanb,
In your 9-15-spy png, it shows your or range but I do not see candles that you used to make them. In other words you did not use the opening range of 9/15 to trade on 9/15. What opening range did you use?
Regards,
nt
Quote from ntfs:
Shanb,
In your 9-15-spy png, it shows your or range but I do not see candles that you used to make them. In other words you did not use the opening range of 9/15 to trade on 9/15. What opening range did you use?
Regards,
nt
Quote from Maverick74:
No, there is not. But the old Mavster might be able to help.
I thought I would post a chart giving you guys ideas on how you can use macro ACD. This is probably more for RCG since he trades currencies. This is what my macro FX grid looks like. It's a huge grid of all the FX pairs in rows by the same currency. So we have 4 rows. We have the Euro pairs, the Dollar pairs, Yen pairs and the Swissy pairs.
This is what my monthly grid looks like. It allows one very quickly to get a quick feel of where the real strength or weakness is. I want to note something on the dollar pairs. To make the visual easier, I inverted some of the pairs so all the dollar pairs have the dollar as the base currency. This allows your eyes to see the strength or weakness much clearer. For example, the 2nd row which are the dollar pairs, there are 3 currencies where the dollar is the non base currency (yen, loony and swissy). By using a - sign, the currency will invert on the chart.
So by taking a very quick glance at this chart, you can immediately see that the dollar is very strong against all the major pairs. The only pairs where there are no monthly A downs yet are the loony and the swissy. You can see this right away.
Organizing information is very important to trading. BTW, I only inverted the dollar pairs but certainly you could do this with all the pairs to make it easier to compare charts.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Shanb:
Does anybody know if there is an indicator for ACD in Thinkorwim? I've been searching, but no luck. Even something as simple as a pivot range indicator would help, so I don't have to calculate and draw them out every time.
Any help would be appreciated
if you are brave you could take a scalp here with a 2-3 point stop and hope for a runner, es at 1193 at the moment, look for a fill 1192-1193.
Monster day today in AAPL. Monthly A up was 399. Intra-day A up was 399.25. Great example of how one can take the breakout in the intra-day trade and stay for the monthly ride.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Safe to say most people using ACD stay away from using the sytem for daytrading. I went back and looked and several charts to see if it could be used successfully for daytrading, and I noticed that while in theory the system makes a lot of sense, in practice you get whipsawed a lot if used for daytrading.
There are some periods during which it seems that it works great, but then you soon realize that a brutal period follows during which as soon as you open a position, you get kicked out and the stock/currency/commodity goes in the opposite direction all day long.
It seems that it is more promising when used for swing trades. Which brings us to a common theme: daytrading is extremely difficult and it seems that those who make a living with it rely on scanners/filters that tell them where the action is. Still, they are now facing the big enemy, HFT, which is blamed for creating false "action".
Quote from MrFuture:
Safe to say most people using ACD stay away from using the sytem for daytrading. I went back and looked and several charts to see if it could be used successfully for daytrading, and I noticed that while in theory the system makes a lot of sense, in practice you get whipsawed a lot if used for daytrading.
There are some periods during which it seems that it works great, but then you soon realize that a brutal period follows during which as soon as you open a position, you get kicked out and the stock/currency/commodity goes in the opposite direction all day long.
It seems that it is more promising when used for swing trades. Which brings us to a common theme: daytrading is extremely difficult and it seems that those who make a living with it rely on scanners/filters that tell them where the action is. Still, they are now facing the big enemy, HFT, which is blamed for creating false "action".
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I'm in the process of launching an intra-day equity strategy for ACD. So far it has worked flawlessly. I suspect it works better for stocks then futures intraday because you have thousands of stocks to choose from. There is more alpha there.
I've been trading for 15 years and I do not think swing trading is easier then daytrading. They both have their pros and cons. Overnight limit moves in futures are very real and very painful. I have worked out a lot of the kinks of the swing time frame but one needs to think very carefully about what they are doing.
Quote from MrFuture:
I guess that the key then is to find a way to filter those stocks that behave good under the acd method, because so far I only found stocks that move all over the place during a typical day. They do have some good "acd days", but for the most part they get in and out of the OR levels without providing any real edge to the trader. You make the OR too small, and you get whipsawed. You make it too wide, and you take out too much of the daily ATR to make any profit with a good risk reward (a large OR implies a large stop).
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
here is a spy chart......look familiar this is from 11/2009
perfect consolidation pattern, trade the channel. reversion to the mean is what's working at the moment. You can almost see the drift on a daily chart.
Quote from MrFuture:
I guess that the key then is to find a way to filter those stocks that behave good under the acd method, because so far I only found stocks that move all over the place during a typical day. They do have some good "acd days", but for the most part they get in and out of the OR levels without providing any real edge to the trader. You make the OR too small, and you get whipsawed. You make it too wide, and you take out too much of the daily ATR to make any profit with a good risk reward (a large OR implies a large stop).
and the stocks that have a decent intraday swing, but often revert.
What you find is its hard to find anything more than 50-65% of the time, but with decent risk/reward, it seems like this might have promise.
I have yet to actually trade yet with this method, still taking it all in.
Quote from mdl060374:
and the stocks that have a decent intraday swing, but often revert.
What you find is its hard to find anything more than 50-65% of the time, but with decent risk/reward, it seems like this might have promise.
I have yet to actually trade yet with this method, still taking it all in.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Shanb:
Does anybody know if there is an indicator for ACD in Thinkorwim? I've been searching, but no luck. Even something as simple as a pivot range indicator would help, so I don't have to calculate and draw them out every time.
Any help would be appreciated
Quote from mfbreakout:
I am not sure what do you mean by ACD indicator? www.thinkscripter.com has a suite of studies for TOS. I use TS opening range cloud to draw opening range, TS 3 day rolling pivot for 3 day rolling pivot ranges etc.. One time fee is $65.
www.mypivots.com, $30 a month , this forum provides a ton of very useful tool for ACD, market profile etc.. However, auto lines are drawn only for e-signal platform as the host of this forum uses e signal.
One can just note down daily pivot range, 3 day rolling pivot range etc.. if not using e-signal.
[QUOTE]Quote from mfbreakout:
CL reference points
http://www.screencast.com/t/WXe1W3b7CxTs [/QUOTE
/ES long set ups.
http://www.screencast.com/t/EVkkC8GrP
Quote from Maverick74:
I have said this before and I will say it again. Let me be absolutely clear about this. I believe more in this next statement then I do that the sun will rise in the east tomorrow. If you are NOT already a profitable stock trader or a daytrader then no ACD levels will make you one period. I cannot stress this enough.
I have traded a lot of stock in my life. I understand the nuance of stock trading. If you have never been a good stock trader, then slapping opening ranges on your charts with A levels around them is not going to be effective. That's just the way it is. I know there are a lot of guys out there struggling looking for something. And I feel for them. Every trader has been there. But there is no magic with ACD.
Quote from mfbreakout:
I have not used ACD reference points to trade stocks as i find it very difficult to keep track of all the reference points for various stocks.
I day trade crude oil futures full time. I have friends who day trade crude oil futures using other methods than ACD. For me , i can not trade without ACD reference points.
Before I got comfortable with ACD system, I had to spend 500 hours on SIM to get a feel for failed A up/ A down, impact of tight pivot tracker value on VOLATILITY for that day, impact of price opening above daily pivot, 3 day rolling pivot etc.. but closing below these reference points, impact of 30 days number line etc..
So, there is a lot than just A up or A down. I was not a successful trader before i decided to focus on ACD.
ACD gave some breathing room ( light at the end of long dark tunnel) to keep at trading while refining ACD and learning other trading systems for days when ACD set ups are not simply there.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from RCG Trader:
Ohhh, okay, I see my mistake. No this was not one trade. It was about 10 trades. I get it. But I have never been good at doing the journal thing. So what I came to convey is that if traders look for this kind of PA then it is probably a good trade. I did what you and Fish suggested and started following a lot of pairs and taking only those setups that met what I think a good set up is. A tremendous improvement in my account. My biggest win was a 5 fold increase in twenty days, but of course I could not hold that because it was discretionary and had no real method. Now, I have a solid increase with a method with concrete rules. Any trader with experience can do better than a bank, and this is step one. But what I do is I check pairs for a price action setup based on ACD. It has two bars to play out. If not, next trade. I follow all of the world economies, so it is a bit hectic. There are other nuances as well but the basic premise is that good price action is the good A thru the pivot. If traders focus on that, they will make money.
Quote from Maverick74:
Stocks are probably 100 times easier then crude if only for the fact that when you walk into the casino, you get to pick the table you sit down and play at. With crude, you sit at the same table every day.
Quote from Maverick74:
I thought I would post a chart giving you guys ideas on how you can use macro ACD. This is probably more for RCG since he trades currencies. This is what my macro FX grid looks like. It's a huge grid of all the FX pairs in rows by the same currency. So we have 4 rows. We have the Euro pairs, the Dollar pairs, Yen pairs and the Swissy pairs.
This is what my monthly grid looks like. It allows one very quickly to get a quick feel of where the real strength or weakness is. I want to note something on the dollar pairs. To make the visual easier, I inverted some of the pairs so all the dollar pairs have the dollar as the base currency. This allows your eyes to see the strength or weakness much clearer. For example, the 2nd row which are the dollar pairs, there are 3 currencies where the dollar is the non base currency (yen, loony and swissy). By using a - sign, the currency will invert on the chart.
So by taking a very quick glance at this chart, you can immediately see that the dollar is very strong against all the major pairs. The only pairs where there are no monthly A downs yet are the loony and the swissy. You can see this right away.
Organizing information is very important to trading. BTW, I only inverted the dollar pairs but certainly you could do this with all the pairs to make it easier to compare charts.
Quote from Maverick74:
I have said this before and I will say it again. Let me be absolutely clear about this. I believe more in this next statement then I do that the sun will rise in the east tomorrow. If you are NOT already a profitable stock trader or a daytrader then no ACD levels will make you one period. I cannot stress this enough.
I have traded a lot of stock in my life. I understand the nuance of stock trading. If you have never been a good stock trader, then slapping opening ranges on your charts with A levels around them is not going to be effective. That's just the way it is. I know there are a lot of guys out there struggling looking for something. And I feel for them. Every trader has been there. But there is no magic with ACD.
Quote from mfbreakout:
I am not sure what do you mean by ACD indicator? www.thinkscripter.com has a suite of studies for TOS. I use TS opening range cloud to draw opening range, TS 3 day rolling pivot for 3 day rolling pivot ranges etc.. One time fee is $65.
www.mypivots.com, $30 a month , this forum provides a ton of very useful tool for ACD, market profile etc.. However, auto lines are drawn only for e-signal platform as the host of this forum uses e signal.
One can just note down daily pivot range, 3 day rolling pivot range etc.. if not using e-signal.
Quote from Shanb:
Thanks I found the one with the 3 day rolling pivot range...an indicator for the daily pivot range would be great too, but this definately helps.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I'll send you the code tomorrow.
I have a three day rolling PR of 3 cents on the SPY and a 20 cent daily pivot range. 3 day is the smallest I have seen from the past couple weeks. Maybe we will be in for some volatility tom.
Quote from Shanb:
Thanks John. Sitting at home now with a really bad sore throat. Feels like tonsillitis, hopefully I'll be good to trade tom. After I feel better we should def meetup for a drink or something!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Shanb:
I have a three day rolling PR of 3 cents on the SPY and a 20 cent daily pivot range. 3 day is the smallest I have seen from the past couple weeks. Maybe we will be in for some volatility tom.
Quote from Quon:
I see the same in the SPY. Also, SLV has made a monthly A down, (at least according to my levels) and has been quietly moving downward. It's been a nice way to play the rise in the US dollar.
I have an 8 cent 3 day, and while it's not the smallest I've seen, I've been watching fairly closely. If the fed does nothing, and the dollar keeps going higher this could really be a nice trade.
Gold and silver bounced again off their monthly A downs. ES confirmed a weekly A up as well as intra-day. Be careful if you are short the market. If you need to be short the market, be short copper. By far the weakest risk asset.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
/ES. http://www.screencast.com/t/QODL5lQKS
Quote from mfbreakout:
e-mini respected set ups. long 1195 stop loss 1193. out 1208.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Well, I had my OR from the 7:30-7:50 number release. Got long off
of the failed A-down. Took a measly 30 cents on a few hundred shares...proceeded to go up 1.40+ from my entry. Haven't traded in a few days and am slightly under the weather...didn't help my decision making LOL.
Short off of the failed A-Up. Looks like a early entry as there was a retest 10-15 minutes later. Exited with a small profit after didn't play out in the TIME Expected. Was also short FST several hundred average price of 19:03...now printing 18:76. Out with a small profit.
Just a bit rusty...lets hope I get back into the flow of things here.
Quote from Shanb:
Well, I had my OR from the 7:30-7:50 number release. Got long off
of the failed A-down. Took a measly 30 cents on a few hundred shares...proceeded to go up 1.40+ from my entry. Haven't traded in a few days and am slightly under the weather...didn't help my decision making LOL.
Short off of the failed A-Up. Looks like a early entry as there was a retest 10-15 minutes later. Exited with a small profit after didn't play out in the TIME Expected. Was also short FST several hundred average price of 19:03...now printing 18:76. Out with a small profit.
Just a bit rusty...lets hope I get back into the flow of things here.
One of the themes Fisher seems to always be going back to (especially in his videos) is taking advantage of people that are "trapped."
He especially goes into detail in the 3rd video when he describes reversals.
The movie theatre scenario, etc. He mentioned a top trader(At Tudor I believe) that all he looks for his bad news/good action and good news/bad action, each morning.
Can anyone here elaborate on their experience on these presenting the best scenarios for ACD trading?
It seems like anticpating and looking for gap plays in the opposing direction of the short term trend, might be a strong candidates for ACD intraday trades.
Quote from mdl060374:
One of the themes Fisher seems to always be going back to (especially in his videos) is taking advantage of people that are "trapped."
He especially goes into detail in the 3rd video when he describes reversals.
The movie theatre scenario, etc. He mentioned a top trader(At Tudor I believe) that all he looks for his bad news/good action and good news/bad action, each morning.
Can anyone here elaborate on their experience on these presenting the best scenarios for ACD trading?
It seems like anticpating and looking for gap plays in the opposing direction of the short term trend, might be a strong candidates for intraday trades.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
thanks for the insight Maverick.
I am really liking these videos. They help reinforce alot of the ideas.
Quote from mdl060374:
thanks for the insight Maverick.
I am really liking these videos. They help reinforce alot of the ideas.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Did you buy the thinkscript code from thinkscripter?
Quote from mfbreakout:
e-mini respected set ups. long 1195 stop loss 1193. out 1208.
Quote from mfbreakout:
/es set ups played out all day longs.
http://www.screencast.com/t/qzUJSd31P0wG
Quote from mfbreakout:
/es set ups played out all day longs.
http://www.screencast.com/t/qzUJSd31P0wG
NQ failed at the monthly A up on a wick. Nice.
Edit: just noticed that was my 10,000th post!
I was going to stop posting when I got to 10k. Damn.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Looks like a late day point c pivot type trade. In short from 120.78.
Quote from mfbreakout:
/es set ups played out all day longs.
http://www.screencast.com/t/qzUJSd31P0wG
Quote from brownsfan019:
For us visual learners, these really help. It's not a matter of being lazy or not doing the work, but some of us learn much better w/ visuals so thank you.
Quote from mdl060374:
One of the themes Fisher seems to always be going back to (especially in his videos) is taking advantage of people that are "trapped."
He especially goes into detail in the 3rd video when he describes reversals.
The movie theatre scenario, etc. He mentioned a top trader(At Tudor I believe) that all he looks for his bad news/good action and good news/bad action, each morning.
Can anyone here elaborate on their experience on these presenting the best scenarios for ACD trading?
It seems like anticpating and looking for gap plays in the opposing direction of the short term trend, might be a strong candidates for ACD intraday trades.
Quote from Maverick74:
NQ failed at the monthly A up on a wick. Nice.
Edit: just noticed that was my 10,000th post!
I was going to stop posting when I got to 10k. Damn.
Quote from mfbreakout:
/es after dxy caught a bid.
http://www.screencast.com/t/vzRnz4Jj
RCG? You have been quiet lately. How is the FX going?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
es and dx side by side.
http://www.screencast.com/t/uPvqXdyyiO
Quote from mfbreakout:
Tomorrow if BIG BEN does not weaken $ by further quantitative easing ( who knows which form it will come), US $ will strengthen and equities, commodities etc.. will be under pressure. This is just one scenario but a lot is riding on it.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Here is a nice spread chart showing the smoothness of the spread between being long SPY and short FCX dollar neutral. Up 20% on the spread in the last 2 weeks. This is how you short the market and win whether it goes higher or lower.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Here is a nice spread chart showing the smoothness of the spread between being long SPY and short FCX dollar neutral. Up 20% on the spread in the last 2 weeks. This is how you short the market and win whether it goes higher or lower.
Quote from Maverick74:
Quote from mfbreakout:
Agreed. Here is copper 30 days number line over last 8 days.
-3,-3,-1,-3,-1,-1,1,1
and for ES , -6,-8,-4,1,0,2,6,8.
copper weakness has been quietly showing slowing GLOBAL GROWTH.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Here is a spread chart showing long SPY and short FXI. Yet another alternative to simply shorting ES.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
Tomorrow if BIG BEN does not weaken $ by further quantitative easing ( who knows which form it will come), US $ will strengthen and equities, commodities etc.. will be under pressure. This is just one scenario but a lot is riding on it.
Quote from Maverick74:
Wheat and Soybeans breaking down.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
CL set up for 09-21-2011
http://www.screencast.com/t/tJ3MyCqkhr
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I thought I would post a chart giving you guys ideas on how you can use macro ACD. This is probably more for RCG since he trades currencies. This is what my macro FX grid looks like. It's a huge grid of all the FX pairs in rows by the same currency. So we have 4 rows. We have the Euro pairs, the Dollar pairs, Yen pairs and the Swissy pairs.
This is what my monthly grid looks like. It allows one very quickly to get a quick feel of where the real strength or weakness is. I want to note something on the dollar pairs. To make the visual easier, I inverted some of the pairs so all the dollar pairs have the dollar as the base currency. This allows your eyes to see the strength or weakness much clearer. For example, the 2nd row which are the dollar pairs, there are 3 currencies where the dollar is the non base currency (yen, loony and swissy). By using a - sign, the currency will invert on the chart.
So by taking a very quick glance at this chart, you can immediately see that the dollar is very strong against all the major pairs. The only pairs where there are no monthly A downs yet are the loony and the swissy. You can see this right away.
Organizing information is very important to trading. BTW, I only inverted the dollar pairs but certainly you could do this with all the pairs to make it easier to compare charts.
Quote from Maverick74:
I have said this before and I will say it again. Let me be absolutely clear about this. I believe more in this next statement then I do that the sun will rise in the east tomorrow. If you are NOT already a profitable stock trader or a daytrader then no ACD levels will make you one period. I cannot stress this enough.
I have traded a lot of stock in my life. I understand the nuance of stock trading. If you have never been a good stock trader, then slapping opening ranges on your charts with A levels around them is not going to be effective. That's just the way it is. I know there are a lot of guys out there struggling looking for something. And I feel for them. Every trader has been there. But there is no magic with ACD.
Quote from mfbreakout:
CL set up for 09-21-2011
http://www.screencast.com/t/tJ3MyCqkhr
Quote from Maverick74:
Not sure if you trade the distillates of crude oil or not but right now RBOB Gasoline is much weaker then crude. RBOB has confirmed a monthly A down while crude has actually bounced off of the monthly A down several times now. A down for me is 2.77 and currently trading 2.70.
Quote from mfbreakout:
Thanks. No, I do not trade RBOB yet but it's on my list as I figure out how to calculate monthly A up or A down.
I understand, you do not want to share your levels to protect your stop loss. However, if you can share framework for calculating monthly A up or A down, that will be helpful. For example Fish has following monthly data ( September)
copper pivot high = 4.1655, pivot low= 4.1642
then July- first of the month ( this supposed to provide reference points for 2nd half of the year till December)
Pivot high= 4.4118 and pivot low = 4.3715
Similarly for RBOB Sept. data. Pivot High= 2.8653, Pivot low= 2.8606
July- First of the month.
Pivot High= 2.8930 and pivot low= 2.8345
Does these numbers have any value in calculating monthly A up or A down.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from RCG Trader:
Nice work Mav, thanks. Been staring at the CHF pairs for a bit now trying to figure if the ECB intervention is going to work. It seems to be holding. Wow, I was gone from ET for few days and look what I missed
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Don't over think things RCG. Just follow your ACD levels.
Fish does confirm in the final video that most of his stops are time stops. Feeling pretty smart this morning
Quote from RCG Trader:
Fish does confirm in the final video that most of his stops are time stops. Feeling pretty smart this morning
Quote from Maverick74:
I don't use monthly pivots and I'm not sure how Fish is calculating his. Generally speaking the pivots should give you the same bias as monthly A levels. If anything, they will be tighter and get you in the trade earlier.
Quote from mfbreakout:
Yes, Per Fish " Time is more important than price".
Quote from kinggyppo:
there is your trading system right there,hunt for a trend, enter wait for the move, if it doesn't happen lose small. Original quote by William Gann who likely stole it from someone under the button tree.
Quote from Maverick74:
RCG? You have been quiet lately. How is the FX going?
Quote from mfbreakout:
CL set up for 09-21-2011
http://www.screencast.com/t/tJ3MyCqkhr
Quote from mfbreakout:
Do you find monthly A up / down helpful for day trading? You mostly day trades or swing when using monthly A up/down levels?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
Risk on Vs. risk Off. I missed FOMC driven trade but CL gave plenty to trade before that.
http://www.screencast.com/t/ziOSIjWFY
Bonds another new high today at 143'10. Third monthly A up in a row in this monster. This month's level was 139'14. Amazing.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
and here is ES set up.
http://www.screencast.com/t/kCs1pnh22
FCX down 7.5% today.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
this is the kind of shit that will end your career, I keep trying to warn folks to trader smaller. This vol is for cowboys only, nasty end of day sell off.
.
Quote from kinggyppo:
this is the kind of shit that will end your career, I keep trying to warn folks to trader smaller. This vol is for cowboys only, nasty end of day sell off.
Quote from mfbreakout:
.
Agreed on trading smaller size. With patience and waiting for good risk/reward level, these days are trad-able.
I do not traded as i wanted either. This is for analysis and reflection
http://www.screencast.com/t/aizvxKhhbaR
Quote from mfbreakout:
Someone asked me about importance of 1190. 1190 is only important because that was the level taken out when FOMC news came out. Some traders may have more elaborate explanation. I keep it simple. If at 2.30 pm 1186 was the level instead of 1190, then 1186 is important level for me.
Anything before 2.30 pm is of interest to me. New facts came out at 2.30 and market responded. As long as facts have not changed today, to me shorting 1190 area on bounces is a free gift from trading GOD.
I just get amazed that we get opportunity to short at the same level where first sell off started after the news. I feel for traders who were trying to get long on bounce as a sign of strength.
I do not blame them. It has happened many times over last 6 weeks that after a sell off , E-mini bounced 30-60 handles.
Correction " Anything before 2.30 pm is of NO INTEREST to me", i meant to say.
However, today one thing was different. Due to strength in DXY, trade was RISK OFF and as long dxy showed strength, I am shorting the hell out of 1190 level.
Mfbreakout,
Totally agree. I had a confirmed A down in the SPY today and saw that bounce off the fed right on up to 120.17, (cents away from the bottom of my 3 day at 120.23). I knew folks had to be getting long, but were on the wrong side.
Didn't take the trade, (felt like watching the Fed action today for a learning experience) but man did it work!
ACD I love ya!
Sugar now also breaking down. Confirmed today on the monthly and weekly.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I'm going to start pounding the table on another trade here. That trade is live cattle. Live cattle is in a huge bull market. It's a quiet trade that very few people are talking about. It's above my monthly and QTR A up and confirmed a weekly A up today. Many fundamental guys are saying 165 as a minimum price target.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I'm going to start pounding the table on another trade here. That trade is live cattle. Live cattle is in a huge bull market. It's a quiet trade that very few people are talking about. It's above my monthly and QTR A up and confirmed a weekly A up today. Many fundamental guys are saying 165 as a minimum price target.
Quote from Quon:
Mfbreakout,
Totally agree. I had a confirmed A down in the SPY today and saw that bounce off the fed right on up to 120.17, (cents away from the bottom of my 3 day at 120.23). I knew folks had to be getting long, but were on the wrong side.
Didn't take the trade, (felt like watching the Fed action today for a learning experience) but man did it work!
ACD I love ya!
Quote from mfbreakout:
Does anybody else trade off monthly and weekly A down levels in here besides Maverick?
If so, i would like to know framework for calculating weekly and monthly levels.
Maverick is nice enough to pound the table of these monthly and weekly A levels trades but i can not trade or use them as i am not sure how he is coming up with these levels?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Mfbreakout,
My weekly, monthly, qtr, half year, and yearly levels, (and yes, I'm working on some longer term time frame stuff too-like decades etc) are super simple. Just take your OR and whatever percentage it is in relation to the larger time-frame should be translated across time-frames. So for instance, if your daily OR is 10 percent of a trading day, then make your weekly and monthly ORs 10 percent of the trading week or month.
Same for qtr, half year, full year, etc. Not sure how others are doing it, but this seems to work for me anyway.
With regard to your A level, if you use 20 - 25 percent of the ATR, (5 day, 10 day, 30 day etc) just be sure you're using the correct time-frames. So a monthly A level would be 20-25 percent of the last 5,10,or 30 months.
Let me know if this doesn't make sense, and if others have anything else to share please add. I'm always looking to improve too.
Anybody have an opinion about the 30 day trading cycle. If there was a plus or minus day 30 days ago, does it increase the liklihood of it happening today? Any observations about what you have noticed?
I've been going through the SPY for the past 90 days or so and it doesn't seem to be significant...just my observation after looking at it over this short period of time
Shanb,
I've kinda noticed the same thing. Not sure if I'm getting too literal in my interpretation, but I don't often find the 30 day correlation to be significant.
Also, just in case you're wondering, I've looked at both 30 calendar days prior and 30 trading days prior.
Quote from Quon:
Mfbreakout,
My weekly, monthly, qtr, half year, and yearly levels, (and yes, I'm working on some longer term time frame stuff too-like decades etc) are super simple. Just take your OR and whatever percentage it is in relation to the larger time-frame should be translated across time-frames. So for instance, if your daily OR is 10 percent of a trading day, then make your weekly and monthly ORs 10 percent of the trading week or month.
Same for qtr, half year, full year, etc. Not sure how others are doing it, but this seems to work for me anyway.
With regard to your A level, if you use 20 - 25 percent of the ATR, (5 day, 10 day, 30 day etc) just be sure you're using the correct time-frames. So a monthly A level would be 20-25 percent of the last 5,10,or 30 months.
Let me know if this doesn't make sense, and if others have anything else to share please add. I'm always looking to improve too.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Shanb:
Anybody have an opinion about the 30 day trading cycle. If there was a plus or minus day 30 days ago, does it increase the liklihood of it happening today? Any observations about what you have noticed?
I've been going through the SPY for the past 90 days or so and it doesn't seem to be significant...just my observation after looking at it over this short period of time
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Shan, it is my understanding that he only used the 30 day look back if other factors lined up as well. For example, say with crude oil 30 days ago it made an A up. And coming into today you have a plus 11 on the number line and crude is opening above the daily pivot range. Then factoring in that it made a good A up 30 days ago is in play.
Copper down 6%. Bonds traded up to 145'15.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
You can use monthly pivots, the number line, etc. I'm not a fundamental guy so I don't want to act like I know anything about live cattle because I don't. But there are some people in this industry that think this product could go parabolic due to all the cattle being slaughtered right now due to the drought in TX.
From a technical perspective, this market looks nice. It has not gotten to a point where you look at the chart and say, I don't want to chase it. Just watch the price action. BTW, there is an ETF, of course called COW.
Quote from Maverick74:
You want to be a little careful with this. A lot of this depends on what type of trader you are. Are you a breakout trader or a fader. I would exercise some caution in using similar opening ranges for crude oil and ES for example. One is a momentum product, the other is a mean reversion product.
Also, the intra-day time scale is very unique and does not translate well to larger time frames. Just try to think about the product you are trading and try to ask yourself what are you asking ACD to show you about that product.
Quote from flip:
Just a note regarding the ETF: COW is a portfolio of live cattle and lean hogs, so it wouldn't be a pure LC trade. However, current weight of LC is ~63% vs. only ~37% for LH anyway
http://www.ipathetn.com/COW-overview.jsp
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Maverick, do you also follow the VIX future (VX) for your ACD trading?
In terms of it's price action and behavior it might be a very interesting asset for this kind of trading.
(I've only recently started to look into ACD in more detail, realizing that it will be difficult to add it to our automated short term futures trading - which is something that you also mentioned in this thread, although you seem to try to go this route too.)
Quote from Maverick74:
You want to be a little careful with this. A lot of this depends on what type of trader you are. Are you a breakout trader or a fader. I would exercise some caution in using similar opening ranges for crude oil and ES for example. One is a momentum product, the other is a mean reversion product.
Also, the intra-day time scale is very unique and does not translate well to larger time frames. Just try to think about the product you are trading and try to ask yourself what are you asking ACD to show you about that product.
Quote from Quon:
Hey Maverick,
Your comments here have me a little worried. I'm fairly new to ACD, and use it mostly to trade individual stocks in more of a breakout fashion. Where do you think my application might need some re-consideration?
I'm grateful for any input you might have, or any thoughts you might want to share.
Thanks in advance
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mdl060374:
I also, Along with Quon am kinda curious about this. (The momentum vs mean reversion part.)
Can you elaborate on what can be used to differentiate the 2, from a day traders perspective? (FWIW, Thats kinda why I posted those 2 radarscreens from awhile back on intraday behavior. (scanning for frequent large candle days on one hand, and stocks that move, but often retrace towards open ). But maybe I was barking up the wrong tree, and not looking at the bigger picture)
I am not sure if this is getting into your secret stuff, so if it isnt, can you explain?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from flip:
Maverick, do you also follow the VIX future (VX) for your ACD trading?
In terms of it's price action and behavior it might be a very interesting asset for this kind of trading.
(I've only recently started to look into ACD in more detail, realizing that it will be difficult to add it to our automated short term futures trading - which is something that you also mentioned in this thread, although you seem to try to go this route too.)
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
If you daytrade stocks then there should be no issues. I'm speaking about when you mix and match time frames and use the same variables. You just need to be very careful. There is very little correlation to intra-day movements and larger macro movements. They are different animals.
Quote from Quon:
Gotcha,
Your comment was more in reference to not using the same data for very different products. Completely understood and agree, (and not using say a daily a up signal for getting long macro when you have a monthly a down).
Whew, I thought it was back to the drawing board there for a minute!
Thanks a ton for the reply.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Well, I didn't think you meant using an intra-day A up for a macro signal. I mean using a tight opening range for intra-day A levels and then taking the same percentage and applying it to weekly and monthly levels. Intra-day trading is very different and the opening range and A levels need to address that. Weekly and monthly levels are very different. For example, one might be a momentum trader intra-day but more of a fader over longer term time frames. Or vice Versa. So your opening ranges and A levels need to reflect that.
Let me try to make this simple. ACD is like a nice suit. You want it to fit. You know what your chest size and arm length is. So tailor the suit so it actually "fits" what it is your trying to do. You don't want the suit to be too big or too small. So think about what kind of a trader you are or want to be and make ACD "fit" your style.
Copper down 8% and ES down 2.5%. This is why I was favoring the copper short over ES. One of the strengths of ACD is being able to locate precisely the best product to be in.
I am always amazed at how many traders simply trade the ES by default because that is the product they know or always trade. So much more edge can be had by locating the better product.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Was short on the failed A-up in the SPY. Long some VXX and short SPY from 114. VXX grinded up 50 cents from my entry and spiked right back to
it. I ended up getting out with a scratch on the VXX and a little bit on the SPY. When people say the INDICES back and fill...I believe it. I cut positions
short alot of times because of this.
One thing I've been doing is looking at the indices with my ACD framework
and playing strong and weak stocks based off of that. So many weak stocks were hammered today that I decided on a scalp with small size.
Anybody see MOS today...a good news bad price action play.
Added to the S&P 500 index and look at it today...looks like shit lol
Quote from Maverick74:
I think what you need to do is take into consideration what type of trader you are. If you are trading momentum, you want to use tighter opening ranges and smaller A values. Some guys actually use 3 min opening ranges to trade crude oil for example. If you are a mean reversion trader, you sure as hell don't want to sell tight range bound markets, you want wider ranges so wider opening ranges and larger A values.
Then you have to consider the product you are trading. Bonds don't trade the same way as crude oil. Some of these products gap more then others. Bonds for example gap on economic data at 7:30 central time. Oil gaps on the inventory numbers. Grains gap on crop reports. You can't trade corn the same way you trade AAPL. I mean I think this is common sense.
Here is my advice. Before you start getting into too much of the macro stuff, try to master intra-day ACD. It's easier since you are focusing on one time frame. Once you get into the macro stuff you need to watch the daily, weekly, monthly, QTR, etc and that can drive one nuts if you are unsure of what you are doing.
.
here is a 10 minute chart of spy, you should have had a short bias obviously today. The bottom of the opening range was 113.24, notice how many times it comes up to the open. This may help you in
trading have a good one.
eurjpy on the move keep an eye on that if you trade forex.
Looking at the basics of ACD in detail, I noticed that in his book on page 12, Fisher divides the day into 64 five-minute intervals and states that based on random-walk theory the first bar would be the high 1/64 of the time, the low 1/64 of the time and hence the high or low 1/32 of the time. In reality, he states, the opening range tends to be the high or low 17-23 percent of the time which is the edge of this approach.
In order to validate this statement, I used 5min data of the S&P500 future (ES) since Jan 2000, dividing the day into 5min intervals which gives 81 bars per day.
I then calculated the following empirical probabilities for each bar of the day (displayed in the attached chart):
- the high of the day is made until bar number n (blue bars top left)
- the low of the day is made until bar number n (blue bars top right)
- the high and the low are made until bar number n (blue bars bottom left)
- the high or the low are made until bar number n (blue bars bottom right)
I did the same using random-walk data, which is displayed as red line in each chart.
The results are quite interesting, most noticeable:
There's indeed a pretty large difference between the empirical data and random-walk, especially during the beginning of the day: Looking at the bottom right chart you can see that the probability for a high or low during the first period of the day is much larger than random-walk theory would suggest.
However, you can also see that the probabilities for random-walk data are not as low as Fisher suggests:
According to Fisher - when having 81 bars per day - the probability for the first bar of the day to be the high of the day would be 1/81 (~1.23%), same for the low, the probability for either a high or low would then be 1/81 + 1/81 = 2/81 = 2.47%. However, P(H or L) is not simply P(H) + P(L) but instead P(H) + P(L) - P(H and L), where P(H and L) = P(H) * P(L).
On the other hand, the relationship is not linear, i.e. the probability for high of day until first bar = 1/81, until second bar = 2/81, until third bar = 3/81 etc. is not valid. You can see this in the top left and right chart, the red line is not linearly increasing.
So I would conclude that there's indeed a difference between empirical data and theory but not as large as Fisher suggests. Whether this difference is enough to be regarded as an edge is something I cannot say. Based on postings in this thread it seems it's not enough on a stand-alone basis, but definitely useful as a starting point.
Any feedback appreciated! Did anyone look at similar stuff, e.g. as a method for detecting markets with the highest deviation from random-walk?
watching 112.40 value area on spy long bias today.
Quote from flip:
Looking at the basics of ACD in detail, I noticed that in his book on page 12, Fisher divides the day into 64 five-minute intervals and states that based on random-walk theory the first bar would be the high 1/64 of the time, the low 1/64 of the time and hence the high or low 1/32 of the time. In reality, he states, the opening range tends to be the high or low 17-23 percent of the time which is the edge of this approach.
In order to validate this statement, I used 5min data of the S&P500 future (ES) since Jan 2000, dividing the day into 5min intervals which gives 81 bars per day.
I then calculated the following empirical probabilities for each bar of the day (displayed in the attached chart):
- the high of the day is made until bar number n (blue bars top left)
- the low of the day is made until bar number n (blue bars top right)
- the high and the low are made until bar number n (blue bars bottom left)
- the high or the low are made until bar number n (blue bars bottom right)
I did the same using random-walk data, which is displayed as red line in each chart.
The results are quite interesting, most noticeable:
There's indeed a pretty large difference between the empirical data and random-walk, especially during the beginning of the day: Looking at the bottom right chart you can see that the probability for a high or low during the first period of the day is much larger than random-walk theory would suggest.
However, you can also see that the probabilities for random-walk data are not as low as Fisher suggests:
According to Fisher - when having 81 bars per day - the probability for the first bar of the day to be the high of the day would be 1/81 (~1.23%), same for the low, the probability for either a high or low would then be 1/81 + 1/81 = 2/81 = 2.47%. However, P(H or L) is not simply P(H) + P(L) but instead P(H) + P(L) - P(H and L), where P(H and L) = P(H) * P(L).
On the other hand, the relationship is not linear, i.e. the probability for high of day until first bar = 1/81, until second bar = 2/81, until third bar = 3/81 etc. is not valid. You can see this in the top left and right chart, the red line is not linearly increasing.
So I would conclude that there's indeed a difference between empirical data and theory but not as large as Fisher suggests. Whether this difference is enough to be regarded as an edge is something I cannot say. Based on postings in this thread it seems it's not enough on a stand-alone basis, but definitely useful as a starting point.
Any feedback appreciated! Did anyone look at similar stuff, e.g. as a method for detecting markets with the highest deviation from random-walk?
Quote from kinggyppo:
This is a great thread sans the bickering..take a look...
http://www.elitetrader.com/vb/showt...+in+random+data
Quote from flip:
Looking at the basics of ACD in detail, I noticed that in his book on page 12, Fisher divides the day into 64 five-minute intervals and states that based on random-walk theory the first bar would be the high 1/64 of the time, the low 1/64 of the time and hence the high or low 1/32 of the time. In reality, he states, the opening range tends to be the high or low 17-23 percent of the time which is the edge of this approach.
In order to validate this statement, I used 5min data of the S&P500 future (ES) since Jan 2000, dividing the day into 5min intervals which gives 81 bars per day.
I then calculated the following empirical probabilities for each bar of the day (displayed in the attached chart):
- the high of the day is made until bar number n (blue bars top left)
- the low of the day is made until bar number n (blue bars top right)
- the high and the low are made until bar number n (blue bars bottom left)
- the high or the low are made until bar number n (blue bars bottom right)
I did the same using random-walk data, which is displayed as red line in each chart.
The results are quite interesting, most noticeable:
There's indeed a pretty large difference between the empirical data and random-walk, especially during the beginning of the day: Looking at the bottom right chart you can see that the probability for a high or low during the first period of the day is much larger than random-walk theory would suggest.
However, you can also see that the probabilities for random-walk data are not as low as Fisher suggests:
According to Fisher - when having 81 bars per day - the probability for the first bar of the day to be the high of the day would be 1/81 (~1.23%), same for the low, the probability for either a high or low would then be 1/81 + 1/81 = 2/81 = 2.47%. However, P(H or L) is not simply P(H) + P(L) but instead P(H) + P(L) - P(H and L), where P(H and L) = P(H) * P(L).
On the other hand, the relationship is not linear, i.e. the probability for high of day until first bar = 1/81, until second bar = 2/81, until third bar = 3/81 etc. is not valid. You can see this in the top left and right chart, the red line is not linearly increasing.
So I would conclude that there's indeed a difference between empirical data and theory but not as large as Fisher suggests. Whether this difference is enough to be regarded as an edge is something I cannot say. Based on postings in this thread it seems it's not enough on a stand-alone basis, but definitely useful as a starting point.
Any feedback appreciated! Did anyone look at similar stuff, e.g. as a method for detecting markets with the highest deviation from random-walk?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from flip:
I haven't read this thread, but I think it's more interesting (and hopefully lucrative) to find deviations from random walks in real data instead finding trends in artificially generated random walks
Mav my thesis has always been there are trends in the mkt which can be exploited, random or non random is irrelevant to me.
Quote from kinggyppo:
Mav my thesis has always been there are trends in the mkt which can be exploited, random or non random is irrelevant to me.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Well, trends can't be exploited if markets are truly random. That was Fisher's point.
Quote from kinggyppo:
I believe he used the term statistically significant, I don't personally believe the mkt or the universe is truly random, but a simple monte carlo of a coin flip will show "trends" ie. 10 heads in a row. Anyhow this is a topic for the other thread. Looking for a touch of 114.20 on spy.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Feedback for Flip.
Flip. ACD is about RISK management. There is no edge in ACD, other than a viable method to control your risk. ACD is about knowing where to get out more than knowing where to get in. Where to get in after a market makes an A is your business. But, when a market makes an A you are not allowed to trade counterbias unless it makes a C. This alone will keep you from being hacked to bits, which is the fate of too many traders. Death by a thousand cuts. ACD eliminates that.
Myself I am a currency trader, profitable, but my equity swings were HUGE! Up 300% one month, only to give it back over the next three. ACD gives traders with a system a way to qualify their signals. ACD guarantees you lose small and win big. At the end of the day, this is all you need to really learn to be an Elite Trader.
Also ACD, if you already have a system allows you to follow many many more markets. Thanks to ACD I can now follow every pair Oanda offers, and normalize my risk. What that means is that I can wait for exactly what I want price action to do, and not just close enuf. If you have not watched the videos Mav put up, please do that. For me, it was like going from a Bachelors to a PhD. Fish gives traders who are breakeven or slightly profitable the tools to turn the corner.
Seriously, watch those videos. Do not skip anything, and watch them all.
thanks for your feedback Maverick, kinggyppo and RCG
gold in absolute freefall right now.
Quote from kinggyppo:
gold in absolute freefall right now.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
ES flat today, Copper down 6%. Once again just trying to emphasize the importance of product selection. Carry on...
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Quon:
I see the same in the SPY. Also, SLV has made a monthly A down, (at least according to my levels) and has been quietly moving downward. It's been a nice way to play the rise in the US dollar.
I have an 8 cent 3 day, and while it's not the smallest I've seen, I've been watching fairly closely. If the fed does nothing, and the dollar keeps going higher this could really be a nice trade.
Quote from RCG Trader:
Feedback for Flip.
Flip. ACD is about RISK management. There is no edge in ACD, other than a viable method to control your risk. ACD is about knowing where to get out more than knowing where to get in. Where to get in after a market makes an A is your business. But, when a market makes an A you are not allowed to trade counterbias unless it makes a C. This alone will keep you from being hacked to bits, which is the fate of too many traders. Death by a thousand cuts. ACD eliminates that.
Myself I am a currency trader, profitable, but my equity swings were HUGE! Up 300% one month, only to give it back over the next three. ACD gives traders with a system a way to qualify their signals. ACD guarantees you lose small and win big. At the end of the day, this is all you need to really learn to be an Elite Trader.
Also ACD, if you already have a system allows you to follow many many more markets. Thanks to ACD I can now follow every pair Oanda offers, and normalize my risk. What that means is that I can wait for exactly what I want price action to do, and not just close enuf. If you have not watched the videos Mav put up, please do that. For me, it was like going from a Bachelors to a PhD. Fish gives traders who are breakeven or slightly profitable the tools to turn the corner.
Seriously, watch those videos. Do not skip anything, and watch them all.
Quote from Quon:
Covered this SLV short a few days ago...
DRAT!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Thanks Maverick,
I worried that the monthly/weekly ATR had already been reached, and that maybe I'd entered the short already relatively close to the bottom. I didn't have any other indicator to tell me to hang on, (unfortunately) so I took the relatively small profit in the face of what could have been larger.
Any suggestions on where I might focus some more study with regard to hanging on?
I appreciate your insights immensely!
Quote from Quon:
Thanks Maverick,
I worried that the monthly/weekly ATR had already been reached, and that maybe I'd entered the short already relatively close to the bottom. I didn't have any other indicator to tell me to hang on, (unfortunately) so I took the relatively small profit in the face of what could have been larger.
Any suggestions on where I might focus some more study with regard to hanging on?
I appreciate your insights immensely!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Quon, let me offer this advice. I use ACD primarily as a trend following system. In other words, go with the trend and the momentum. It's also a price action based system so ACD is helping me discern between whether we are range bound or trending. So with Silver being in a downtrend, there are two ways I would look to cover the silver short. Either at a critical A level that FAILS or on a confirmed A up on another time frame.
So let's use an example. Assuming you are still short, I would look to cover silver either at a failed weekly A down or a confirmed weekly A up. This would demonstrate two things to me. Either the downtrend is stalling out at the failed A down or it's catching a bid and showing strength now through a confirmed weekly A up. If it's doing neither, I sit. What am I afraid of? If it's not showing any strength and it's in a confirmed downtrend, the wind is at my back.
Let me say that following trends in price is very very difficult. I have never found an effective way to do it until ACD. I've read all the turtle techniques and the use of trailing stops but neither of them address price action. It's going to be very hard to make money over the long run trading trends if you don't actually catch them.
Quote from Maverick74:
Quon, let me offer this advice. I use ACD primarily as a trend following system. In other words, go with the trend and the momentum. It's also a price action based system so ACD is helping me discern between whether we are range bound or trending. So with Silver being in a downtrend, there are two ways I would look to cover the silver short. Either at a critical A level that FAILS or on a confirmed A up on another time frame.
So let's use an example. Assuming you are still short, I would look to cover silver either at a failed weekly A down or a confirmed weekly A up. This would demonstrate two things to me. Either the downtrend is stalling out at the failed A down or it's catching a bid and showing strength now through a confirmed weekly A up. If it's doing neither, I sit. What am I afraid of? If it's not showing any strength and it's in a confirmed downtrend, the wind is at my back.
Let me say that following trends in price is very very difficult. I have never found an effective way to do it until ACD. I've read all the turtle techniques and the use of trailing stops but neither of them address price action. It's going to be very hard to make money over the long run trading trends if you don't actually catch them.
Quote from flip:
Mav, do you calculate the sharpe ratio of your trading results? (I'm aware that it's not so straightforward to calculate in a prop trading environment due to not having a specific capital but rather a flexible buying power)
The reason I ask is because you mention turtle techniques, the difficulty of trend following etc.
I actually find it not that hard to develop a trend following system (diversified, trading the usual suspects, i.e. indices, bonds, commodities, currencies) that resembles what typical CTAs are doing. However, that's in the region of sharpe ratio ~ 1, which might be okay when thinking in terms of what CTAs are delivering, but I can imagine that's not really attractive in a prop trading environment, where sharpe ratios will be much higher, although on a smaller capital basis.
So I guess when you say trend following is very very difficult you're thinking of results far better than a sharpe ratio of about 1?
A related - more ACD specific - question if you don't mind: How many trades / positions do you typically have open at the same time using this method? I guess it will vary a lot, but just a general number would be interesting. Do you focus on one / a few positions, i.e. just trading the cleanest/strongest signals? Or do you have many open positions on at the same time (as a typical diversified trend following system would have)?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Okay thanks, yes the drawdowns can really be severe with the usual trend following systems...
Interesting idea regarding grouping the assets, your copper vs. ES example was actually a good application of that.
Quote from mfbreakout:
and here is ES set up.
http://www.screencast.com/t/kCs1pnh22
ES is flat and Copper is down 5%. Product selection!
Live Cattle breakout still working. Getting ready to take out the highs.
Also FXI down 2.5%.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
ES is flat and Copper is down 5%. Product selection!
Live Cattle breakout still working. Getting ready to take out the highs.
Also FXI down 2.5%.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
ACD Blackbox on Futures
I just found out about this blog, and I am impressed with the discussion that you guys are having. I was up all night going through every page - taking notes. Thanks to every one for contributing several key ideas.
I have been living in vacuum not knowing there are so many users of ACD.
Great stuff Maverick74. You have really done the trading community a favor with a lot of information that helps one fine tune ACD and share the different ways to trade it. There is no magic formula, every one has to come up with their own variations of trading the ACD methodology or any strategy in that case.
Since I have had decent success with ACD, I wouldn't mind sharing some of the ideas that I have massaged using Fishers method.
I trade hft strategies in equities, but also have a chunk of my capital running ACD on Futures Black Box.
Since my background is in engineering, and making "Trading Decisions" based on factoring market conditions is somewhat of an art form, I try to stick with a systematic approach. I take every signal I get, but this is where I can fine tune my or super size when multiple signals are triggered - and make my black box better. For example, I take longs in Silver, Gold and Copper - when all of that happens and my trades seems to be very correlated. I would want to work on trading optimal names based on risk / reward ratio and only taking 1 of the 3 or hedging against using a correlated asset.
The strategy has delivered sizeable profits in volatile market conditions (last 2 months + april and may 2011) , however in choppy market conditions I go through drawdowns (which is financed by my HFT strategies that make money every day)
For example, shorts in gold have hurt me - because the machine takes those trades no matter what. However, a human trader would asses other metals before taking the short. On the other hand, I have captured 100+ points in gold taking long trade in the 2008 environment when everything was going down - so sticking with taking everything has worked out so far - but the pain is in the drawdowns when I am flat for 2 months with no action.
I also size up based on Number line and its beautiful when the momentum is building up in the direction of the trend (i.e Number line going from 14 to 16 to 19 etc), however when the number line goes from 24 to 18 over a few days - the computer still thinks that the trend is long and the market stops me out on my AUp trades.
When 30 days ago in case of comodities and in case of stocks 21 or 20 days ago, was an Aup and you get an Aup - those days tend to have big moves - especially in names like AAPL, GOOG etc when funds tend to invest on a monthly basis.
The OR is statistically significant - I m attaching a spreadsheet - which demonstrates, the OR is the high of the low of the day greater than 30% of the time in most commodities and just trading the breakout - gives you a good positive move in the direction of the long term trend.
If you check out the summary sheet, the other thing you will see in the Details of all the commodities is the overnight jump is significant as compared to intraday move. Hence my reasoning to keep my profits run overnight. (Send me a PM for excel spreadsheet, I wasn't allowed to share an excel via ET)
The overnight move is about 1.45 X intraday move in stocks [Did this study on Russell 2000], but you cant have overnight stops in stocks.
Currently, I trade break outs only [Keep positions overnight on my winning trades] - but I have been working on creating a fading system for intra-day trading on non volatile stocks and commodities.
maverick74 - your ideas such as using FAT OR for fading has given me good ideas to think about and work on the Fading aspect of the trades. However its fairly challenging to come up with exits since the prices could be choppy for a while and it doesnt go anywhere when fading at time.
Moreover, as a computer trader - its hard to explain in code, if price hasnt moved in a while - get out. Timed out stops were very effective when trading and watching several markets when I was trading manually. I have 9+ strategies running so its hard to keep track of everything. ACD takes < 10% of all my trades and makes up greater than 30% of my profits as of this year.
I am also planning to trade every volatile and liquid asset using the ACD system as an automated strategy - anything that is volatile and meets the OR criteria of >20% as high or low is definitely a symbol worth watching / backtesting.
I realize that I will have tons of losers but my winning trades are 2 to 4 times as big as my losers and its overall portfolio performance that counts. The MFE to MAE ratio is about 1.4 to 1.8 depending upon what names you are trading. Thats a significant edge when you make expectancy trades.
Further, its hard to quantify - Big Pivot Range and Big OR - but I have come up with an ATR based formula and stick with it. Have noticed these days are choppy days and a good idea to sit out.
Also, use the OR time of the equity market (930 to 940 or 930 to 950) for GC, SI have tend to work better in the recent times - because there is strong correlation between SPY and GC that is existing now - which wasnt the case - 2 years ago.
The other thing that maverick74 mentioned was that Pivots around A levels are good for fading, I have gotten chopped out of 62 trades out of 72 trades when taking breakout around these pivots for the last 2 years. So thank your for sharing this, I will be modifying the code and testing new ideas around this pivot levels. In the book fisher mentions, let the prices pierce through your Pivot if it right above your Aup and stay there for half the time. Hence I would take the breakout only to see prices move against me.
Sharpe Ratios is just a number. I tend to have HFT strategies which have high sharpe ratio of 5+, but a bad day can wipe off significant chunk of your profits when you run mean reversion strategies. I tend to look at sortino for momentum and trend based strategies, and my realized trading performance on silver has as sortino of 8.92 which is a good bang for a buck.
Currently I use the simple rule of letting winners run - however are if there any exit strategy ideas that you guys can share would be appreciated. I hate to have a winning trade in silver which will be 4000 dollars/contract in my favor and then let it go against because I did not take profits out as the market was reversing.
Copper in absolute free fall. Taking out the August lows. Down already 5% since the pit close. Meanwhile ES going no where fast.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
es chart for 09-28-2011
http://www.screencast.com/t/ykfiOn1ZKI
Re: es chart for 09-28-2011
Quote from mfbreakout:
http://www.screencast.com/t/ykfiOn1ZKI
Re: Re: es chart for 09-28-2011
Quote from mfbreakout:
just noticed some spelling mistakes. promise more attention next time.
Just wanted to drop some respect. I said way earlier in the thread that I would not have taken a second look at some hotshot trader's public method if it weren't for someone of Maverick74's esteem giving it the thumbs up.
I definitely appreciate Mav's discussion here. It's allowed me to incorporate price action into my own method in a way that has been useful.
I'll always be wary of mass appeal but that's what got me in this particular arena. Hats off man.
Quote from Samsara:
Just wanted to drop some respect. I said way earlier in the thread that I would not have taken a second look at some hotshot trader's public method if it weren't for someone of Maverick74's esteem giving it the thumbs up.
I definitely appreciate Mav's discussion here. It's allowed me to incorporate price action into my own method in a way that has been useful.
I'll always be wary of mass appeal but that's what got me in this particular arena. Hats off man.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
this site may be helpful for quick correlation analysis.
http://www.macroaxis.com/invest/men...rketCorrelation
acd trader interesting post, regarding better exits its always a tradeoff, look at fas for example gap up from yesterdays close if you are long you want to hold, but how much in profits are you willing to give back? I will usually set a stop under the opening range. I usually trade 10 and 60 minute time frames. There is no great answer to this, your capital is always at risk when you have a trade on. I don't believe in trailing stops there is not enough room to run, there are lots of debates on other threads regarding scaling in or out; I like to take the whole thing off when tgt is reached.
Exits
Here are couple of my trades from yesterday, I was in the money for quite a while - My current methodology involves trailing and scaling out from a portion of my positions.
Are there any discussions out there where I can look into testing some exit methodologies. For example, yesterday my GC short from 1633 went all the way down to 1584, however I exited around 1612 - giving up about (28 points). If I trail too tight, the machine gets out of the position too early.
One of the methods that I m came across "Logical Trader" last night was using a Rolling 3 day pivot and lean off that to stay in the trades longer and use them as stops. Visually, the 3 day rolling pivot stops look good - however, just wanted to see what approaches are other traders using to take $ of the the table
Re: ACD Blackbox on Futures
Quote from acdtrader:
I just found out about this blog, and I am impressed with the discussion that you guys are having. I was up all night going through every page - taking notes. Thanks to every one for contributing several key ideas.
...
and here's a zip file with the same evaluation for a range of futures markets.
Re: Re: ACD Blackbox on Futures
Quote from flip:
Meanwhile, as I'm working through the book I looked at an interesting effect with regards to the first day of the month.
On page 46/47 ("Significant Time Frames") Fisher claims that the first day of the month is significantly more often the high or low of the month than the other days.
In order to validate this claim, I looked at various futures and was surprised how strong this effect is - across all markets.
Re: Re: Re: ACD Blackbox on Futures
Quote from mdl060374:
I am curious if that has to do more with futures (contracts, etc) than equities. It seems like like some of the things he does that are time related, or bsed around time cycles, might be more accurate with futures.
OR Stats
Interesting stuff flip. Here is a similar study where I studied, what % of the time OR is the high or the low of the day.
"OR High" "OR Low" "OR Stat - High / Low"
Metals
GC 15% 18% 34%
SI 17% 19% 37%
HG 13% 20% 33%
Energy
CL 16% 17% 33%
HO 19% 18% 37%
NG 20% 19% 39%
RB 18% 17% 35%
Softs
KC 22% 19% 41%
SB 24% 19% 43%
I conducted my study from Jan 2008 to Dec 2010.
Fisher mentioned it was about 20% but in the last 2 years - its much higher and further increases your edge in OR breakout trades.
Thanks for your pointer on the OR of the month being high / low of the day. I will create an indicator and see if biasing your daily trades using beginning of the month - helps the system.
great OR analysis flip
Thanks for sharing. By the way, it will be interesting to see if similar anomalies is evident in individual stocks as well.
Re: Re: Re: Re: ACD Blackbox on Futures
Quote from flip:
I'll take a look at equities too and post results here if you're interested. What I can say for now is that the effect is definitely visible in the equity index futures, so I guess it will be the same for individual stocks.
Interesting intraday A Down on ES today. By my calculation, the A Down point was right on top of the pivot, which would in theory make it a pretty juicy trade if it holds.
Re: Re: Re: Re: Re: ACD Blackbox on Futures
Quote from flip:
Ok so I'd say there's a similar effect in individual stocks, attached are all plots of the SP100 stocks (maybe the constituent list is not really up2date, but that doesn't change the picture)
Re: Re: Re: Re: Re: Re: ACD Blackbox on Futures
Quote from kinggyppo:
that is really interesting, can you break down a few of the majors like spy, uso, etc by high and low. I would think that this phenomena would be fund driven.
thanks that is really really interesting, pop a couple more in if you get a chance thanks for your time...
Re: Re: Re: Re: Re: Re: Re: ACD Blackbox on Futures
Quote from flip:
I don't have etf data at hand right now, but using futures instead (i.e. ES instead spy, CL instead uso) gives the following picture:
(I think attaching all futures exceeds the size limit here, so I just attached ES and CL for now)
Quote from Maverick74:
Copper in absolute free fall. Taking out the August lows. Down already 5% since the pit close. Meanwhile ES going no where fast.
Re: Re: Re: Re: Re: ACD Blackbox on Futures
Quote from flip:
Ok so I'd say there's a similar effect in individual stocks, attached are all plots of the SP100 stocks (maybe the constituent list is not really up2date, but that doesn't change the picture)
Re: Re: Re: Re: Re: Re: Re: ACD Blackbox on Futures
Quote from flip:
I don't have etf data at hand right now, but using futures instead (i.e. ES instead spy, CL instead uso) gives the following picture:
(I think attaching all futures exceeds the size limit here, so I just attached ES and CL for now)
Quote from kinggyppo:
mav when you get a chance can you explain why copper is so important to the global economy, especially China. I know some lurkers would benefit from that, thanks. By the way Joe Terranova a fisher protege is always talking about this.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: es chart for 09-28-2011
Quote from mfbreakout:
and here is the beast. Nicely controlled by ACD http://www.screencast.com/t/5UtJ32oWuNw
excellent thanks Mav.
Re: Re: Re: Re: es chart for 09-28-2011
Quote from mfbreakout:
ACD for 09-29-2011 for CL. ACD controlled the beast like a puppy.
http://www.screencast.com/t/nBRQPW4s
Re: Re: Re: Re: Re: es chart for 09-28-2011
Quote from mfbreakout:
Here is an audio presentation by Louie- Director of training at MF firm. He is getting tired of me asking him questions. But he is a trader and a gentleman and loves to help.
http://activetrader.ning.com/video/...ly-no-video-lou
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Re: es chart for 09-28-2011
Quote from mfbreakout:
Here is an audio presentation by Louie- Director of training at MF firm. He is getting tired of me asking him questions. But he is a trader and a gentleman and loves to help.
http://activetrader.ning.com/video/...ly-no-video-lou
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Re: Re: es chart for 09-28-2011
Quote from Maverick74:
Are you the moderator actually asking the questions?
Re: Re: Re: Re: Re: es chart for 09-28-2011
Quote from mfbreakout:
Here is an audio presentation by Louie- Director of training at MF firm. He is getting tired of me asking him questions. But he is a trader and a gentleman and loves to help.
http://activetrader.ning.com/video/...ly-no-video-lou
Re: Re: Re: Re: Re: Re: Re: es chart for 09-28-2011
Quote from mfbreakout:
No, I am not the moderator. I call Louie from time to time to pick his brain.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from kinggyppo:
thanks that is really really interesting, pop a couple more in if you get a chance thanks for your time...
Quote from drm7:
Interesting intraday A Down on ES today. By my calculation, the A Down point was right on top of the pivot, which would in theory make it a pretty juicy trade if it holds.
Re: Re: Re: Re: Re: Re: es chart for 09-28-2011
Quote from Quon:
Many thanks for the post. I'm finding it very helpful. Between this and the videos Mav posted a few weeks back I'm really looking at ACD in a much different way. Really supplementing the book itself.
Thanks to all for the great posts today. Much appreciated.
Re: Re: Re: Re: Re: es chart for 09-28-2011
Quote from mfbreakout:
Here is an audio presentation by Louie- Director of training at MF firm. He is getting tired of me asking him questions. But he is a trader and a gentleman and loves to help.
http://activetrader.ning.com/video/...ly-no-video-lou
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Re: Re: es chart for 09-28-2011
Quote from Maverick74:
It's amazing how Lou actually uses the exact same language that I use to describe ACD and how to use it. If I didn't know any better, I would say Lou read this thread before doing the presentation.
Re: Re: Re: Re: Re: Re: Re: es chart for 09-28-2011
Quote from mfbreakout:
Now, we know the reason as to why you execute ACD concepts so successfully.
Re: OR Stats
Quote from acdtrader:
Interesting stuff flip. Here is a similar study where I studied, what % of the time OR is the high or the low of the day.
"OR High" "OR Low" "OR Stat - High / Low"
Metals
GC 15% 18% 34%
SI 17% 19% 37%
HG 13% 20% 33%
Energy
CL 16% 17% 33%
HO 19% 18% 37%
NG 20% 19% 39%
RB 18% 17% 35%
Softs
KC 22% 19% 41%
SB 24% 19% 43%
I conducted my study from Jan 2008 to Dec 2010.
Fisher mentioned it was about 20% but in the last 2 years - its much higher and further increases your edge in OR breakout trades.
Thanks for your pointer on the OR of the month being high / low of the day. I will create an indicator and see if biasing your daily trades using beginning of the month - helps the system.
I used OR time as 10 mins in all commodities. Interesting to see that 60 mins is the high or low of the day 57% of the time. What commodity are you calculating these stats for?
By the way - flip, can you explain the results of your probability distribution from the link that you posted.
Thanks for sharing your results, I was trying to post an Excel file that shows all my results. Also it demonstrates that Overnight move is higher than intraday move at an average in a lot of cases. However I couldnt figure out a way to post the excel file as an attachment. Then I tried to post a link to the excel file and EtTrejected my post.
I currently use Multicharts for quick backtesting or protoyping an idea / indicator. I have used Matlab and R when I was in graduate school and at my previous firm. During the last couple of years, I have tried NinjaTrader, tradestation, open quant, quant house, streambase, Rightedge and pretty much most softwares out there. And I realized by trial and error that I needed to build something from scratch - which had backtesting, trading, optimization, record-replay of market data, strategy analyzer, scheduler etc which would work for high frequency trading as well as for Intraday scalping and TA strategies. I am 70% of the way there in terms of functionalities. This way once I write an indicator or strategy my code for backtesting it is the same as my real time trading.
Check out deltixlab - on google, it is the most sophisticated tool for an automated trader I have come across.
keeping an eye on wynn here has been bludgeoned bottom of 2 minute opening range around 115. Think it may reverse higher here.
Re: Re: OR Stats
Quote from flip:
Thanks, which time for the OR did you use in your study? 15min?
I think your analysis goes into the same direction as what I posted on 09-23-11 (see result for ES here: http://www.elitetrader.com/vb/attac...&postid=3309115 )
Using an OR of 15min would give a percentage of 33% for "high or low", see bottom right plot.
The first hour in the ES develops as follows:
OR-time...percentage (high or low)
5min: 21%
10min: 28%
15min: 33%
20min: 37%
25min: 40%
30min: 43%
35min: 48%
40min: 51%
45min: 52%
50min: 55%
55min: 56%
60min: 57%
btw, acdtrader, which software/platform do you use for automated trading and which software for studies like this? I do most of the stuff in Matlab, partly also in R.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Agree with your idea
Maverick74 - agree with what you have to say. The OR stop is too wide. However here is my thought process, and please feel free to critique what you think.
Let say: Lets say the OR is high / low of the day -> 30% of the time and every time I bet in the direction of the OR breakout, lets say I win $5. On the other hand, 70% of the time trades are either flat or I get stopped out and lose $2 in those stopped out trades.
Hence my expectancy on this trade over a long period of time would be: 0.3 X $5 + 0.7 X (-2) = $0.1 (lets ignore trading costs for now)
Its a very small edge, but If I could make this bet 1 million times across similar instruments that exhibit this property where the OR is significantly the high/low of the day than days when its not - that would be a good risk reward system.
Not to forget, we can factor in other conditions such as + / - days, number line etc that might increase the expectancy.
Hence - delving into the OR stats.
Currently I use a factor of volatility to put out my stops, sometimes its below the OR low and sometimes above the low for long trades. Its different from how Fisher teaches in the book, but in my experience - when the stops are too tight, one gets stopped out and if they are too wide, you are taking a lot of failed Aups thinking of them as AUp breakouts. Thats where your experience as a trader comes in maverick (which is what you have focused on sharing throughout the blog talking about how the ACD methodology vs a set of rules that one programs) - machines cant think, but they are very disciplined.
Re: Agree with your idea
Quote from acdtrader:
Maverick74 - agree with what you have to say. The OR stop is too wide. However here is my thought process, and please feel free to critique what you think.
Let say: Lets say the OR is high / low of the day -> 30% of the time and every time I bet in the direction of the OR breakout, lets say I win $5. On the other hand, 70% of the time trades are either flat or I get stopped out and lose $2 in those stopped out trades.
Hence my expectancy on this trade over a long period of time would be: 0.3 X $5 + 0.7 X (-2) = $0.1 (lets ignore trading costs for now)
Its a very small edge, but If I could make this bet 1 million times across similar instruments that exhibit this property where the OR is significantly the high/low of the day than days when its not - that would be a good risk reward system.
Not to forget, we can factor in other conditions such as + / - days, number line etc that might increase the expectancy.
Hence - delving into the OR stats.
Currently I use a factor of volatility to put out my stops, sometimes its below the OR low and sometimes above the low for long trades. Its different from how Fisher teaches in the book, but in my experience - when the stops are too tight, one gets stopped out and if they are too wide, you are taking a lot of failed Aups thinking of them as AUp breakouts. Thats where your experience as a trader comes in maverick (which is what you have focused on sharing throughout the blog talking about how the ACD methodology vs a set of rules that one programs) - machines cant think, but they are very disciplined.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Copper down about 5% today. FXI down 6%. They continue to get solder harder then ES.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I'm going to start pounding the table on another trade here. That trade is live cattle. Live cattle is in a huge bull market. It's a quiet trade that very few people are talking about. It's above my monthly and QTR A up and confirmed a weekly A up today. Many fundamental guys are saying 165 as a minimum price target.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Here is the end of month snap shot. The only real strength this month came from the cattle and us dollar markets.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Agree with your idea
Quote from acdtrader:
Maverick74 - agree with what you have to say. The OR stop is too wide. However here is my thought process, and please feel free to critique what you think.
Let say: Lets say the OR is high / low of the day -> 30% of the time and every time I bet in the direction of the OR breakout, lets say I win $5. On the other hand, 70% of the time trades are either flat or I get stopped out and lose $2 in those stopped out trades.
Hence my expectancy on this trade over a long period of time would be: 0.3 X $5 + 0.7 X (-2) = $0.1 (lets ignore trading costs for now)
Its a very small edge, but If I could make this bet 1 million times across similar instruments that exhibit this property where the OR is significantly the high/low of the day than days when its not - that would be a good risk reward system.
Not to forget, we can factor in other conditions such as + / - days, number line etc that might increase the expectancy.
Hence - delving into the OR stats.
Currently I use a factor of volatility to put out my stops, sometimes its below the OR low and sometimes above the low for long trades. Its different from how Fisher teaches in the book, but in my experience - when the stops are too tight, one gets stopped out and if they are too wide, you are taking a lot of failed Aups thinking of them as AUp breakouts. Thats where your experience as a trader comes in maverick (which is what you have focused on sharing throughout the blog talking about how the ACD methodology vs a set of rules that one programs) - machines cant think, but they are very disciplined.
So I've been using ACD for the past few weeks and one thing I am finding is that I have certain strengths when it come to trading and certain weaknesses. I can hold onto trades and let my winners run and add to positions when necessary. I am not the best with my entries and stop placement. I have been using the Pivot range and 3 day rolling pivots for stop placement and I am having some trouble with this method. Many times a stock will shake out through a pivot range low high or even go inside of it to a certain extent. Many times I get shaken out of great trades because of this.
Here's an example of a trade in JWN today. Tested the pivot(just below the A-level) early in the day and then it comes for a second test. Put the stop above the pivot with some cushion. Tested it and went through, wasn't stopped out yet Comes up for one more test and goes through that high!
Any ideas here? I was thinking of using a volatility based stop. One idea was to use time as the tool for this. If I will give this setup 20 mintues to work then to use 1/18 of the ATR(20 min time periods per day) and then putt that behind the pivot this type of trade..
For an A-up/down. Use 1/9 of the ATR which is based on 40 minute time periods(twice the opening range).
What do you guys think?
Quote from Shanb:
So I've been using ACD for the past few weeks and one thing I am finding is that I have certain strengths when it come to trading and certain weaknesses. I can hold onto trades and let my winners run and add to positions when necessary. I am not the best with my entries and stop placement. I have been using the Pivot range and 3 day rolling pivots for stop placement and I am having some trouble with this method. Many times a stock will shake out through a pivot range low high or even go inside of it to a certain extent. Many times I get shaken out of great trades because of this.
Here's an example of a trade in JWN today. Tested the pivot(just below the A-level) early in the day and then it comes for a second test. Put the stop above the pivot with some cushion. Tested it and went through, wasn't stopped out yet Comes up for one more test and goes through that high!
Any ideas here? I was thinking of using a volatility based stop. One idea was to use time as the tool for this. If I will give this setup 20 mintues to work then to use 1/18 of the ATR(20 min time periods per day) and then putt that behind the pivot this type of trade..
For an A-up/down. Use 1/9 of the ATR which is based on 40 minute time periods(twice the opening range).
What do you guys think?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Shan b, I will throw in my 2 cents, where to begin. Ok lets say you have to train someone who is completely new to trading. This is great he says, an atm that pays me everyday. No you tell him, you are gonna get stopped out alot and be wrong all the friggin time. What? you mean the mkt is not an atm machine, shit then how should I proceed? With caution you say.
Now let's get to trading for real. You and I and even Mav have limited time, capital and even more limited trading opportunities. As a day trader you want to trade what is moving. Looking at this particular stock, I would say not much going on. Basically the stock chopped between the pivot and s1 (support using the floor trader pivots, see my pivots.com if you don't know what I am talking about). So how much realistically could you have taken out of the stock. Like Mav says you need to trade the best products, those that are trending or moving. For example you could scan the stocks that gapped up or down the most, as these are the stocks most likely to move one way or another. In the larger sense there are really only two trades a breakout and a reversion trade. breakout is when the stock wants to keep going higher or lower, the trademark here is it keeps exceeding the daily high/low, conversely reversion to the mean is characterized by chop moving back and forth in a range, the algos, robots. This is why you will get killed trading different time frames. I would fire immediately any trader who thought it was cute to experiment with different time frames, the reason being is that a breakout trade can be a reversion to the mean trade on a different time frame. To add further confusion, I could show a day on spy where all you had to do is set a .20 cent stop and collect your money at the end of the day. Other days you get chopped like mad and can't make a dime, this is part of the game and it is aggravating as hell. So pick a frame and become the master of it whether its 1 minute or monthly, hope this helps
Quote from Maverick74:
Shan, on my levels, JWN had a perfect failed A up right into the pivot. Your levels are a little lower then mine but let me offer some advice here. This is really really important. First my usual disclaimer, this is only my opinion. But A levels are NOT to be used as support or resistance levels. That's just not what they are. The fade trade is just that, it's a fade. It's not a fade because there are sellers waiting there, it's a fade because that is the point where volatility is getting over extended.
The way you want to play fade trades is by taking only the FIRST fade. Don't keep selling the market every time it goes up there. In my experience, the fade works best the first time. After that, every time price trades back to that level, it's telling me it wants to go through it. That does NOT mean it's going to confirm and go to the moon, but simply at the very least it's going to run stops.
So the highest percentage trade is that first fade because there are no stops there yet. It's also the only time where price is truly over extended. Once it comes off that level it now has a chance to find real buyers who are going to try to take it higher. I would not want to sell into that.
So to summarize, your chart looks fine. That first fade was good, but you then want to leave it alone and wait for it to confirm. The whole idea behind ACD is less is more. You should not be taking 15 trades a day in the same product. You should take maybe 2. One attempt at a fade and then going with the momentum on a confirmed breakout.
All this is just my opinion and I'm often wrong. Keep that in mind.
Quote from kinggyppo:
Shan b, I will throw in my 2 cents, where to begin. Ok lets say you have to train someone who is completely new to trading. This is great he says, an atm that pays me everyday. No you tell him, you are gonna get stopped out alot and be wrong all the friggin time. What? you mean the mkt is not an atm machine, shit then how should I proceed? With caution you say.
Now let's get to trading for real. You and I and even Mav have limited time, capital and even more limited trading opportunities. As a day trader you want to trade what is moving. Looking at this particular stock, I would say not much going on. Basically the stock chopped between the pivot and s1 (support using the floor trader pivots, see my pivots.com if you don't know what I am talking about). So how much realistically could you have taken out of the stock. Like Mav says you need to trade the best products, those that are trending or moving. For example you could scan the stocks that gapped up or down the most, as these are the stocks most likely to move one way or another. In the larger sense there are really only two trades a breakout and a reversion trade. breakout is when the stock wants to keep going higher or lower, the trademark here is it keeps exceeding the daily high/low, conversely reversion to the mean is characterized by chop moving back and forth in a range, the algos, robots. This is why you will get killed trading different time frames. I would fire immediately any trader who thought it was cute to experiment with different time frames, the reason being is that a breakout trade can be a reversion to the mean trade on a different time frame. To add further confusion, I could show a day on spy where all you had to do is set a .20 cent stop and collect your money at the end of the day. Other days you get chopped like mad and can't make a dime, this is part of the game and it is aggravating as hell. So pick a frame and become the master of it whether its 1 minute or monthly, hope this helps
here is a site that has a great free screener, stay away from the illiquid names for me anything trading less than 1 miilion shares a day. There is some great stuff in here from fundamental to tech analysis, plus its free. here is a link to the patterns.
http://finviz.com/screener.ashx?v=2..._p_doublebottom
Quote from Shanb:
Thanks John. One of my main problems is that I am taking alot more than two trades in every instrument. For example on an a fade trade I might try to position for a fade...stopped out...try again...stopped out and then on the third attempt I will catch the move. But I am using them on the following attempts and getting caught in the stop runs.
I need to really wrap my head around keeping it simple and trading less! ACD is great in that it keeps you from overtrading, need to beat this into my head lol.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Over trading has sunk more ships for daytraders then anything else. Remember less is more. Fisher talks about the concept of "next". Meaning trade A does not work out, say next, and move to trade B. Don't dwell on one stock. As a daytrader, stock selection is so important. Much more important then entry's and exists and stop levels. If you are in the right stocks, it really doesn't matter where you get in and out, you're going to make money.
Do not keep trading the same stock over and over again. What I like to do is use a stop that is wide enough so that if I get stopped out, it actually repudiates the original signal. Therefore leaving no possibility of taking another trade in the same direction. That makes things very easy.
Quote from kinggyppo:
here is a site that has a great free screener, stay away from the illiquid names for me anything trading less than 1 miilion shares a day. There is some great stuff in here from fundamental to tech analysis, plus its free. here is a link to the patterns.
http://finviz.com/screener.ashx?v=2..._p_doublebottom
Quote from Shanb:
Yea I use finviz and it is great...do you happen to know of any EOD scanners that scan for those toby crabel patterns? Like NR4, NR7...this seems like a good substitute for a narrow pivot scan(don't know if that even exists)
great summary of acd principles
http://www.clever-trading-strategie...acd_method.html
Quote from kinggyppo:
http://www.trade-ideas.com/SingleAlertType/NR7/NR7.html
Quote from acdtrader:
I used OR time as 10 mins in all commodities. Interesting to see that 60 mins is the high or low of the day 57% of the time. What commodity are you calculating these stats for?
By the way - flip, can you explain the results of your probability distribution from the link that you posted.
Thanks for sharing your results, I was trying to post an Excel file that shows all my results. Also it demonstrates that Overnight move is higher than intraday move at an average in a lot of cases. However I couldnt figure out a way to post the excel file as an attachment. Then I tried to post a link to the excel file and EtTrejected my post.
I currently use Multicharts for quick backtesting or protoyping an idea / indicator. I have used Matlab and R when I was in graduate school and at my previous firm. During the last couple of years, I have tried NinjaTrader, tradestation, open quant, quant house, streambase, Rightedge and pretty much most softwares out there. And I realized by trial and error that I needed to build something from scratch - which had backtesting, trading, optimization, record-replay of market data, strategy analyzer, scheduler etc which would work for high frequency trading as well as for Intraday scalping and TA strategies. I am 70% of the way there in terms of functionalities. This way once I write an indicator or strategy my code for backtesting it is the same as my real time trading.
Check out deltixlab - on google, it is the most sophisticated tool for an automated trader I have come across.
Quote from Shanb:
Yea I use finviz and it is great...do you happen to know of any EOD scanners that scan for those toby crabel patterns? Like NR4, NR7...this seems like a good substitute for a narrow pivot scan(don't know if that even exists)
Quote from Shanb:
Word. BTW Check your inbox...would appreciate some feedback on that plan when you get the chance :-)
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I see you took advantage of my Groupon offer of one free ACD analysis plan.
APPL showing some weakness, even with todays news of the iphone 5 being released soon. A-down at 373.2
UUP rallying too. Looks like A downs in equities might have the green-light
Quote from Shanb:
APPL showing some weakness, even with todays news of the iphone 5 being released soon. A-down at 373.2
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
AAPL had a perfect failed A down for me and the ES A down is 1108 for me. Doubt we'll confirm an A down.
Watch for AAPL to pop in the afternoon. A up is 384. I'll bet you a dime to a dollar we touch it.
Quote from Maverick74:
AAPL had a perfect failed A down for me and the ES A down is 1108 for me. Doubt we'll confirm an A down.
Watch for AAPL to pop in the afternoon. A up is 384. I'll bet you a dime to a dollar we touch it.
Quote from Shanb:
Will watch for it...got long some ACI earlier. came out with horrible guidance. Confirmed an A-UP. Was took out with a time stop.
Are you expecting some range bound action here in the market? SPY had a failed A-up at the pivot for me.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Cude oil and copper both trying to make an A up. If they confirm, this market will pop.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Cude oil and copper both trying to make an A up. If they confirm, this market will pop.
Cude oil and copper confirmed. Do not short this market.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Thanks Mav,
Man, the dollar is rallying too. Interesting situation here right?
Here is the ACI trade. Got long 14.05 on the confirmed A-up. Guidance
came in really bad and was down close to 10%. Market weakness around 9:00 ended up killing this long. Stopped out after bad PA after ~20 minutes(13.88).
Quote from Quon:
Thanks Mav,
Man, the dollar is rallying too. Interesting situation here right?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Shanb:
Here is the ACI trade. Got long 14.05 on the confirmed A-up. Guidance
came in really bad and was down close to 10%. Market weakness around 9:00 ended up killing this long. Stopped out after bad PA after ~20 minutes(13.88).
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Cude oil and copper confirmed. Do not short this market.
remember we are chopping around at the low end of the daily range on es/spy; this makes all these long trades dangerous. One bad headline and we could be at 1080, the vix is over 40. The key is to keep stops tight and lose small if you are wrong.
Quote from Maverick74:
Shan, this stock is trading at a 52 week low. Probably not the best stock to get long on an A up.
Quote from kinggyppo:
remember we are chopping around at the low end of the daily range on es/spy; this makes all these long trades dangerous. One bad headline and we could be at 1080, the vix is over 40. The key is to keep stops tight and lose small if you are wrong.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
Which time frame ? daily, weekly ? also for DXY failed A up?
Thx
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
aapl broken tl,goog ,spx same
Also looking at Toyota...let me know what you guys think. A-down is at 67.95. Auto sales were relatively ood...seeing some weakness.
GM is getting towards the C-down as well
Quote from Maverick74:
Only speaking about the intra-day levels today. DX failed at the A up. Had a few wicks above it but failed. My level is 79.77.
Quote from Shanb:
Also looking at Toyota...let me know what you guys think. A-down is at 67.95. Auto sales were relatively ood...seeing some weakness.
GM is getting towards the C-down as well
Quote from mfbreakout:
I am a ONE TRICK PONY TRADER. CL A up.
http://www.screencast.com/t/lsYSubXik0Ov
Quote from mfbreakout:
A-down was confirmed but not trusting this move...no urgency.
ES trading below my weekly A down but has not confirmed yet. Crude failed at my weekly A up. Bonds confirmed a weekly A up. US Dollar failed at the weekly A up. Copper also failed at the weekly A up. The Dow and Nasdaq failed at the weekly A down but the Russell 2k confirmed a weekly A down. Very messy picture.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
If you don't mind, how do you come up with your stops?
I use a factor of 10 day atr such as 0.5 or 0.4 or 0.6 X ATR
Quote from acdtrader:
If you don't mind, how do you come up with your stops?
I use a factor of 10 day atr such as 0.5 or 0.4 or 0.6 X ATR
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Maverick - thanks for this stuff - very thoughtful and very much appreciate your feedback. It makes sense, I have added this study called as "follow through" to my list of studies that i develop for ACD version 2.0. Once I have it ready, I will share the results on the blog.
This is what I have experienced first hand
"The problem I have with simply testing the robustness of the OR high or low is that one can get killed getting stopped out of trades well inside the OR especially in high volatility markets. " and I cannot agree enough); Most of my drawdown periods seems to resemble breakouts not really breaking out
By this "confirmed A trades at the very minimum hit the ATR a majority of the time. This gives you something to work with as you are no longer testing whether or not you will be stopped out but whether or not the trade actually has "follow through" to the ATR"
Do you mean - lets say buy CL for $100 (because a confirmed AUp happened at or around that level) -> next I measure how many times did CL got to $101 (lets assume ATR = $1) before it hit the Stop (lets say we can set the stop at 0.5 X ATR)
I have a number line indicator that I have created - can you share some ways of using it
****
I think a better study would be to look at the number of times a confirmed A up or confirmed A down closes at or near the highs or lows of the day respectively in order to calculate expectancy. The problem I have with simply testing the robustness of the OR high or low is that one can get killed getting stopped out of trades well inside the OR especially in high volatility markets.
I think what you want to test is "follow through". A while back a buddy of mine tested this on trade station and it was indeed proven that confirmed A trades at the very minimum hit the ATR a majority of the time. This gives you something to work with as you are no longer testing whether or not you will be stopped out but whether or not the trade actually has "follow through" to the ATR.
The other benefit this study has it that it negates the importance of OR time frames since what we are testing is follow through to the ATR, we no longer need to worry whether one uses a 5 min or a 30 min OR as the ATR level should be constant. This keeps things much more clean.
I realize you are trading more on a weekly basis and your you can use timed stops effectively since when trades dont go in your favor, you get out most probably.
On a relative basis, only 30% or less of trades are profitable, because I get out early if trades dont go in my favor right away.
Have you experienced similar stats in your win rate trading?
Also "On confirmed trades, i stop out if price CLOSES back inside the A levels."
Are you taking daily A Levels for Weekly trades or Weekly A Levels for Weekly trades?
When you say closes - are you talking about close of session, apologies for the questions - but I m just trying to understand
Quote from Maverick74:
All my stops are ACD based not fixed. So on failed trades it's pretty straightforward. I use either the A level or the wick outside the A level. On confirmed trades, i stop out if price CLOSES back inside the A levels. a lot of people won't like this because your stop can vary but to me if you get long on an A up and price closes back below the A up, that is a very ominous sign "usually".
Another stop I use is the confirmation stop. In other words, say I get short on a confirmed monthly A down then the following week we get a confirmed weekly A up, then I stop out at that confirmed level because the market is confirming strength. On a weekly, you could stop out on a daily, etc. This goes along with the time stop concept. If price confirms, I want it to run, not pullback inside the A levels. I realize you will prematurely stop yourself out of good trades that way, but the best trades then screw around, they just take off. Those are the ones you want.
Quote from Maverick74:
All my stops are ACD based not fixed. So on failed trades it's pretty straightforward. I use either the A level or the wick outside the A level. On confirmed trades, i stop out if price CLOSES back inside the A levels. a lot of people won't like this because your stop can vary but to me if you get long on an A up and price closes back below the A up, that is a very ominous sign "usually".
Another stop I use is the confirmation stop. In other words, say I get short on a confirmed monthly A down then the following week we get a confirmed weekly A up, then I stop out at that confirmed level because the market is confirming strength. On a weekly, you could stop out on a daily, etc. This goes along with the time stop concept. If price confirms, I want it to run, not pullback inside the A levels. I realize you will prematurely stop yourself out of good trades that way, but the best trades then screw around, they just take off. Those are the ones you want.
One thing I've noticed with A-ups/downs. When there is an initial bounce off of an a-level and it temporarily holds...this would be a fade trade. If the fade trade fails and the market pushes back through the A-level this is usually a good place to enter the trade. In other words, a time confirmation is not always necessary... sometimes a failure of the fade can be a good entry.
Quote from acdtrader:
I realize you are trading more on a weekly basis and your you can use timed stops effectively since when trades dont go in your favor, you get out most probably.
On a relative basis, only 30% or less of trades are profitable, because I get out early if trades dont go in my favor right away.
Have you experienced similar stats in your win rate trading?
Also "On confirmed trades, i stop out if price CLOSES back inside the A levels."
Are you taking daily A Levels for Weekly trades or Weekly A Levels for Weekly trades?
When you say closes - are you talking about close of session, apologies for the questions - but I m just trying to understand
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Shanb:
Nice, thanks for sharing. I assume for a daytrade a 5-minute close below/above the A level would get you out. From what I've seen so far this does seem to weed out the bad trades.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Shanb:
One thing I've noticed with A-ups/downs. When there is an initial bounce off of an a-level and it temporarily holds...this would be a fade trade. If the fade trade fails and the market pushes back through the A-level this is usually a good place to enter the trade. In other words, a time confirmation is not always necessary... sometimes a failure of the fade can be a good entry.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I'm going to share something I'm looking at and forward testing. It deals with the number line. To me, the number line is one of the most fascinating things to come out of Fisher's book as it is essentially a daily checklist for the health of the market and measures something most people can't see with the naked eye.
One of the issues I always had with the 20 day number line is what I call the beginning of the universe theory. That is, when did the universe really begin. Except translated to the number line, I want to know, when did the number line begin. Yes, I know it goes back 20 days ago, but when you start impacts the line count since the number is calculated on a "rolling" basis. If one person started their 20 day number line 30 days ago and I started mine 20 days ago, we are going to end up with different numbers because at data point number 10 you are bringing a number line value into that day where as I'm starting at zero. Hell you might have a plus 9 number line at that point and I'm starting at zero!!!!
So to me, it only seems "logical" to match number lines with the cycle you are trading in. So I wanted to devise a plan that has weekly, monthly and QTR number lines. The weekly is kind of tricky due to lack of data points. But the monthly and QTR make sense. The idea is you "re-set" the number lines back to zero at the start of a new cycle just as you do with a new opening range or pivot range. This allows one to match up a number line value with "specific A values".
I'm putting this idea out here onto ET since it's a work in process and perhaps the minds of other traders might shorten my workload. I'm cunning like that.
So today for example, we have a new week, month and QTR and I'm starting all values at zero. The QTR number line will behave just like the old Fisher number line which is a rolling 20 day value that resets at the beginning of each QTR. The monthly will reset every 20 days. The weekly will be slightly different. Still working on the "different" part.
These are the thoughts from inside my brain. We'll see what ACD ET community comes up with.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I'm going to share something I'm looking at and forward testing. It deals with the number line. To me, the number line is one of the most fascinating things to come out of Fisher's book as it is essentially a daily checklist for the health of the market and measures something most people can't see with the naked eye.
One of the issues I always had with the 20 day number line is what I call the beginning of the universe theory. That is, when did the universe really begin. Except translated to the number line, I want to know, when did the number line begin. Yes, I know it goes back 20 days ago, but when you start impacts the line count since the number is calculated on a "rolling" basis. If one person started their 20 day number line 30 days ago and I started mine 20 days ago, we are going to end up with different numbers because at data point number 10 you are bringing a number line value into that day where as I'm starting at zero. Hell you might have a plus 9 number line at that point and I'm starting at zero!!!!
So to me, it only seems "logical" to match number lines with the cycle you are trading in. So I wanted to devise a plan that has weekly, monthly and QTR number lines. The weekly is kind of tricky due to lack of data points. But the monthly and QTR make sense. The idea is you "re-set" the number lines back to zero at the start of a new cycle just as you do with a new opening range or pivot range. This allows one to match up a number line value with "specific A values".
I'm putting this idea out here onto ET since it's a work in process and perhaps the minds of other traders might shorten my workload. I'm cunning like that.
So today for example, we have a new week, month and QTR and I'm starting all values at zero. The QTR number line will behave just like the old Fisher number line which is a rolling 20 day value that resets at the beginning of each QTR. The monthly will reset every 20 days. The weekly will be slightly different. Still working on the "different" part.
These are the thoughts from inside my brain. We'll see what ACD ET community comes up with.
Quote from Maverick74:
I'm going to share something I'm looking at and forward testing. It deals with the number line. To me, the number line is one of the most fascinating things to come out of Fisher's book as it is essentially a daily checklist for the health of the market and measures something most people can't see with the naked eye.
One of the issues I always had with the 20 day number line is what I call the beginning of the universe theory. That is, when did the universe really begin. Except translated to the number line, I want to know, when did the number line begin. Yes, I know it goes back 20 days ago, but when you start impacts the line count since the number is calculated on a "rolling" basis. If one person started their 20 day number line 30 days ago and I started mine 20 days ago, we are going to end up with different numbers because at data point number 10 you are bringing a number line value into that day where as I'm starting at zero. Hell you might have a plus 9 number line at that point and I'm starting at zero!!!!
So to me, it only seems "logical" to match number lines with the cycle you are trading in. So I wanted to devise a plan that has weekly, monthly and QTR number lines. The weekly is kind of tricky due to lack of data points. But the monthly and QTR make sense. The idea is you "re-set" the number lines back to zero at the start of a new cycle just as you do with a new opening range or pivot range. This allows one to match up a number line value with "specific A values".
I'm putting this idea out here onto ET since it's a work in process and perhaps the minds of other traders might shorten my workload. I'm cunning like that.
So today for example, we have a new week, month and QTR and I'm starting all values at zero. The QTR number line will behave just like the old Fisher number line which is a rolling 20 day value that resets at the beginning of each QTR. The monthly will reset every 20 days. The weekly will be slightly different. Still working on the "different" part.
These are the thoughts from inside my brain. We'll see what ACD ET community comes up with.
Quote from mfbreakout:
Based on MF subscription service, they look at 30 days number line. They also give 12 days number line but I have been told they do not use it any more . What are the reasons for using 20 days vs 30 days number line.
So far for day trading number line has not been of much help. For example, 30 days number line for CL for last several days are
starting 09/19/2011 till 10/03.
8,14,16,13, 11,14,14,10,12,12.
looking at these 30 days number line for day trading would have put me out of business. Maybe , I am looking at them the wrong way.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
Based on MF subscription service, they look at 30 days number line. They also give 12 days number line but I have been told they do not use it any more . What are the reasons for using 20 days vs 30 days number line.
So far for day trading number line has not been of much help. For example, 30 days number line for CL for last several days are
starting 09/19/2011 till 10/03.
8,14,16,13, 11,14,14,10,12,12.
looking at these 30 days number line for day trading would have put me out of business. Maybe , I am looking at them the wrong way.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Actually, meant to say 30 day number line for the QTR.
You might be using the number line incorrectly. The number line doesn't tell you to get long or short, it's meant to confirm price action. It's meant to show trends that are not so obvious.
The way I use it would be let's say CL has a plus 12 number line. I would aggressively look for failed A downs to get long and good A ups above the pivot to get long. I might be hesitant to take any A downs.
Another example. Say the number line in CL is 3. And we get a good A up today, I might be inclined to not take the trade due to the choppy number line or bid only on pullbacks questioning whether or not it really has the ability to follow through.
But I would never take a stand alone trade based solely on the number line.
Quote from mfbreakout:
Thanks maverick. Never thought about using number line to make a judgement of a good A up or A down but it makes all the sense in the world.
RCG, where are ya man? EUR/JPY almost at parity! Get out of the damn basement.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
.
Quote from mfbreakout:
I dream often that Mark Fisher writes a follow up to "The logical trader" incorporating changes in the market since he wrote " The logical trader".
Quote from mfbreakout:
.
Came across this on web. Author only has this much to share. Wondering if anyone else has experience with first 2 days of the month etc.. MF talks about first 2 days of the month being important reference points for rest of the month. Hopefully i don't have to study for 7,000 hours ( as author ask) to understand this (lol).
Opening Range Break Out
Defined by first two days of the month
Be wary of the pivot
1st indicator: Opening Range green lines (determines supply and demand/bias of market, defined by the first 2 days of the month
2nd indicator: Shadow pivot blue band (information taken from prior month or time period)
shadow pivot band: (high+low+close)/3 = A (high+low)/2 = B A-B= R=Differential
A+R = Top Band A-R = Lower band
Concepts: You either want to trade through pivot or against pivot. The opening range is more important though because it simply measures supply and demand. If market breaks above opening range and holds you create a long bias until the market breaks below opening range. Add a the pivot to the scenario and create tighter stops and explosive outcomes. Narrow pivot ranges relative to prior months generally result in larger moves. Most important concept is know where you will get out. This works for all markets that are liquid AND volatile in any time frame.
Spend 7,000 hours studying this and you will understand.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from mfbreakout:
.
Came across this on web. Author only has this much to share. Wondering if anyone else has experience with first 2 days of the month etc.. MF talks about first 2 days of the month being important reference points for rest of the month. Hopefully i don't have to study for 7,000 hours ( as author ask) to understand this (lol).
Opening Range Break Out
Defined by first two days of the month
Be wary of the pivot
1st indicator: Opening Range green lines (determines supply and demand/bias of market, defined by the first 2 days of the month
2nd indicator: Shadow pivot blue band (information taken from prior month or time period)
shadow pivot band: (high+low+close)/3 = A (high+low)/2 = B A-B= R=Differential
A+R = Top Band A-R = Lower band
Concepts: You either want to trade through pivot or against pivot. The opening range is more important though because it simply measures supply and demand. If market breaks above opening range and holds you create a long bias until the market breaks below opening range. Add a the pivot to the scenario and create tighter stops and explosive outcomes. Narrow pivot ranges relative to prior months generally result in larger moves. Most important concept is know where you will get out. This works for all markets that are liquid AND volatile in any time frame.
Spend 7,000 hours studying this and you will understand.
Quote from Maverick74:
RCG, where are ya man? EUR/JPY almost at parity! Get out of the damn basement.
10000 hours rule by gladwell
http://www.time.com/time/magazine/a...58880-1,00.html
Quote from Maverick74:
I don't know man. I've studied this for 10k hours. This guy says you can do it in 7k hours. Sounds like he is looking for a shortcut. There are no shortcuts in ACD. Ten thousands hours!!!!
My monthly A down in the ES is 1053. CL 73.04
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
My monthly A down in the ES is 1053. CL 73.04
Quote from Shanb:
Perfect failed A-downs in the SPY and AAPL...to the tick.. Looking at Soda, Wynn. Both upgraded and showing some initial weakness.
MS is holding in too A-up at ~12.4. Things at 52 wk lows...downgraded today as well. Don't know if it would be a good long if it confirmed...prob not lol
lets see if wynn holds above 113.63 top of 10 min opening range
Quote from kinggyppo:
lets see if wynn holds above 113.63 top of 10 min opening range
Once again, the strong number line in CL is showing itself. Failed A down this morning and now a confirmed A up. Going for a plus 3 day here.
BTW, my weekly A down in CL is 75.13. Actual RTH low was 75.17.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from kinggyppo:
yep it held so where to enter and exit?
Quote from Shanb:
Nice...did you take that? I was looking for a good news bad action/ type play.Didn't get it. Long DB from 32.75. Downgraded. A-up held. Looks like they want to close the gap in the SPY.
Quote from Maverick74:
I don't know man. I've studied this for 10k hours. This guy says you can do it in 7k hours. Sounds like he is looking for a shortcut. There are no shortcuts in ACD. Ten thousands hours!!!!
Quote from Maverick74:
I don't know man. I've studied this for 10k hours. This guy says you can do it in 7k hours. Sounds like he is looking for a shortcut. There are no shortcuts in ACD. Ten thousands hours!!!!
Quote from taclander:
Rofl, I didn't punch a time card, but if you are to include my total trading education, 10,000 is probablt accurate. I have sent any number of pm's to people telling them this business is a at least a masters degree. I have had time off to take care of and bury my Dad, and it has affirmed that this is what I enjoy. I miss trading and have realized for me this is the business I want to pursue.
ACD for whatever reason makes sense to me, and added to my bottom line before I took a break. I have been charting monthly as well as daily, and I study a few minutes daily and still find value. I have a gap in my monthly charts as a result of my time off, but I will be back this month and fill in and report my results.
Everyone has something different that works, but this is a good logical approach for those that are willing to study. I have had other methods that worked and at least one that fit well with ACD. The key is HARDWORK AND STUDY!!!
There are no freebees in trading!
Quote from mfbreakout:
Welcome back and MAY GOD REST IN PEACE YOUR DAD. My dad passed away 3 years ago and i still have not gotten over it fully.
Quote from Maverick74:
Once again, the strong number line in CL is showing itself. Failed A down this morning and now a confirmed A up. Going for a plus 3 day here.
BTW, my weekly A down in CL is 75.13. Actual RTH low was 75.17.
Quote from mfbreakout:
For weekly A downs/ A ups, what do you use for time filter for confirmation? one day, 2 days?
Thx
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Watching apple getting towards that A-down level.
Quote from Shanb:
Watching apple getting towards that A-down level.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
It's at my weekly A down 369.15.
Quote from Shanb:
Thats a double wammy lol...failed there for now. Time is more important than price!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Wow! Can't believe I didnt take that. Was watching SODA too...its CB'ed literally no upticks in the last 20 minutes
You know, it's interesting, but this happened last Tuesday too. SPY confirmed an A up on an inside reversal and then went into free-fall on the way to a C down. Apple did that today, (though we all know how it sells off on the unveiling of a new product).
Lot's of A ups today around mid-day and now it looks like we're giving it up again, (like last Tuesday). At least we ran to the daily ATR in most cases today...
Quote from Quon:
You know, it's interesting, but this happened last Tuesday too. SPY confirmed an A up on an inside reversal and then went into free-fall on the way to a C down. Apple did that today, (though we all know how it sells off on the unveiling of a new product).
Lot's of A ups today around mid-day and now it looks like we're giving it up again, (like last Tuesday). At least we ran to the daily ATR in most cases today...
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: OR Stats
Quote from flip:
The first hour in the ES develops as follows:
OR-time...percentage (high or low)
5min: 21%
10min: 28%
15min: 33%
20min: 37%
25min: 40%
30min: 43%
35min: 48%
40min: 51%
45min: 52%
50min: 55%
55min: 56%
60min: 57%
Quote from mfbreakout:
LOL. Well so far 2,000 hours is working fine. rest of the remaining hours will be used for weekly/monthly set ups.
http://www.screencast.com/t/Ot0q8wBr2
Re: Re: Re: OR Stats
Quote from Starting Over:
Thanks for this. Excellent thread guys. Keep up the great work.
long appl 360
Quote from kinggyppo:
long appl 360
Re: Re: Re: Re: OR Stats
Quote from pwrtrdr:
Hi- Can you elaborate.
Are you saying the OR that Mark sites fro ES is not correct? I think he uses 09:30 to 09:50 ? ( 20 minutes)
Thanks
Quote from kinggyppo:
long appl 360
What I find great about basing a strategy around the opening range is that it keeps me from over trading. It also helps me define where my exit is when I'm wrong as well as when to take profits. It's actually a very simple concept and it's the simplicity that draws me to building a strategy around the opening range.
stay out of this if you are retail on aapl
Quote from kinggyppo:
stay out of this if you are retail on aapl
Quote from kinggyppo:
buystop at 356 for prop, 2 point stop
Quote from kinggyppo:
lets see if it touches 354 again today
Quote from Samsara:
Are these trades based on ACD?
Quote from mfbreakout:
if anyone traded cl from short side, i will appreciate their feed back as i suck on shorts on A up days. Longs all day long but there were plenty of shorts which i missed.
long set up on pullback.
2011-10-04_1435
Quote from mfbreakout:
another retest of or lows of 76.30 got defended and BOOM.
http://www.screencast.com/t/XwaIQLf02AV
Quote from kinggyppo:
lets see if it touches 354 again today
Quote from kinggyppo:
I think its safe to say appl won't touch 354 today...
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Monthly A down in AAPL is 360.50. Perfect wick off that level on the daily.
Just for the record. Intra-day A down in ES 1066. Actual low 1068. That's 47 handles off the failed A down. No, I didn't take it. I don't like to take failed A downs after a confirmed weekly A down which was 1095. This is where having too many time frames can sometimes hurt you or keep you out of a trade. Take the good with the bad.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I don't like to take failed A downs after a confirmed weekly A down which was 1095. This is where having too many time frames can sometimes hurt you or keep you out of a trade. Take the good with the bad.
Quote from Maverick74:
Just for the record. Intra-day A down in ES 1066. Actual low 1068. That's 47 handles off the failed A down. No, I didn't take it. I don't like to take failed A downs after a confirmed weekly A down which was 1095. This is where having too many time frames can sometimes hurt you or keep you out of a trade. Take the good with the bad.
swing trades
swing trades set ups per chart patterns. lets see if they match with ACD.
Quote from Maverick74:
RCG, where are ya man? EUR/JPY almost at parity! Get out of the damn basement.
Re: Re: Re: Re: Re: OR Stats
Quote from Starting Over:
Not necessarily. You could use whatever opening range you feel comfortable using according to your strategy. ACD is just a methodology and you adjust it to your own strategy. I trade in the mornings only from 9:30-12:00pm ET and I'm in the process of building a trading strategy based on those hours using principles of the opening range. I still don't quite understand what the Aup or Adown means yet. I use the opening range as a guideline along with price action to gauge which direction the market is likely to go.
Here's a trade I took today in YUM.
Yum beat on the top and bottom line, guided in line. But was catching no bids on market upticks throughout the morning.
Made an A-down through the pivot. I was short and ended up getting out with a scratch. In this case the 10 day ATR is 2.1. It reached that and more. I decided to keep the trade on as I wasn't aware of the ATR at that moment and it looked like it could move lower. In hindsight should've lightened up after it failed to run past the ATR...just frustrating to let good trades turn into scratches!
I've been trading CAD futures short as a proxy for the ES as it's much weaker. It looks like we're making a failed A-up right now on the ES, so I re-entered the short I had for a week and a half. My main system has had a short bias for weeks and didn't change yesterday, so I'm using this strength to jump back in. Hopefully we go back down to the OR.
Volume profile shows a spike in ES right at my A level, usually indicating a bit of resistance.
I was looking at some day charts. If the market makes an A up, then turns and makes a C down, and then retreats to point D, are you done for the day?
Quote from RCG Trader:
I was looking at some day charts. If the market makes an A up, then turns and makes a C down, and then retreats to point D, are you done for the day?
Quote from Samsara:
That's his book method, yeah. Once you hit a B and a D in the same day, time for the movies.
Quote from RCG Trader:
Okay thanks I was wondering about that. Based on how I generate triggers I have a few charts where that happens and no triggers were generated. The market will slice right thru an A reverse straight to a C and the come back to a D. I interpreted that as an indication of a range bound market and time to look at system failure trades.
Quote from Samsara:
I've been trading CAD futures short as a proxy for the ES as it's much weaker. It looks like we're making a failed A-up right now on the ES, so I re-entered the short I had for a week and a half. My main system has had a short bias for weeks and didn't change yesterday, so I'm using this strength to jump back in. Hopefully we go back down to the OR.
Volume profile shows a spike in ES right at my A level, usually indicating a bit of resistance.
acd
A up - and longs all day long on pull backs etc..
http://www.screencast.com/t/ATrqhySJ2Lrn
I'm going to post my number lines through the first 3 days of the new QTR.
ES +2
ZB 0
GC +2
HG +5
CL +7
NG +1
SB 0
ZC +3
ZS +3
ZW +3
DX +1
CC +4
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
thanks Mav, was going over the Fisher videos will put up some notes. I think people should not get lost in the details here. I think people still attach grail importance to the levels. The idea to me reinforced by watching the videos is lose small. The one trade I would not make today is short aapl. Its possible this rallys to the moon today.
So long crude looks good based on your number line right Mav.
Quote from kinggyppo:
thanks Mav, was going over the Fisher videos will put up some notes. I think people should not get lost in the details here. I think people still attach grail importance to the levels. The idea to me reinforced by watching the videos is lose small. The one trade I would not make today is short aapl. Its possible this rallys to the moon today.
So long crude looks good based on your number line right Mav.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
If you like it, I like it too.
Quote from 000000003:
I like the ACDC method of finding momentum b/w long periods of consolidation. Used properly it's a big help.
Quote from kinggyppo:
thanks Mav, was going over the Fisher videos will put up some notes. I think people should not get lost in the details here. I think people still attach grail importance to the levels. The idea to me reinforced by watching the videos is lose small. The one trade I would not make today is short aapl. Its possible this rallys to the moon today.
So long crude looks good based on your number line right Mav.
Quote from Shanb:
Some of my friends asked me about AAPL and if it would get sold this morning. Right away I imagined all the retail bus people's mindset. That would be the expected response, but AAPL has held a nice bid and had a nice A-up yesterday, despite disappointing with their Iphone release. Already made the A-up and his holding above it now
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
The fat trade in AAPL was the bounce off the monthly A down at 360. In two days 22 pts and counting.
Quote from Shanb:
Ya definitely was, I'm assuming you caught some of that!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
CL futures
Day trading Vs Day dreaming.
http://www.screencast.com/t/uIdwe99R7
Quote from Maverick74:
I don't like to swing trade stocks. I have too much stuff on my plate. There currently are 84 stocks above their monthly A ups on my scan. No way I could follow all that.
Nice follow through on CL. I think the best risk to reward trade in CL was on Tuesday at the failed weekly A down which also was the intra-day A down at the 75.00 level. That's a 7 dollar bounce in 2 days. Pretty impressive. Getting close to that monthly A up now.
BTW, my weekly A up in the ES is 1153. High today 1154.75.
Quote from Shanb:
Ya doesn't look like it wants to hold there for now. CL looks to me like it has shown a change in character. Was formerly lagging ES and has shown relative strength on this move up. Where's the monthly A-up?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Bonds?
What do you all think of the bond trade? It surely ended right about the time the FOMC announced Opp Twist officially a few weeks ago. I've been tracking the TLT and TBT, and man, that thing looks pretty smooth.
Just look at today's action in the TBT, real nice opportunities setting up to go long every time it dips.
Also, the reason why I could really get behind this trade would be that I think the bus people would say, "Are you nuts? The government is buying bonds, that'll put a floor under 'em! Don't short bonds!"
Thoughts? Appreciate the feedback all.
Quote from Quon:
Bonds?
What do you all think of the bond trade? It surely ended right about the time the FOMC announced Opp Twist officially a few weeks ago. I've been tracking the TLT and TBT, and man, that thing looks pretty smooth.
Just look at today's action in the TBT, real nice opportunities setting up to go long every time it dips.
Also, the reason why I could really get behind this trade would be that I think the bus people would say, "Are you nuts? The government is buying bonds, that'll put a floor under 'em! Don't short bonds!"
Thoughts? Appreciate the feedback all.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Well, we had 3 monthly A ups in a row in bonds so they are definitely over extended. However, please keep in mind that selling bonds and buying crude and buying spoos and copper are all the same trade. The question is, if you want to get long risk, which asset is the best bet. Right now, CL is stronger then ZB is weak.
CL is right at the monthly A up, bonds still have to drop 2 full handles to get there. CL's number line is plus 9, bonds are minus 2.
Let's take a look at the internal strength in the market. So I have a database of all stocks over $50 a share that trade at least 300k shares a day. From that list of stocks, we now have 137 monthly A ups compared to only 3 monthly A downs. That is showing a lot of strength. I point this out as a word of caution to anyone looking to sell these rallies.
Having said that, tomorrow is a huge day with the jobs number and with the ES being right at the monthly A up which is 1165. If one wanted to get short any failure tomorrow at this level on a spike would be the time to do it. Number line on the ES is only plus 4. But if we confirm tomorrow, watch out. We are going to get the mother of all rallies. My QTR A up for ES is 1175, so we could easily spike into that level and fail. But if we take these levels out next week, things are going to get interesting.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Let's take a look at the internal strength in the market. So I have a database of all stocks over $50 a share that trade at least 300k shares a day. From that list of stocks, we now have 137 monthly A ups compared to only 3 monthly A downs. That is showing a lot of strength. I point this out as a word of caution to anyone looking to sell these rallies.
Having said that, tomorrow is a huge day with the jobs number and with the ES being right at the monthly A up which is 1165. If one wanted to get short any failure tomorrow at this level on a spike would be the time to do it. Number line on the ES is only plus 4. But if we confirm tomorrow, watch out. We are going to get the mother of all rallies. My QTR A up for ES is 1175, so we could easily spike into that level and fail. But if we take these levels out next week, things are going to get interesting.
Quote from Maverick74:
82.85
Number line is going to hit plus 9 today.
BTW, one of the things I have noticed in the past is that the plus 9 or minus 9 number line has many times acted as a barrier to momentum which makes sense if it breaks that number it leads to a breakout. So it's nice to see CL at a plus 9 at the same time it's right at the monthly A up. That means if it confirms an A up, the number line will confirm at the same time. See how all this stuff works together?
CL futures
Someone from the forum asked me if ACD can be auto back tested. I am sure other in the forum like maverick can answer that. Here is what I have done ;
I have not auto back tested as i am not technically trained to do that. However, i have traded CL every single day of last year . I started from January of 2011 and physically replayed every single day and traded full length of every day.
Think orSwim has a feature named ON DEMAND. One can basically pick up any trading day from past 3 years and replay it exactly the same way as it happened that particular day. For example, on this weekend, I randomly picked up 07/19 /2011 as a day to trade. I traded the entire day and traded my set ups per ACD. I have relevant information for that day, number line, pivot ranges, news at different time of the day etc.. just like LIVE trading. I routinely repeat this exercise whenever i have time. This is on Top of LIVE trading every day.
Obviously this is very time intensive way to do it but I own ACD trading for CL now. I do not trade any other instrument as i do not have that much confidence. But with CL, i am pretty confident.
I hope to find a way to auto test it for other instruments as I agree with Mark Fisher that ACD can be used for any instrument with sufficient liquidity and volatility.
Plus as Maverick has pointed out numerous times trading same instrument day in and day out limits ones trading potential. If Copper has number line of 2 and CL has a number line of 9 with narrow pivot etc.. a trader should focus on CL rather than copper.
So, I am actively looking to figure out a way to auto back test various instruments for ACD. Main issue is having a data to test it. One will need number lines, pivot ranges, macro news events etc.. to plug in to get a real sense. Otherwise garbage in, garbage out.
Re: CL futures
Quote from mfbreakout:
Someone from the forum asked me if ACD can be auto back tested. I am sure other in the forum like maverick can answer that. Here is what I have done ;
I have not auto back tested as i am not technically trained to do that. However, i have traded CL every single day of last year . I started from January of 2011 and physically replayed every single day and traded full length of every day.
Think orSwim has a feature named ON DEMAND. One can basically pick up any trading day from past 3 years and replay it exactly the same way as it happened that particular day. For example, on this weekend, I randomly picked up 07/19 /2011 as a day to trade. I traded the entire day and traded my set ups per ACD. I have relevant information for that day, number line, pivot ranges, news at different time of the day etc.. just like LIVE trading. I routinely repeat this exercise whenever i have time. This is on Top of LIVE trading every day.
Obviously this is very time intensive way to do it but I own ACD trading for CL now. I do not trade any other instrument as i do not have that much confidence. But with CL, i am pretty confident.
I hope to find a way to auto test it for other instruments as I agree with Mark Fisher that ACD can be used for any instrument with sufficient liquidity and volatility.
Plus as Maverick has pointed out numerous times trading same instrument day in and day out limits ones trading potential. If Copper has number line of 2 and CL has a number line of 9 with narrow pivot etc.. a trader should focus on CL rather than copper.
So, I am actively looking to figure out a way to auto back test various instruments for ACD. Main issue is having a data to test it. One will need number lines, pivot ranges, macro news events etc.. to plug in to get a real sense. Otherwise garbage in, garbage out.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: CL futures
Quote from Maverick74:
The problem with back testing is that at least the way I use ACD is it's all about relative price action. I may or may not take a trade on bonds depending on what copper and ES are doing. That's very hard to back test. Not to mention taking into breakoutaccount what news came out that day.
Re: Re: Re: CL futures
Quote from pwrtrdr:
If it works well, it should not be that complicated (A up A down trading) it shou be automated with some filter parameters to get to understand what is making it work.
mfbreakout mentioned A' up down and how great it is. Well look at the period he chose to "test" the ATR ( average true range) for daily charts is relative high.
Take the same method back in 2007, -2009 maybe not work well at all. Or it would have worked great in 2008 volatility then totally give it back in 2009. Need to pick a filter that is allowing it tow work.
I bet it could be automated.
Question for mfbreakout- has it woked in NG for 2011 ( opposite volatility of CL) ATR shrinking to recent historical low levels.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: CL futures
Quote from Maverick74:
I disagree. Trading just doesn't work that way or we would all be billionaires. There is a lot of nuance to ACD. It's not black and white. In order to read price action you need to know what the news is, what other risk assets are doing and what the current sentiment is in the market. All those things are very hard to quantify.
Re: Re: Re: Re: Re: CL futures
Quote from pwrtrdr:
So with that said I guess it can’t be used in that way. Let’s just hope someone anonymously posts these stellar P/L’s somewhere so we can believe
Otherwise……
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: CL futures
Quote from pwrtrdr:
If it works well, it should not be that complicated (A up A down trading) it shou be automated with some filter parameters to get to understand what is making it work.
mfbreakout mentioned A' up down and how great it is. Well look at the period he chose to "test" the ATR ( average true range) for daily charts is relative high.
Take the same method back in 2007, -2009 maybe not work well at all. Or it would have worked great in 2008 volatility then totally give it back in 2009. Need to pick a filter that is allowing it tow work.
I bet it could be automated.
Question for mfbreakout- has it woked in NG for 2011 ( opposite volatility of CL) ATR shrinking to recent historical low levels.
Re: Re: Re: Re: CL futures
Quote from Shanb:
You should try it and let us know...I've had the idea as well, but am focusing on news plays as of late.
Here are some parameters that I have noticed may affect the robustness of a signal:
-Volatility, look for Narrow range days (NR4, NR7 etc.)
-location of pivots(above below A-up/down)
-Size of opening range relative to ATR
Let me just say that Mark Fisher is the real fu&*in deal, this is so rare in trading I can't describe it in words.He is an excellent teacher and communicator. I honestly wouldn't have spent 5 minutes on ACD except that when I saw him speak I knew this was a real guru in terms of the mindset necessary in trading, if there ever was one. There are some competent and even a few great traders that frequent et. That said most are unapproachable mainly due to the anonymous nature of the board. For example, I pm'd a trader named wave back when the credit crisis was unfolding, I asked him where he thought the mkt (spuz)were headed he said 750, that was when the mkt was around 1150. Just one of many examples. Alot of guys have left due to the constant trolling that goes on here. Everyone's time is valuable and these type of guys especially. I know Mav has a very thick skin due to his being here so long. The thread below has saved me a ton and I mean a ton of money, good trading.
http://www.elitetrader.com/vb/showt...&threadid=53037
Re: Re: Re: CL futures
Quote from pwrtrdr:
If it works well, it should not be that complicated (A up A down trading) it shou be automated with some filter parameters to get to understand what is making it work.
mfbreakout mentioned A' up down and how great it is. Well look at the period he chose to "test" the ATR ( average true range) for daily charts is relative high.
Take the same method back in 2007, -2009 maybe not work well at all. Or it would have worked great in 2008 volatility then totally give it back in 2009. Need to pick a filter that is allowing it tow work.
I bet it could be automated.
Question for mfbreakout- has it woked in NG for 2011 ( opposite volatility of CL) ATR shrinking to recent historical low levels.
Re: Re: Re: Re: Re: CL futures
Quote from pwrtrdr:
So with that said I guess it can’t be used in that way. Let’s just hope someone anonymously posts these stellar P/L’s somewhere so we can believe
Otherwise……
CL futures
I have only traded CL , so can not speak about NG. Hopefully soon, i will have skill set to trade other instruments .
Quote from kinggyppo:
Let me just say that Mark Fisher is the real fu&*in deal, this is so rare in trading I can't describe it in words.He is an excellent teacher and communicator. I honestly wouldn't have spent 5 minutes on ACD except that when I saw him speak I knew this was a real guru in terms of the mindset necessary in trading, if there ever was one. There are some competent and even a few great traders that frequent et. That said most are unapproachable mainly due to the anonymous nature of the board. For example, I pm'd a trader named wave back when the credit crisis was unfolding, I asked him where he thought the mkt (spuz)were headed he said 750, that was when the mkt was around 1150. Just one of many examples. Alot of guys have left due to the constant trolling that goes on here. Everyone's time is valuable and these type of guys especially. I know Mav has a very thick skin due to his being here so long. The thread below has saved me a ton and I mean a ton of money, good trading.
http://www.elitetrader.com/vb/showt...&threadid=53037
Quote from pwrtrdr:
I agree with all the points that people post here. Especially Maverick. I get it. I just want to talk about metrics. That is what matters.
Just want to point to over zelous people, that if your trading CL for example and the volatility is very high he may be making money regardless, what to really ask is what are the metrics. If you trade and make .50 cents in a 5.00 market move, what risk did you take to make that money ? That is what I wnt to point to.
Also, if you follow 1 -2 commodities and the volatility get low, very likley that he.she wont make money anytime soon. And unless you have a lot $ AUM, your going to have to live on cash. With this method per Mav. you have to be in front of the markets to execute, cant program them. If you stray from the 1-2 commodities you got used to and have to learn some mean reverting pos like ES, you may be in for a lot of pain "whil you learn nuances"
Thanks
Quote from pwrtrdr:
I agree with all the points that people post here. Especially Maverick. I get it. I just want to talk about metrics. That is what matters.
Just want to point to over zelous people, that if your trading CL for example and the volatility is very high he may be making money regardless, what to really ask is what are the metrics. If you trade and make .50 cents in a 5.00 market move, what risk did you take to make that money ? That is what I wnt to point to.
Also, if you follow 1 -2 commodities and the volatility get low, very likley that he.she wont make money anytime soon. And unless you have a lot $ AUM, your going to have to live on cash. With this method per Mav. you have to be in front of the markets to execute, cant program them. If you stray from the 1-2 commodities you got used to and have to learn some mean reverting pos like ES, you may be in for a lot of pain "whil you learn nuances"
Thanks
Quote from kinggyppo:
when you say metrics I assume you mean how profitable a system is? if you could be more specific, it sounds like you are saying that traders are profitable due to vol. I can tell you that I have been trading 60 minute charts with scalps on the lower time frames. If you eyeball spy on a 60 minute frame you will see what I mean. Let me ask you whether you think someone should trade a system vs discretionary, there are pros and cons to both, I think a grey box can be profitable, there are times when you can override the system. It also has to do with the type of trading, product selection, etc.
Market keeps testing lower end of pivot range after making an a-down.
It failed right at Mav's monthly/qtr level as well
Quote from Shanb:
Market keeps testing lower end of pivot range after making an a-down.
It failed right at Mav's monthly/qtr level as well
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from pwrtrdr:
Hi,
Which you choose is what is best for trader.
I am gettign at, discretion often overlooks what the risk reward actually is on each trade.
I was not aware of any scalping opportunities in SPY because I assume people with faster connections and or floor locations will out do me!
Quote from Maverick74:
Yup, that played out almost to the tick. Bonds also bounced off their monthly to the tick.
BTW, copper also failed at the monthly A up as did coca. The US dollar failed right at the monthly A down. Everything seems to be moving together lockstep.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
What?
Did the market really just hand deliver another opportunity to short?
Wow, too much...
Re: What?
Quote from Quon:
Did the market really just hand deliver another opportunity to short?
Wow, too much...
Re: Re: What?
Quote from pwrtrdr:
Last several post people were talking about "bouncing" off A's
leaves me guessing
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: What?
Quote from Maverick74:
That was 25 handles higher in the ES. What were you guessing about?
Re: Re: Re: Re: What?
Quote from pwrtrdr:
Why take that one or not over any other one.
How many filters.
Which time frame over anotehr
etc
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Re: What?
Quote from Maverick74:
It's the same time frame.
Let me see if this helps. All A levels are valid no matter what the time frame.
Re: Re: Re: Re: Re: Re: What?
Quote from pwrtrdr:
Let me see if this helps.
I agree what with you say. I have been unable to determine which A 's to take or not take. Hence I look for any means to figure it out!
Agree nearly impossible to model this method.
Maybe its simply spending 10k hours watching and understanding relationships in the markets that make A' more or a better risk reward than others. While hoping once you find them they stay intact
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: Re: Re: Re: Re: What?
Quote from Maverick74:
If you have a specific example, I'll try to help.
Let me give an example. Say ES makes a monthly A up at 1150 on Thursday. you carry the trade into next week and we rally into the weekly A up at 1175 and fail there. That 1175 is where you want to get out.
Let's try another one. Say the ES rallies into the monthly A up at 1170 and the weekly A up is 1167 and the QTR A up is 1175. Lot of traffic here right? If you wanted to fade this move, I would be looking to sell anywhere between 1167 and 1175 provided we don't go through 1175. If we trade through it and confirm, you get out and move to the next trade. Don't try to re-sell it or scalp it or sell it at lower prices. Just move on. If we confirm above the monthly, then get long!
But yes, the 10k hours does help too.
Awesome thread. Unusual on this site. I haven't been able to figure out exactly how to calculate weekly and monthly A values. My best guess is:
Monthly: Place levels around the first day of the month based on whatever % of daily ATR one chooses to use
Weekly: Place levels around first hour or two of the week? Just using the hourly ATR seems to work decently well based on eyeballing some charts.
I'm not lazy, got the book coming the mail. Just got a little down time this weekend browsing some charts
Market is certainly honoring its targets for several months.
Quote from baggerlord:
Awesome thread. Unusual on this site. I haven't been able to figure out exactly how to calculate weekly and monthly A values. My best guess is:
Monthly: Place levels around the first day of the month based on whatever % of daily ATR one chooses to use
Weekly: Place levels around first hour or two of the week? Just using the hourly ATR seems to work decently well based on eyeballing some charts.
I'm not lazy, got the book coming the mail. Just got a little down time this weekend browsing some charts
Quote from baggerlord:
Awesome thread. Unusual on this site. I haven't been able to figure out exactly how to calculate weekly and monthly A values. My best guess is:
Monthly: Place levels around the first day of the month based on whatever % of daily ATR one chooses to use
Weekly: Place levels around first hour or two of the week? Just using the hourly ATR seems to work decently well based on eyeballing some charts.
I'm not lazy, got the book coming the mail. Just got a little down time this weekend browsing some charts
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Welcome to the thread. Please read what I said earlier about using static opening range and A levels. You really want to base those levels off of whether or not you trade breakouts, riding the trend or fading moves. Because they are all very different.
Also, another thing that has not really been discussed on here because a lot of people are focusing so much on A levels, are stop levels.
The irony is that the entry level is probably the most insignificant part of the system and everyone seems to be focusing on that. It's the exits that make you money!
So your opening range levels and your A levels play a big part of where your stops are. Another reason why you need to spend some time thinking about how you want to set those levels. For this reason many people use the pivot ranges over opening ranges and A levels. The pivots give you a tighter stop.
I have heard very few people on this thread talk about stop levels. The stops are the most important part of the system! Any system really.
Quote from Shanb:
Same thing with targets. Knowing when to let a trade run or take profits at a level. Or if the R:R is even good enough to trade. I've been logging my trades and already see that OR as a % of ATR is very important. ATR is also usually a natural snapback point like the A-levels.
Think I'm gonna work on putting together an end of day only trading plan based on ACD. Will post my ideas once they are worth posting. Thats the only timeframe I can trade right now and I haven't found an edge with my daytrading strategies on an EOD timeframe but incorporating ACD it looks pretty promising.
Quote from baggerlord:
Think I'm gonna work on putting together an end of day only trading plan based on ACD. Will post my ideas once they are worth posting. Thats the only timeframe I can trade right now and I haven't found an edge with my daytrading strategies on an EOD timeframe but incorporating ACD it looks pretty promising.
CL futures
Time to reflect on last 2 weeks of trading and celebrate Mark Fisher genius.
http://www.screencast.com/t/DfQbCfjsxaob
Re: CL futures
Quote from mfbreakout:
Time to reflect on last 2 weeks of trading and celebrate Mark Fisher genius.
http://www.screencast.com/t/DfQbCfjsxaob
Quote from baggerlord:
Think I'm gonna work on putting together an end of day only trading plan based on ACD. Will post my ideas once they are worth posting. Thats the only timeframe I can trade right now and I haven't found an edge with my daytrading strategies on an EOD timeframe but incorporating ACD it looks pretty promising.
got a breakout trade here in Bidu, long from 124 area will hold it for a while open target.
bidu pivot 123.85
pivot range 131.91-115.79
earnings Oct 20.
pivot = ( high + low + close ) / 3 ,
the range two lines are calculated like that,
range = ( high - low ) / 2 ,
1st line ( above the pivot ) = pivot + range ,
2nd line ( below the pivot ) = pivot - range ,
logical stop short term frame would be 122, I have no stop, under this I will begin to add.
the pivot range and pivot is an aspect of the system that is easy to automate, where you enter and exit is up to the trader. My premise is that bidu is undervalued here and will increase as we get closer to earnings.
Quote from kinggyppo:
the pivot range and pivot is an aspect of the system that is easy to automate, where you enter and exit is up to the trader. My premise is that bidu is undervalued here and will increase as we get closer to earnings.
Quote from pwrtrdr:
Which platform are you auto trading ?
Thanks
Corn limit up. Blew through the weekly and monthly A up, sitting at the top of the QTR. It might be game on in the grains again guys.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Just curious, what is the average A-value used by breakout traders in this thread?
I'm currently using 20% ATR with a 20 minute OR. The thing is I'm not getting alot of follow through on many of my trades. I'd say about 20-25% getting to targets. 40% at scratches or small losers. The rest would be losses.
The average OR relative to ATR in my trades is 40% or so. If I am getting in +20% and give or take any gap...I am getting in the tail end of the move. These are all in play stocks with good news/bad action and bad news good action plays. Don't know if this is the market environment or my A-values.
I had a feeling that I was waiting too long to get into moves, the stats might confirm this. Going to go over some more stats at the end of the day, then I will decide if I will cut down to near 10% on the A.
Quote from Shanb:
Just curious, what is the average A-value used by breakout traders in this thread?
I'm currently using 20% ATR with a 20 minute OR. The thing is I'm not getting alot of follow through on many of my trades. I'd say about 20-25% getting to targets. 40% at scratches or small losers. The rest would be losses.
The average OR relative to ATR in my trades is 40% or so. If I am getting in +20% and give or take any gap...I am getting in the tail end of the move. These are all in play stocks with good news/bad action and bad news good action plays. Don't know if this is the market environment or my A-values.
I had a feeling that I was waiting too long to get into moves, the stats might confirm this. Going to go over some more stats at the end of the day, then I will decide if I will cut down to near 10% on the A.
Quote from pwrtrdr:
Thanks, this is sort of information that I think can really help people that have read the book and are looking to make some sense of how to use this method within thier individual portfolio's and comfort levels
Quote from kinggyppo:
got a breakout trade here in Bidu, long from 124 area will hold it for a while open target.
bidu pivot 123.85
pivot range 131.91-115.79
earnings Oct 20.
pivot = ( high + low + close ) / 3 ,
the range two lines are calculated like that,
range = ( high - low ) / 2 ,
1st line ( above the pivot ) = pivot + range ,
2nd line ( below the pivot ) = pivot - range ,
logical stop short term frame would be 122, I have no stop, under this I will begin to add.
Quote from Maverick74:
Corn limit up. Blew through the weekly and monthly A up, sitting at the top of the QTR. It might be game on in the grains again guys.
Quote from Shanb:
Ya its really alot of trial and error. Whatever your approach you use, it must be logically consistent. Trading bo's prob requires tighter parameters depending on the what you are trading. Those good new/bad action plays don't come around that often. I just noticed that using the A-values that I am currently using results in getting in too late alot of the time.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from flip:
General question: At the beginning of a week/month/quarter when you don't yet have values for A up / A dn, do you wait until you have these values (e.g. after one day for monthly values, few hours for weekly etc.) for your trading decisions? Or do you for instance use the values from the previous week/month/quarter? thx!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
No, I wait till have the new values. The values from the old cycle are gone.
I received a pm asking whether I did the study for monthly highs/lows I posted here also for weekly data.
Thought I post the results here in case other users are also interested. It covers the same futures markets as for the monthly study.
Limitation is, that I did the analysis on daily data, i.e. looking at how often each day of the week is the weekly high or low (and also seperately for high and low). However, in the real world one wouldn't wait until the first day of the week is over but instead use a few hours, so the same study on intraday data would be more informative (which I didn't do yet)
Overall the result is that the first day of the week is indeed the high or low more often than any other day, only Friday also makes highs/lows quite frequently compared to the other days.
Quote from Maverick74:
What stocks did you trade today?
Quote from Shanb:
ASML-long
SLG-short
DB-long
I'll post more specifics in my log if your interested
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Wow, those stocks didn't go anywhere. Of course the market was pretty quiet as well.
Let me offer some advice. When I started trading stocks in 2000 one of the things that separated the good traders from the bad traders was not technique, but stock selection. It's very much an art, not a science. After watching 1000's of hours of tape, you begin to get a feel for what is going to move that day. There are no indicators or short cuts on this unfortunately. But at the end of the day, you can only take out what the market gives you and those stocks were offering nothing. I wouldn't be discouraged. It takes a lot of time. You are just going to have to be patient.
Quote from Shanb:
SLG had a decent reversal. DB was ehh not so good. I was actually watching MS and GS on the A-up, but they ripped through the A-values and didn't look back. DB was my sub-par setup. Prob not the best, but something could have been taken out of these stocks.
Stock selection is definitely an art like you said! But I am noticing that I am getting in late on many of the trades that I am taking. Do you not think that tightening up my ACD parameters would be more consistent with take the type of trades that I am taking(Breakouts)?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
What are you using for your opening range?
Quote from flip:
Hi kinggyppo, I'm not sure how you come up with your pivot range.
As you use (high-low)/2 instead of (high+low)/2 I assume you use a different method than Fisher describes in his book?
The pivot range according to Fisher would be as follows:
pivot = (h+l+c)/3 = (127.54+119.48+124.54)/3 = 123.85
second number: (h+l)/2 = (127.54+119.48)/2 = 123.51
daily pivot differential: 123.85 - 123.51 = 0.34
daily pivot range:
pivot + differential = 123.85 + 0.34 = 124.19
pivot - differential = 123.85 - 0.34 = 123.51
So I come up with the range 123.51 to 124.19.
But even if I use your method of adding/subtracting (h-l)/2 to/from the pivot, I get different values than you have:
(high - low)/2 = (127.54-119.48)/2 = 4.03
1st line ( above the pivot ) = pivot + range = 123.85 + 4.03 = 127.88
2nd line ( below the pivot ) = pivot - range = 123.85 - 4.03 = 119.82
So this gives a range of 119.82 to 127.88 which is different from your values 131.91-115.79
Could you shed some light on this?
bidu ten minute chart looked liked a short early on reversed up thru the open and never looked back, look at spy yesterday, gap up held all day.
Quote from Shanb:
20-minutes, Haven't noticed the opening range's changing as much when I change it to lets say 15 minutes. What do you think?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Here is a very short term chart with pivot range, if you look at this with yesterdays action it looks like a continuation pattern on a longer frame say 10 minutes
bidu 10 minute
Quote from Maverick74:
I would use a 5 min opening range. Fisher used a 30 minute range.
I would also try his first hour pivot range. Price should be above the daily pivot range range and within 10% of the first hour high.
Quote from Shanb:
Hmmm really, that small? Keep the A-values the same in this case right?
Also the time stop would have to be changed as well to remain consistent. I'm going to go over all the trades I've made in the last 5-6 days and see how this would effect it, thanks!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I would use a 5 min opening range. Fisher used a 30 minute range.
I would also try his first hour pivot range. Price should be above the daily pivot range range and within 10% of the first hour high.
[QUOTE]Quote from pwrtrdr:
Can you elaborate. 10% of the first Hour high. Thnx [/QUOTE
Pivot first hour highs and lows
In this setup, the trading activity over the first hour of the day is used to determine whether the daily pivot range engulfs the first-hour high or low. A subsequent A up or A down confirms an intraday bias and affords the trader an excellent low-risk trade entry point.
http://www.mbfcc.com/acdglossary.html
Here is the excerpt from the book:
http://books.google.com/books?id=4x...epage&q&f=false
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Use the first hour pivot range.
Shan, please understand that you need to look at 1000's of trades to see what settings you want to use. Just looking at a few trades are not enough data points.
Quote from Maverick74:
Use the first hour pivot range.
Shan, please understand that you need to look at 1000's of trades to see what settings you want to use. Just looking at a few trades are not enough data points.
Quote from Shanb:
Ya definitely understand, I just want to have a basic understanding of how it would effect OR sizes relative to ATR etc. This way I can understand how to structure my approach.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Ok thanks I recall reading that now, I don't associate the % with opening range of 5 minutes though
Opening range of 5 minutes is what peaked my interest, isn that too fast, I can look how it plays into my method but I think there is a lot of noise there
Quote from Maverick74:
[QUOTE]Quote from pwrtrdr:
Can you elaborate. 10% of the first Hour high. Thnx [/QUOTE
Pivot first hour highs and lows
In this setup, the trading activity over the first hour of the day is used to determine whether the daily pivot range engulfs the first-hour high or low. A subsequent A up or A down confirms an intraday bias and affords the trader an excellent low-risk trade entry point.
http://www.mbfcc.com/acdglossary.html
Here is the excerpt from the book:
http://books.google.com/books?id=4x...epage&q&f=false
Quote from Maverick74:
Just remember Fisher uses a 30 min OR. He is worth more money then me. So take my suggestion with a grain of salt.
Quote from Shanb:
Don't undercut yourself...you've put alot of useful info about this type of approach into this thread. Prob more than fisher has put into the public domain in the past few years. Plus I've never talked trading over a cold brew with Fisher, so I trust ya lol
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Hey, maybe you can tell RCG. He's been thinking about grabbing a cold brewski with me but he may be having second thoughts. Tell him I'm usually well behaved in public.
Oh and just noticed something going over my trades. Very small sample set, but I think this holds true in principle. I did not make one profitable trade where I was trading against the pivot range. Long while below, or short while above. Very interesting indeed!
Quote from Shanb:
Oh and just noticed something going over my trades. Very small sample set, but I think this holds true in principle. I did not make one profitable trade where I was trading against the pivot range. Long while below, or short while above. Very interesting indeed!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Hey, maybe you can tell RCG. He's been thinking about grabbing a cold brewski with me but he may be having second thoughts. Tell him I'm usually well behaved in public.
Quote from RCG Trader:
Hey if Rush and Olberman can have dinner together, anybody can, lol.
All jokes aside, for the dozens of luckers on this thread, ACD is the real deal, and Mav gets the credit for bringing out on ET. It's been years since a really good thread that serves the purpose of this site has been started and maintained. No flaming, no getting off topic, it's really nice!
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
ShanB I get the impression from the ACD book that Mark Fischer is not daytrading like you. It seems like he is trying to catch the big swings holding for anywhere from 1 day to weeks + and for that the 30 min looks pretty good.
One of the guys in his book uses a 1 min range. I wonder if that was only on the 1st minute of the day or if he picks other 1 minute periods to trade throught the day as well.
That got me thinking it would be interesting to see the stats on how frequently the 1st minute of a certain time period of maybe 30 min to an hour is the high or low for that period for the major indexes. Could be a cool way to build a scalping "schedule" with a positive expectation.
Shan b here is a spreadsheet with the pivot range values going back to 2005. Please check my math as I am no programmer .
The pivot range according to Fisher would be as follows:
Bidu for 10/11/11
"pivot = (h+l+c)/3 = (127.54+119.48+124.54)/3 = 123.85
second number: (h+l)/2 = (127.54+119.48)/2 = 123.51
daily pivot differential: 123.85 - 123.51 = 0.34
daily pivot range:
pivot + differential = 123.85 + 0.34 = 124.19
pivot - differential = 123.85 - 0.34 = 123.51
So I come up with the range 123.51 to 124.19."
my values match here so for tomorrow the pivot range for
Bidu is 128.31 to 126.
Quote from baggerlord:
ShanB I get the impression from the ACD book that Mark Fischer is not daytrading like you. It seems like he is trying to catch the big swings holding for anywhere from 1 day to weeks + and for that the 30 min looks pretty good.
One of the guys in his book uses a 1 min range. I wonder if that was only on the 1st minute of the day or if he picks other 1 minute periods to trade throught the day as well.
Quote from kinggyppo:
Shan b here is a spreadsheet with the pivot range values going back to 2005. Please check my math as I am no programmer
The pivot range according to Fisher would be as follows:
Bidu for 10/11/11
"pivot = (h+l+c)/3 = (127.54+119.48+124.54)/3 = 123.85
second number: (h+l)/2 = (127.54+119.48)/2 = 123.51
daily pivot differential: 123.85 - 123.51 = 0.34
daily pivot range:
pivot + differential = 123.85 + 0.34 = 124.19
pivot - differential = 123.85 - 0.34 = 123.51
So I come up with the range 123.51 to 124.19."
my values match here so for tomorrow the pivot range for
Bidu is 128.31 to 126.
Quote from Maverick74:
Noooooooooooooo! I want that beer. Don't duck out of this. I'll invite Shan. We've already shared a few beers. He's a nice kid. Prop trader and martial arts expert. He can protect you.
Let's do this. Tell me when. Damn it RCG, even Don Bright has had a beer with me!
Quote from kinggyppo:
Shan b here is a spreadsheet with the pivot range values going back to 2005. Please check my math as I am no programmer
The pivot range according to Fisher would be as follows:
Bidu for 10/11/11
"pivot = (h+l+c)/3 = (127.54+119.48+124.54)/3 = 123.85
second number: (h+l)/2 = (127.54+119.48)/2 = 123.51
daily pivot differential: 123.85 - 123.51 = 0.34
daily pivot range:
pivot + differential = 123.85 + 0.34 = 124.19
pivot - differential = 123.85 - 0.34 = 123.51
So I come up with the range 123.51 to 124.19."
my values match here so for tomorrow the pivot range for
Bidu is 128.31 to 126.
putting stop on bidu at 131
Quote from kinggyppo:
putting stop on bidu at 131
watching aapl here for a possible scalp short been a moonshot from 354. stopped on bidu
short aapl 408 stop 410
Funny that Mav posted the bit about the first hour pivot high just yesterday. I actually decided to re-read the book again over the weekend, and I can't believe how stupid I've been with this stuff.
Seems like every time I read it, (and Lou mentioned this in the recording MFbreakout provided us with) I think, god, how the heck did I miss this concept last time.
I think the key here is don't over-trade,(duh, how many people have posted this before). Don't get blown-out. Hang in there. Be patient, and eventually you'll learn enough to start making more profitable trades than loosing ones.
It's like even though I know it's not magic I have to wake up each morning, stare in the mirror and tell myself, "hey idiot, it's not magic, don't be stupid today." That method actually seems to be working so far... hahaha
Quote from kinggyppo:
short aapl 408 stop 410
Flip,
Thanks for those weekly stats. Great stuff, and much appreciated!
first trading day of the month Oct 3 was the low close for the spy. 109.93, Lets see if it holds. By the way I praise the Lord above I am not short here. I hope all you ACD folks have read the black swan.
Quote from kinggyppo:
first trading day of the month Oct 3 was the low close for the spy. 109.93, Lets see if it holds. By the way I praise the Lord above I am not short here. I hope all you ACD folks have read the black swan.
aapl starting to crack
CL futures
Market gave a middle finger after A down confirmation.
http://www.screencast.com/t/B7RJrGhN9kEr
Just wanted to give a currency update. The EURO is breaking out against the Dollar, the Pound and the Yen. AUD/USD breaking out. And we have the EUR, AUD and CAD breaking out against the Yen.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I'm attaching the monthly snap shot for the currency pairs.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: CL futures
Quote from mfbreakout:
Market gave a middle finger after A down confirmation.
http://www.screencast.com/t/B7RJrGhN9kEr
Re: Re: CL futures
Quote from drm7:
Kind of a dull day for CL. ACD kept you out of the chop, though.
If Tony Crabel's right, tomorrow could have some fireworks. Today was NR4, NR7, NR10...(That's sort of equivalent to MBF's "tight pivot range," I guess.)
Re: Re: CL futures
Quote from drm7:
Kind of a dull day for CL. ACD kept you out of the chop, though.
If Tony Crabel's right, tomorrow could have some fireworks. Today was NR4, NR7, NR10...(That's sort of equivalent to MBF's "tight pivot range," I guess.)
Re: Re: Re: CL futures
Quote from mfbreakout:
Yes tight 3 day rolling pivot, Monday pivot tracker value of 13, Tuesday, plenty of macro head winds calls for a VOLATILE day.
Does anyone has any reading material on Tony Carbels method? I have not been able to find except for some basic stuff.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: Re: Re: CL futures
Quote from mfbreakout:
Does anyone has any reading material on Tony Carbels method? I have not been able to find except for some basic stuff.
here's a link to the book (I'll remove the file by next week, so pls. download soon)
http://dl.dropbox.com/u/11853547/To...%20Patterns.pdf
Quote from Shanb:
ASML-long
SLG-short
DB-long
I'll post more specifics in my log if your interested
Quote from Quon:
Funny that Mav posted the bit about the first hour pivot high just yesterday. I actually decided to re-read the book again over the weekend, and I can't believe how stupid I've been with this stuff.
Seems like every time I read it, (and Lou mentioned this in the recording MFbreakout provided us with) I think, god, how the heck did I miss this concept last time.
I think the key here is don't over-trade,(duh, how many people have posted this before). Don't get blown-out. Hang in there. Be patient, and eventually you'll learn enough to start making more profitable trades than loosing ones.
It's like even though I know it's not magic I have to wake up each morning, stare in the mirror and tell myself, "hey idiot, it's not magic, don't be stupid today." That method actually seems to be working so far... hahaha
Actually it's ironic, the "hey stupid" seems to be working. I think my subconscious thinks it knows better, when in fact I need to keep the "I know nothing, so trade ACD" mentality in the forefront of my mind.
Don't worry, I'm not TOO harsh on myself!
Quote from Quon:
Actually it's ironic, the "hey stupid" seems to be working. I think my subconscious thinks it knows better, when in fact I need to keep the "I know nothing, so trade ACD" mentality in the forefront of my mind.
Don't worry, I'm not TOO harsh on myself!
look at ten minute on spy it has held the lows 3 times and then made a slightly higher high what does that tell you?
Quote from kinggyppo:
look at ten minute on spy it has held the lows 3 times and then made a slightly higher high what does that tell you?
CL futures
Tight 3 day rolling pivot and narrow pivot tracker value of 17 called for some ACTION and as usual CL did not disappoint.
http://www.screencast.com/t/dtVDcJp0n
http://www.screencast.com/t/YgZmHqYO
Quote from flip:
here's a link to the book (I'll remove the file by next week, so pls. download soon)
http://dl.dropbox.com/u/11853547/To...%20Patterns.pdf
Crash "Reversal"
"I’ve told this story dozens of time, but the memory has never ceased to have an impact on me. I was out of the
country on Black Monday of the Crash of 1987. In fact, I wasn’t able to get back to the trading pit until Tuesday
afternoon (even though I flew standby on the Concorde). I made six-figure profits on Tuesday afternoon and
Wednesday. But that all paled in comparison to what happened on Thursday.
Before trading began, the pit was tense. The brokers, I noticed, were especially nervous. Having been a broker in my early days, I could read their body language clearly. They were acting as if they had a large order to fill. Just before the bell rings, brokers start to make their offers. A broker offered to sell S&Ps 4.00 points lower. (In the pit we’d think of that as 400 points lower.) Then another broker, this time from Shearson, said he was 10.00 lower.
(Remember this was 1987, and we didn’t have any limits to act as brakes on a sharply falling market.) This was unbelievable, I thought! Within seconds we were already 10.00 points down. As a local, I wondered just how far down this market would go.
“I’m 20.00 lower,” I yelled out. A Shearson broker was lower still – 30.00 points lower. I said I was 40.00 points lower. The Shearson broker shot back that he was 50.00 lower. S&Ps opened 56.00 points lower. In the midst of this freefall, I knew it had to be the bottom. I turned buyer. I bought 150 contracts from a broker behind me and sold them two seconds later for 20.00 points higher. I walked out of the pit with a $1.3 million profit made in less than a minute. I went into the bathroom and threw up. As
much as I had made on that one trade, I could have lost if the market had turned against me."
from Lewis Borsellino, trading with Lewis Borsellino
hopefully that story will inspire, you're best days are ahead of you, keep at it guys.
Quote from kinggyppo:
Crash "Reversal"
"I’ve told this story dozens of time, but the memory has never ceased to have an impact on me. I was out of the
country on Black Monday of the Crash of 1987. In fact, I wasn’t able to get back to the trading pit until Tuesday
afternoon (even though I flew standby on the Concorde). I made six-figure profits on Tuesday afternoon and
Wednesday. But that all paled in comparison to what happened on Thursday.
Before trading began, the pit was tense. The brokers, I noticed, were especially nervous. Having been a broker in my early days, I could read their body language clearly. They were acting as if they had a large order to fill. Just before the bell rings, brokers start to make their offers. A broker offered to sell S&Ps 4.00 points lower. (In the pit we’d think of that as 400 points lower.) Then another broker, this time from Shearson, said he was 10.00 lower.
(Remember this was 1987, and we didn’t have any limits to act as brakes on a sharply falling market.) This was unbelievable, I thought! Within seconds we were already 10.00 points down. As a local, I wondered just how far down this market would go.
“I’m 20.00 lower,” I yelled out. A Shearson broker was lower still – 30.00 points lower. I said I was 40.00 points lower. The Shearson broker shot back that he was 50.00 lower. S&Ps opened 56.00 points lower. In the midst of this freefall, I knew it had to be the bottom. I turned buyer. I bought 150 contracts from a broker behind me and sold them two seconds later for 20.00 points higher. I walked out of the pit with a $1.3 million profit made in less than a minute. I went into the bathroom and threw up. As
much as I had made on that one trade, I could have lost if the market had turned against me."
from Lewis Borsellino, trading with Lewis Borsellino
hopefully that story will inspire, you're best days are ahead of you, keep at it guys.
Nice move in natty gas today. Looks like it caught a spark.
AMZN and AAPL on fire.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Nice move in natty gas today. Looks like it caught a spark.
Quote from drm7:
Natural Gas is a weird market. A lot of days are dead - barely gets out of the opening range. I've also seen a lot of failed A ups and A downs. The market can turn on a dime. Inventory days are crazy. I read an article in the WSJ a while back about algo traders piling into NG without adapting to the lower liquidity (relative to CL at least). The result are some crazy fluctuations.
HOWEVER, there are days where you get a nice, clean A up, A down and it runs and runs.
Quote from mfbreakout:
I do not trade Natural Gas so not really familiar with it. However, being a student of MF method, looking at 30 days number line starting 9-1 to 9-13, I see following values.
-4,-6,4,4,4,4,4,0,2,2,2,2,2,0,0.
No wonder it has given lot of failed A up or A downs. Again I am only talking in terms of day trading.
Crude Oil number lines VALUES are totally opposite of Natural Gas and thus have enough volatility to trade in a daily range of 400-600 ticks.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Can you further clarify those number line values for me? How does his number line go from -6 to +4 in one day? The most the # line could move is 8 and that's if you dropped off a minus 4 day and added a plus 4 day. Am I missing something here?
Quote from mfbreakout:
The numbers are not in sequence of 9/1 to 10/13 as i thought. MF posts numbers in following sequence. I had not noticed the dates sequence up to this point.
9/1, 9/2, 9/28, 9/29, 9/30, 10/03, 10/04,10/05,10/06,10/07,10/10,10/11,10/12,12/13.
-4,-6,4,4,4,4,4,0,2,2,2,2,0,0.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from drm7:
Natural Gas is a weird market. A lot of days are dead - barely gets out of the opening range. I've also seen a lot of failed A ups and A downs. The market can turn on a dime. Inventory days are crazy. I read an article in the WSJ a while back about algo traders piling into NG without adapting to the lower liquidity (relative to CL at least). The result are some crazy fluctuations.
HOWEVER, there are days where you get a nice, clean A up, A down and it runs and runs.
Quote from pwrtrdr:
Would love to see this article, if you can recall exactly where it was etc;
Did it mention "who: they thought was dumb enough to let algo go like this ?
The big money in gas trades the curve (convexity) years out in the cal. There are a lot of small time people playig with themselves in the front. Dont get me wrong, the front is good, although comparativley he curve is where the big money is won and lost, and it is just that a huge gamble. Dirty hedges at best, guesstimates about weather, storage relationships. Someone always blows up every 3-4 years.
Quote from drm7:
Here is a link to an article which touches on this:
http://ftalphaville.ft.com/blog/201...natgas-edition/
It's not the one I read, but shows the growing influence of algos in futures.
re: trading the curve. Yes, I heard that energy is a spreader's market. Isn't one of the NG cal spreads called "the widowmaker?"
This is an interesting thread I stumbled accross while looking for an ACD indicator or something similiar that can plot breakout levels based on % of ATR.
http://www.bigmiketrading.com/trade...k-fisher-4.html
The poster fat tails has an interesting concept he uses that he prefers to A levels. Instead of A levels he uses what he calls noise levels. In his words:
"That sounds too complicated. My problem with the Fisher method is that the breakout points seem to be set somewhat arbitrarily. Sometimes they are very close to the opening range and sometimes they are far away.
So I have settled for a different concept, based on failed breakouts. A failed breakout is the smaller move made by price as counted from the open:
Failure move = Mininum of (High - Open) and (Open - Low)
The smaller of these moves can be considered as noise produced by the market while it was in its typcial bipolar state of mind. From this I am calculating noise bands that define the levels beyond which a price move becomes meaning full. I have produced the noise bands indicator,"
You can set this to plot at 100% of the calculated value or a smaller % which would make it a closer approximation of A levels if that is what you are shooting for. The main difference is that it is calculated off the opening price as opposed to an opening range.
Either way it does a good job of establishing a framework and bias to stay on the right side of the market and keep from overtrading.
He also created an indicator that plots a target range based on the average daily range of a set time period. It changes throughout the day as the range increases.
The thread has lots of charts if you want to see what it looks like.
I like his idea because it allows you to quickly get a visual on the risk/reward of a trade based on how far the market should move on average.
I think the target levels are really cool because they help you to set a target that is really realistic. I know one of my struggles when I was daytrading was always shooting for the homerun unrealistic target. This helps you to see what "should" happen most of the time and trade accordingly.
Quote from baggerlord:
I think the target levels are really cool because they help you to set a target that is really realistic. I know one of my struggles when I was daytrading was always shooting for the homerun unrealistic target. This helps you to see what "should" happen most of the time and trade accordingly.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from baggerlord:
This is an interesting thread I stumbled accross while looking for an ACD indicator or something similiar that can plot breakout levels based on % of ATR.
http://www.bigmiketrading.com/trade...k-fisher-4.html
The poster fat tails has an interesting concept he uses that he prefers to A levels. Instead of A levels he uses what he calls noise levels. In his words:
"That sounds too complicated. My problem with the Fisher method is that the breakout points seem to be set somewhat arbitrarily. Sometimes they are very close to the opening range and sometimes they are far away.
So I have settled for a different concept, based on failed breakouts. A failed breakout is the smaller move made by price as counted from the open:
Failure move = Mininum of (High - Open) and (Open - Low)
The smaller of these moves can be considered as noise produced by the market while it was in its typcial bipolar state of mind. From this I am calculating noise bands that define the levels beyond which a price move becomes meaning full. I have produced the noise bands indicator,"
You can set this to plot at 100% of the calculated value or a smaller % which would make it a closer approximation of A levels if that is what you are shooting for. The main difference is that it is calculated off the opening price as opposed to an opening range.
Either way it does a good job of establishing a framework and bias to stay on the right side of the market and keep from overtrading.
He also created an indicator that plots a target range based on the average daily range of a set time period. It changes throughout the day as the range increases.
The thread has lots of charts if you want to see what it looks like.
I like his idea because it allows you to quickly get a visual on the risk/reward of a trade based on how far the market should move on average.
Just out of curiosity, but why are some of you trying to re-invent the wheel? ACD operates on the simple concept of keep it simply stupid. Using bands and standard deviations and this and that, don't you think that is only going to corrupt your ability to make fast decisions?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Just out of curiosity, but why are some of you trying to re-invent the wheel? ACD operates on the simple concept of keep it simply stupid. Using bands and standard deviations and this and that, don't you think that is only going to corrupt your ability to make fast decisions?
I know for me I'm looking at the volatility bands as a way to create profit targets and estimate R:R. It seems like it fits well with the ACD levels since it is all based on volatility.
Quote from baggerlord:
I know for me I'm looking at the volatility bands as a way to create profit targets and estimate R:R. It seems like it fits well with the ACD levels since it is all based on volatility.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
I understand what you are saying but at it's core, it's a trend following system and most purists of that style will argue that trend followers should never have a profit target. The only way I think one can come out ahead with a trend following approach is to catch huge winners which are usually very rare. But if you cut those winners short, you may not have enough edge to be net profitable. I'm just providing a counter argument. There have been countless book and studies done on this and they all seem to come to the same conclusion.
__________________
artfartdart
CL futures
On page 194 of MF book, there is interview of RN- one of the largest crude oil futures trader at the time of book writing and still one of the largest crude oil futures trader.
He trades thousands of contracts every day and is a very active trader and scalper. Apparently, he is not looking for 100 ticks moves in one trade in most of his trades.
Just curious as to how many traders in this forum trade with similar kind of trading style. Not necessarily in terms of size like trading 1000's of contracts every day but similar style in terms of number of trades, profit targets per trade etc..
Quote from pwrtrdr:
Thats true, indicators dont work well when tested through and through.
The ACD is a risk mangement tool= good.
Although cant really be tested as you say, and nobody can quantify much about it, other than some use it and those partcular folks dont have any public performance reports...
Quote from Maverick74:
Just out of curiosity, but why are some of you trying to re-invent the wheel? ACD operates on the simple concept of keep it simply stupid. Using bands and standard deviations and this and that, don't you think that is only going to corrupt your ability to make fast decisions?
Quote from RCG Trader:
Some try reinventing the wheel because so many people get system and method confused. It is probably the single biggest problem I have seen at ET over the years.
System= your way of generating trading signals.
Method=the way you deploy your system.
FSH says over and over again this is a method for traders to improve their systems. It just flies over the head of so many folks.
Quote from mfbreakout:
Have you tried calling www.mbfcc.com and asked for performance reports of mark fisher money management firm ? or one can also open an account with MF brokerage firm , become a client and they will be happy to answer ones questions related to performance etc..
Quote from Maverick74:
I understand what you are saying but at it's core, it's a trend following system and most purists of that style will argue that trend followers should never have a profit target. The only way I think one can come out ahead with a trend following approach is to catch huge winners which are usually very rare. But if you cut those winners short, you may not have enough edge to be net profitable. I'm just providing a counter argument. There have been countless book and studies done on this and they all seem to come to the same conclusion.
Quote from baggerlord:
It seems this means to be profitable with this style you need to be looking for potential multi day trends (using the number line?) and holding days to weeks to book a big win.
For strictly daytrading especially equities it seems you would be best off looking to take smaller profits off failed A ups and downs.
At least that is my impression from looking over lots of charts.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from pwrtrdr:
I agree- both should have performance reports and or AUM too ? no ?
Mark Fisher and Dennis Gartman are scheduled to be on the Fast Money Half Time Report today. 12 e.s.t.
Just an FYI
Quote from Quon:
Mark Fisher and Dennis Gartman are scheduled to be on the Fast Money Half Time Report today. 12 e.s.t.
Just an FYI
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Quon:
Mark Fisher and Dennis Gartman are scheduled to be on the Fast Money Half Time Report today. 12 e.s.t.
Just an FYI
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Good call.
I'm hoping they ask him about the run in crude too. With luck they'll have the Fisher and Gartman segments overlap. I know Fisher has a great deal of respect for Gartman.
The format of the Half Time Report was just switched to a full hour, so there should be plenty of time.
Quote from Maverick74:
Not at all. Look, I think it would help here to differentiate between stocks and futures. Futures have lots of intra-day movements and follow through. Stocks are tougher since they don't trade 24 hours like most futures do, stocks gap and move hard on the open then in many cases spend all day in a trading range.
The entire Logical Trader book was dedicated to day trading, not longer term trading. I think MFbreakout has done a great job on this thread showing how he uses it to trade CL which has lots of follow through. And I've said this time and time again, you need to know the product you are trading. GE stock does not trade the same way as CL. And CL does not trade the same as ZB. You have to treat these products differently.
With stocks, you need to be very careful with stock selection. You can't just trade AAPL every day. You have to watch the news flow, earnings, volume, other things. Stocks are not easy to trade. I've said this for years on this forum. Part of that is because there are so many of them and it takes one a lot of experience to select the right stocks to daytrade.
There is plenty of follow through in stocks, but you have to be in the right ones. I know I'm stating the obvious when I say that, but it really is as simple as that.
As far as trading failed A ups and A downs, again, I've said this before it comes down to your style. Is that the kind of trader you are? Because if it's not, I assure you ACD will not make you profitable trading that way. You have to trade your personalty. If you like to follow trends, you will find fading moves very hard. If you like to fade, you will find staying in a trend very hard.
Once again, ACD is a methodology, not a system. So whatever you are doing now without ACD, just lay ACD on top of that. If you trade CL before, then trade it now. If you trade breakouts now, then lay ACD on top of that to trade breakouts better. Don't fight what comes natural to you because you "think" ACD will work better.
No Fisher? 
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I know, weird. They ran the promo during Squakbox, so not sure what happened there... bummer
Quote from baggerlord:
Been thinking about this and brainstorming some ideas for selection.
From the ACD book:
Numberline ideas
Stocks that have hit + or -7 for the first time in a while.
Stocks that have hit 0.
Other ideas some from stuff you have posted:
Stocks near a monthly or quarterly A up that make a daily A down. (or a failed A up)
The good new bad action play
Non ACD:
52 week high/low
breakout below/above monthly pivot + an A signal
I've noticed when prior day high or low is roughly the same as the A level it is more likely to have follow through.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
CL futures
ACD method , different pivot, numbers line , pivot ranges for es, tf and cl and thus different results.
http://www.screencast.com/t/spPtfdNL
2011-10-17_1533
2011-10-17_1518
For all of you that look at the number line values: Do you have some kind of spreadsheet were you manually put in all values for each day and market that you follow? Or do you have that automated, i.e. you automatically get the number for each market? In some cases the values might be quite clear (e.g. market makes an A up and closes above A up, so it gets a value of +2 for this day), but there might be some cases where it's not so clear and hence probably difficult to automate.
Quote from flip:
For all of you that look at the number line values: Do you have some kind of spreadsheet were you manually put in all values for each day and market that you follow? Or do you have that automated, i.e. you automatically get the number for each market? In some cases the values might be quite clear (e.g. market makes an A up and closes above A up, so it gets a value of +2 for this day), but there might be some cases where it's not so clear and hence probably difficult to automate.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from flip:
For all of you that look at the number line values: Do you have some kind of spreadsheet were you manually put in all values for each day and market that you follow? Or do you have that automated, i.e. you automatically get the number for each market? In some cases the values might be quite clear (e.g. market makes an A up and closes above A up, so it gets a value of +2 for this day), but there might be some cases where it's not so clear and hence probably difficult to automate.
CL futures
Magic of A up, number line of 9, pivot tracker values of 9
http://www.screencast.com/t/nGu1WcVSom
I had a failed A down then C up on the CL/Z. (60 tick A value on a 15 min OR)
Why haven't you rolled yet to Z?
Maverick, Quon thanks for your replies, so I can imagine you apply the number line concept only to a limited number of markets (hard to follow and track the number line value for numerous markets each day)?
Quote from drm7:
I had a failed A down then C up on the CL/Z. (60 tick A value on a 15 min OR)
Why haven't you rolled yet to Z?
Quote from drm7:
I had a failed A down then C up on the CL/Z. (60 tick A value on a 15 min OR)
Why haven't you rolled yet to Z?
Quote from flip:
Maverick, Quon thanks for your replies, so I can imagine you apply the number line concept only to a limited number of markets (hard to follow and track the number line value for numerous markets each day)?
Another outside day, and officially an outside month today too in the S&P. Fisher talks about the rarity of these in his book, and apparently we last made an outside month in July 2009. Pretty interesting stuff.
Quote from Quon:
Another outside day, and officially an outside month today too in the S&P. Fisher talks about the rarity of these in his book, and apparently we last made an outside month in July 2009. Pretty interesting stuff.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from flip:
Maverick, Quon thanks for your replies, so I can imagine you apply the number line concept only to a limited number of markets (hard to follow and track the number line value for numerous markets each day)?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
CL futures
if anyone is trading any futures contract intra day, will appreciate if charts are posted for visual trader like me.
I do not need entries/exits, just contextual chart like i post.
Thanks,
I modified an existing pivot indicator for ninja trader to plot the daily pivot zone as calculated in the ACD book. To use you need to change the pivot type to "fibonacci" as that is the type I modified.
Quote from Maverick74:
How about this under the keep it simple category. Look for stocks making A ups when the indices are making A downs. Today examples:
SHLD, EDU and WYNN.
Quote from mdl060374:
Can you elaborate on this a bit?
I guess the obvious answer seems to be look for the stocks to fail, and reverse, since the overall mkt is falling.. And the idea is to find people trapped long?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Just out of curiosity, but why are some of you trying to re-invent the wheel? ACD operates on the simple concept of keep it simply stupid. Using bands and standard deviations and this and that, don't you think that is only going to corrupt your ability to make fast decisions?
Quote from Maverick74:
Well, they are easy to spot. When the market is weak and confirming an A down, look for stocks that are making A ups. When the market is confirming A ups, look for stocks making A downs. You should see a lot of follow through when the index turns. I'm just trying to show you ways you can use the ACD signals intra-day for stocks.
Quote from mdl060374:
Well, I brought up the average OR simply as another idea for a "layer"....
Fisher specifically talks in one of his videos about the value of relatively tight opening ranges, that initially look uneventful, then catch people off guard.
Also. I havent heard anyone mention this (or maybe I missed it, somewhere in the thread), but Fisher also mentions in the video using the previous days pivot ranges (I believe he said 9 days) and having the current day being the most narrow, or using the last 3 day vs the 9 day, as a favorable setup.
I guess its his variation of a Narrow range pattern. Anyone find value in this? Seems like it would be powerful, when combined with the numberline.
I thought this was interesting. I am in no way promoting or recommending anything on this guys website, that said there are some interesting ideas about order flow in the interview which are still relevant to todays trading.
http://www.turtletrader.com/borish-baldwin.html
I'm following the German Bund Future (FGBL) for some time now, looking at intraday ACD values. What I noticed is that using my parameters (opening range 15min, 5 day ATR, ATR-multiplier 0.20) the market quite often reaches the A value (nearly) to the tick and reverts, providing a good fading opportunity (see attached charts, as I can only attach one chart per post I'll just split it up).
My values are not "optimized" for this specific market, I just used this values as starting point when looking into the ACD methodology. So this can mean two things:
(I) It's just chance that alone this month the market reverted several times exactly at my A value. Because obviously, when I would be using different values (let's say a multiplier of 0.25 instead of 0.20) the A values would be further away from the opening range and the market would reverse before reaching the A value in all these cases.
(II) By chance I chose values which (at least for the time being) work quite well with this specific market.
This raises the question: Do you optimize the parameters for the markets you are trading? Maverick stated a few times that he uses different values for different markets and that it depends on whether one is a trend follower or mean reversion type trader. But what I mean is more specific: Do you look at different parameter values and pick the one where historically the chance was quite high that the market reverts (in case you are trading a mean reversion approach)? And if you optimize them (e.g. change the multiplier), do you do this on an ongoing basis?
Here's todays action in FGBL (2011/10/19), reverted exactly at the A up
follow up, FGBL 2011/10/17, reverted exactly and then near the A dn
follow up, FGBL 2011/10/13, reverted exactly at the A dn
follow up, FGBL 2011/10/07, reverted 1 tick above A up
and the last one, FGBL 2011/10/05, again reversal 1 or 2 ticks above A up
Flip, are you a mean reversion trader? You want to be careful not to change your trading style simply because you notice some ACD patterns that seems to work.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Flip, are you a mean reversion trader? You want to be careful not to change your trading style simply because you notice some ACD patterns that seems to work.
Quote from flip:
Well, yes and no - mean reversion yes, but only within equity indices where I think there's quite a strong mean reversion behavior (intraday and daily up to a few days). On the systematic side FGBL is typically a traditional trend following market for me, both on an intraday as well as daily time frame
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
OK, I was just asking because no matter how precise the ACD levels look, it's really hard to trade in a style in which you are not use to. It always looks easy after the fact on select days, but in the end, you have to trade in a way that comes natural to you or you won't be able to pull the trigger.
Nice Bund charts btw.
Quote from flip:
Yes that's definitely the temptation, looking at a few charts, picking the days where it worked and forgetting about the rest...
Bund has had a few nice trend days, also in the charts I posted there were definitely some good trend trading opportunities (A up/down breakouts, 2011/10/05, 2011/10/13, 2011/10/17)
Quote from mfbreakout:
Flip, I do not trade German Bunds as its trading hours does not suit me. Looking at MF 30 numbers, may also give some clues. These from 10/05 till 10/18.
7,3,1,0,-3,-2,0,-6,-4,1.
I do not think failed A up or A down has to be exact to the tick. To me more important is the time filter. MF recommends using following values
A= 8 C= 5 OR= 15 minutes. 2 am till 4pm for trading hours.
By the way these A and C values have not changed for the entire 2011. looking at other instruments like ES, NQ, CL etc... their values have not changed for 2011 either.
just to give a follow-up on yesterdays Bund future examples (and also show examples where it didn't work), here's todays action up to now
The market again bounced at the A down level, but then broke below it an hour later. Exit point of a possible mean-rev trade should have been after the confirmed A down in my opinion (or already after the first close below the A down? would be a faster exit than to wait for A down confirmation)
CL futures
I hear you flip. For Cl A = 8 and C=13 ticks and CL is a monster when it comes to VOLATILITY. There are only 2 ways to trade CL, either swing trade and wait for 2-4 days to get real ticks or fight like hell every day during day trading. Anything in between is DREAMING.
WHO WANTS TO TAME THE TIGER?
http://www.screencast.com/t/NunPWpFKU
Someone replied to my question as to " Who wants to tame this tiger"? by giving the right answer that a trader with a PLAN.
I agree but CL requires lot of screen time otherwise all is left in the end is THE PLAN.
Re: CL futures
Quote from mfbreakout:
I hear you flip. For Cl A = 8 and C=13 ticks and CL is a monster when it comes to VOLATILITY. There are only 2 ways to trade CL, either swing trade and wait for 2-4 days to get real ticks or fight like hell every day during day trading. Anything in between is DREAMING.
WHO WANTS TO TAME THE TIGER?
http://www.screencast.com/t/NunPWpFKU
Someone replied to my question as to " Who wants to tame this tiger"? by giving the right answer that a trader with a PLAN.
I agree but CL requires lot of screen time otherwise all is left in the end is THE PLAN.
Since Sept 1st, if you were short the SPY, you would be down 1% to 2%. If you instead got short the market via the SPY/FXI spread I've been talking about the last few months, you would be up over 24%. I've attached the spread chart. I'm just trying to show creative ways you can be short the market without trading ES.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Here is a spread chart of SPY over Copper. Up over 30% over the last 30 days and making fresh new highs.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
You watching cotton Mav? broke 100 today, closed 96.86
Quote from kinggyppo:
You watching cotton Mav? broke 100 today, closed 96.86
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from kinggyppo:
You watching cotton Mav? broke 100 today, closed 96.86
For those of you that care, USD/JPY trading at the lowest levels since WWII. This is pretty big news. Also pretty bullish for risk assets.
Here is the weekly chart.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
For those of you that care, USD/JPY trading at the lowest levels since WWII. This is pretty big news. Also pretty bullish for risk assets.
Quote from kinggyppo:
Yep I think riskarb has a friend who only trades the pair and does quite well, on a side note eurjpy never broke 100, I think the low was 100.71.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Here is a chart of the Yen going back to 1970. This is the futures which is dollar denominated (Yen over Dollars).
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
For those of you that care, USD/JPY trading at the lowest levels since WWII. This is pretty big news. Also pretty bullish for risk assets.
Here is the weekly chart.
Quote from Maverick74:
How can you not do well? Just sell it! Seriously, 15 BOJ interventions later and still going down. And to think, some people don't believe in trends...
Quote from kinggyppo:
perhaps you can explain the correlation to the us equity indexes, I think this is lost on a lot of traders. I wonder myself why the euro and sp500 are so correlated, thanks.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
All of our economic growth is coming from inflation. The more inflation we have, the lower our dollar. Japan has had zero economic growth for decades and their currency reflects that. The more money we print, the lower our currency goes. Since stocks have a fixed amount of shares and the supply of dollars that's chasing stocks is increasing, it forces stocks higher. Keep in mind stocks are a spread trade like everything else. It's all relative value. AAPL is priced in dollars. If we price stocks in Gold, equities are sitting near the 2009 lows.
Let me put it another way, if you continue to lower the denominator in the equation, the relative value of the numerator goes higher. So when you see a SPY quote, what you are really seeing is a currency trade SPY/USD.
Quote from Maverick74:
All of our economic growth is coming from inflation. The more inflation we have, the lower our dollar. Japan has had zero economic growth for decades and their currency reflects that. The more money we print, the lower our currency goes. Since stocks have a fixed amount of shares and the supply of dollars that's chasing stocks is increasing, it forces stocks higher. Keep in mind stocks are a spread trade like everything else. It's all relative value. AAPL is priced in dollars. If we price stocks in Gold, equities are sitting near the 2009 lows.
Let me put it another way, if you continue to lower the denominator in the equation, the relative value of the numerator goes higher. So when you see a SPY quote, what you are really seeing is a currency trade SPY/USD.
Quote from RCG Trader:
Never looked at it that way. Not bad, Mav, not bad.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
I have to admit after studying these concepts for years the currency pair thing still confuses me, sort of like people talking about bonds, price vs yield. In general traders speak about the prices of bonds not yield. Let's say you are selling hamburgers aka MCD in Japan, when yen is repatriated you are getting less yen per burger, is this correct, I wish I had a more innate understanding of this. I think it is confusing because there is always that "relative value" as you say.
i'm not too bright either,my simple explanation is when the euro is high,they can buy US stocks at a discount 1.4/1....edit..due to it's simplicity,i don't put a lot of creedence into it
Quote from kinggyppo:
I have to admit after studying these concepts for years the currency pair thing still confuses me, sort of like people talking about bonds, price vs yield. In general traders speak about the prices of bonds not yield. Let's say you are selling hamburgers aka MCD in Japan, when yen is repatriated you are getting less yen per burger, is this correct, I wish I had a more innate understanding of this. I think it is confusing because there is always that "relative value" as you say.
Nobody want's to be the face plate on the train.
What goes up must come down
Remember upstairs, your job is to make money. Downstairs, your job is not to lose money.
Like you said before, the market is going to go where it is going to go. The market is never wrong
Entry is easy and exit is a whole lot harder.
The people I think who can make consistent amounts of money are the people that worry about protecting themselves, the upside will take care of itself, you have to play good defense. This is Chicago football under Mike Ditka. No turnovers, 3 yards, and a cloud of dust.
http://www.turtletrader.com/borish-baldwin.html
I wanted to bump this article again there is some good stuff in there that to me goes along with Mark Fisher's way of trading. Interesting ideas about system vs discetionary, if you pay close attention Baldwin is saying that order flow creates the reversion to the mean trade, great article.
auto trades
This video is not about ACD method but will definetly enhance execution part of ACD.
Here is real treat form one of the original master Peter Steidlmayer. Same ideas but with some nice twists to it. Basically, his new creation VOLUME STRIPS. The way electronic markets have evolved, market are back to time period of 1840's. To trade now , we need to look at Volume Strips- fascinating to say the least. Some of the quotes I picked up from his presentation.
1) Question always on his mind " Would this trade self develop"?
2) majority of electronic traders are taking 100% risk of price discovery. These Volume strips are designed to reduce the risk to 50%.
3) You want to land on supply not on price.
4) Trade new orders not new price. and many many more.
Most exciting feature per Steidlmayer is the ability to place trades ( auto trade) ahead of time and thus trade multiple instruments etc..
one thing to consider is that Peter Steidlmayer, the creator of Market Profile, no longer advocates the use of Market Profile for market analysis. While many current Market Profile practitioners may argue the point, it is at minimum, highly interesting that the man credited with its development no longer considers it viable; take that for what its worth... Steidlmayer is now suggesting the use of a new paradigm called 'Volume Strips'. You can find more information here, if interested: Steidlmayer Volume Strips: J. Peter Steidlmayer
Steidlmayer Volume Strips: J. Peter Steidlmayer
not sure why the link is not coming up active. I just watched the video. Its available on CME web site .
: Commodity Indexes
CL futures
Whats the best way to post charts so that they are permanent in the forum. Screencast- tool i use to post charts have storage limitations and get deleted after some time.
Thx.
Re: CL futures
Quote from mfbreakout:
Whats the best way to post charts so that they are permanent in the forum. Screencast- tool i use to post charts have storage limitations and get deleted after some time.
Thx.
Volume Strips as he likes to call them have been around for 10+ years.
Traditional Market Profile is like using a butter knife to cut a steak.
Re: auto trades
Yeah, I remember reading that Steidlmayer no longer recommends MP. Bets are it's because shrewd software developers figured out how to replicate MP analysis closely enough that his analysis no longer was proprietary. Now I understand he's building out custom databases to leverage his concepts.
Because auction market theory is the only paradigm on market behavior that makes sense to me, I think the principles behind it fit well with ACD. So, I've been trying to put them together. ACD pivots don't necessarily make sense to me as capturing the "meat of the market", but volume bulges do.
See the attached. I was going to send this to a PM with Quon as I owe him a response, but figured I might as well put it up here.
Ignore the stuff on the lower left. Everything else is ACD. I've built it out so that there's an option to color the bg green or red if price is above/below the monthly A levels (so I don't have to keep throwing up A levels, which gets confusing), but only use that option on the top 60 minute chart.
The volume bulges aren't "volume strips" per se. But one standard deviation of total volume shows up as a lighter color. The volume profiles on the far left are composite of several days. The dark blue lines are daily ACD pivots.
Quote from mfbreakout:
This video is not about ACD method but will definetly enhance execution part of ACD.
Here is real treat form one of the original master Peter Steidlmayer. Same ideas but with some nice twists to it. Basically, his new creation VOLUME STRIPS. The way electronic markets have evolved, market are back to time period of 1840's. To trade now , we need to look at Volume Strips- fascinating to say the least. Some of the quotes I picked up from his presentation.
1) Question always on his mind " Would this trade self develop"?
2) majority of electronic traders are taking 100% risk of price discovery. These Volume strips are designed to reduce the risk to 50%.
3) You want to land on supply not on price.
4) Trade new orders not new price. and many many more.
Most exciting feature per Steidlmayer is the ability to place trades ( auto trade) ahead of time and thus trade multiple instruments etc..
one thing to consider is that Peter Steidlmayer, the creator of Market Profile, no longer advocates the use of Market Profile for market analysis. While many current Market Profile practitioners may argue the point, it is at minimum, highly interesting that the man credited with its development no longer considers it viable; take that for what its worth... Steidlmayer is now suggesting the use of a new paradigm called 'Volume Strips'. You can find more information here, if interested: Steidlmayer Volume Strips: J. Peter Steidlmayer
Steidlmayer Volume Strips: J. Peter Steidlmayer
not sure why the link is not coming up active. I just watched the video. Its available on CME web site .
: Commodity Indexes
Quote from [Proximo]:
Volume Strips as he likes to call them have been around for 10+ years.
Traditional Market Profile is like using a butter knife to cut a steak.
Quote from Maverick74:
How can you not do well? Just sell it! Seriously, 15 BOJ interventions later and still going down. And to think, some people don't believe in trends...
CL futures
Here are 2 charts of cl for 10-21-201 as i like to day trade using ACD and levels. 3rd chart is of Volume Profile with some fibs.
I am trying to add Volume profile to my skill set but so far no meaningful progress. Looking for feedback as how Volume profile chart could have helped.
$CL_F scenario $$ http://j.mp/ofElgR
http://www.screencast.com/t/WlchRtLZhx
http://www.screencast.com/t/pjPRcfaVWs5r
On Volume Profile chart. Thin Maroon lines= CLVN= Composite low volume nodes
Thick Maroon Lines= VPOC= Volume Point of Control.
Green lines= CHVN= Composite High Volume Nodes.
Orange dashed line= Open Gaps.
Re: CL futures
Quote from mfbreakout:
Here are 2 charts of cl for 10-21-201 as i like to day trade using ACD and levels. 3rd chart is of Volume Profile with some fibs.
I am trying to add Volume profile to my skill set but so far no meaningful progress. Looking for feedback as how Volume profile chart could have helped.
$CL_F scenario $$ http://j.mp/ofElgR
http://www.screencast.com/t/WlchRtLZhx
http://www.screencast.com/t/pjPRcfaVWs5r
On Volume Profile chart. Thin Maroon lines= CLVN= Composite low volume nodes
Thick Maroon Lines= VPOC= Volume Point of Control.
Green lines= CHVN= Composite High Volume Nodes.
Orange dashed line= Open Gaps.
CL futures
Thanks Samsara. I been trying to figure out how and what A and C values to use for weekly and monthly levels for CL.
Any help in that area will be appreciated. Here is a link to the video.
http://www.cmegroup.com/education/s...rips-video.html
Re: CL futures
Quote from mfbreakout:
Thanks Samsara. I been trying to figure out how and what A and C values to use for weekly and monthly levels for CL.
Any help in that area will be appreciated. Here is a link to the video.
http://www.cmegroup.com/education/s...rips-video.html
Sam, have you created a study to determine if the meat of the volume is correlated to fish meat of the market?
Reason I ask is that ACD meat of the market is the median range for price discovery that day. Does volume correlate?
Thanks Sam. Here are numbers from MF subscription service. First day of the month and 2nd half of the year.
pivot tracker
Here is pivot tracker sheet based of daily pivot range. Pivot tracker value gives clues into expected volatility. Lower the number - higher expected VOLATILITY. These numbers along with 30 days number , keep me centered as one can get easily disoriented with day trading 300-400 ticks daily moves in CL.
Re: auto trades
Quote from mfbreakout:
This video is not about ACD method but will definetly enhance execution part of ACD.
Here is real treat form one of the original master Peter Steidlmayer. Same ideas but with some nice twists to it. Basically, his new creation VOLUME STRIPS. The way electronic markets have evolved, market are back to time period of 1840's. To trade now , we need to look at Volume Strips- fascinating to say the least. Some of the quotes I picked up from his presentation.
1) Question always on his mind " Would this trade self develop"?
2) majority of electronic traders are taking 100% risk of price discovery. These Volume strips are designed to reduce the risk to 50%.
3) You want to land on supply not on price.
4) Trade new orders not new price. and many many more.
Most exciting feature per Steidlmayer is the ability to place trades ( auto trade) ahead of time and thus trade multiple instruments etc..
one thing to consider is that Peter Steidlmayer, the creator of Market Profile, no longer advocates the use of Market Profile for market analysis. While many current Market Profile practitioners may argue the point, it is at minimum, highly interesting that the man credited with its development no longer considers it viable; take that for what its worth... Steidlmayer is now suggesting the use of a new paradigm called 'Volume Strips'. You can find more information here, if interested: Steidlmayer Volume Strips: J. Peter Steidlmayer
Steidlmayer Volume Strips: J. Peter Steidlmayer
not sure why the link is not coming up active. I just watched the video. Its available on CME web site .
: Commodity Indexes
Re: Re: auto trades
Quote from Lornz:
If you're going to quote someone word for word, why don't you cite your source?
http://www.bigmiketrading.com/inves...html#post162733
Quote from mfbreakout:
Thanks Sam. Here are numbers from MF subscription service. First day of the month and 2nd half of the year.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: pivot tracker
Quote from mfbreakout:
Here is pivot tracker sheet based of daily pivot range. Pivot tracker value gives clues into expected volatility. Lower the number - higher expected VOLATILITY. These numbers along with 30 days number , keep me centered as one can get easily disoriented with day trading 300-400 ticks daily moves in CL.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: pivot tracker
Quote from mfbreakout:
Here is pivot tracker sheet based of daily pivot range. Pivot tracker value gives clues into expected volatility. Lower the number - higher expected VOLATILITY. These numbers along with 30 days number , keep me centered as one can get easily disoriented with day trading 300-400 ticks daily moves in CL.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from RCG Trader:
Sam, have you created a study to determine if the meat of the volume is correlated to fish meat of the market?
Reason I ask is that ACD meat of the market is the median range for price discovery that day. Does volume correlate?
Re: pivot tracker
Quote from mfbreakout:
Here is pivot tracker sheet based of daily pivot range. Pivot tracker value gives clues into expected volatility. Lower the number - higher expected VOLATILITY. These numbers along with 30 days number , keep me centered as one can get easily disoriented with day trading 300-400 ticks daily moves in CL.
Has anybody done any testing with the significance of different A-values?
I am amazed by how often stocks will move into A-levels and it will mark the top/bottom of that move. The moves that grind into the a levels don't hold this same type of reaction. When you get those momentum and large spread move into these levels they offer great reference points. Some times you have a stock go right through levels and other times you will get a nice fade opportunity after a failure.
IMO there is a statistical significance to these levels, this happens way too often to just be an arbitrary line!
Using a constant time for the OR along with a constant A value percentage, creates an adaptive volatility band or something that is adjusting dynamically to market volatility. When volatility(ATR) expands, the a-values and opening ranges change accordingly.
Definitely interesting stuff the more you work with it.
Does anybody know how those pivot tracker numbers are calculated?
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Does anybody know how those pivot tracker numbers are calculated?
Quote from Shanb:
Looks like they are just using tick and point values. Ticks for Crude, points for ES etc.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Quote from Maverick74:
Does anybody know how those pivot tracker numbers are calculated?
Quote from Maverick74:
Yeah they are probably tick values but over what time period? Is it a rolling period?
ACD
ACD Equities Change in Trend
High probability "change in trend" dates for top stocks in the current calendar month. Based on 15 years of historical data, it helps identify changes in both macro and micro trends.
I do not trade stocks but here is list of stocks per MF. Not sure how these stocks are selected, all MF says , these stocks are selected off 15 years of historical data.
Re: ACD
Quote from mfbreakout:
ACD Equities Change in Trend
High probability "change in trend" dates for top stocks in the current calendar month. Based on 15 years of historical data, it helps identify changes in both macro and micro trends.
I do not trade stocks but here is list of stocks per MF.
Re: Re: ACD
Quote from Shanb:
Crazy that Fisher uses some of this stuff. I guess its based off of some Gann time cycles? I know a guy that uses some of that stuff...never thought any of the big boys looked at it.
ACD
RCG, based on MF webinars and his insistence on KISS approach, I doubt it that he spend much time on Gann approach to trading.
Maybe , Elliott Wave since his best buddy Paul Tudor Jones recommends all traders working for him to read book by Robert Pretchter.
I been playing around MF concept of using his pivot MA's to get state of the market. I have not found it to be much of help so far for day trading. Here and there one does get a set up when pivot MA , pivot tracker, 30 days numbers line all line up and BOOM.
For your trading, which time frame trading crude oil you has found to be effective for day trading , 5 minutes , 30 minutes etc.. when using pivot MA and other ACD tools.
Does any one uses MF first of the month and First of the year concept and if one does, how in terms of setting up reference points for day and swing trading?
30 days cycle, as MF explained during NYMEX webinar, trading instruments tend to repeat price pattern , any one has tested it?
For crude, it seems to work more often than not.
Re: ACD
Quote from mfbreakout:
ACD Equities Change in Trend
High probability "change in trend" dates for top stocks in the current calendar month. Based on 15 years of historical data, it helps identify changes in both macro and micro trends.
I do not trade stocks but here is list of stocks per MF. Not sure how these stocks are selected, all MF says , these stocks are selected off 15 years of historical data.
CL futures
I will check with MF to see if these stocks are for may. Looks strange to keep old stocks on line.
Magic of narrow daily pivot range plus other ACD indicators.
Re: ACD
Quote from mfbreakout:
RCG, based on MF webinars and his insistence on KISS approach, I doubt it that he spend much time on Gann approach to trading.
Maybe , Elliott Wave since his best buddy Paul Tudor Jones recommends all traders working for him to read book by Robert Pretchter.
I been playing around MF concept of using his pivot MA's to get state of the market. I have not found it to be much of help so far for day trading. Here and there one does get a set up when pivot MA , pivot tracker, 30 days numbers line all line up and BOOM.
For your trading, which time frame trading crude oil you has found to be effective for day trading , 5 minutes , 30 minutes etc.. when using pivot MA and other ACD tools.
Does any one uses MF first of the month and First of the year concept and if one does, how in terms of setting up reference points for day and swing trading?
30 days cycle, as MF explained during NYMEX webinar, trading instruments tend to repeat price pattern , any one has tested it?
For crude, it seems to work more often than not.
Outside monthly still in play on SPY. This would be incredibly bullish if we get an outside month.
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Re: CL futures
Quote from mfbreakout:
I will check with MF to see if these stocks are for may. Looks strange to keep old stocks on line.
Magic of narrow daily pivot range plus other ACD indicators.
Maverick has already given some good ideas on this. Another one I have had:
Take the average distance over maybe a 20 day period between the A up and the A down(We can call this the A range I guess) and divide it by the 20 day ATR. Focus on those stocks with the "A range" being the smallest % of the ATR.
I should add that if you calculate A levels as a % of ATR this is obviously pointless. I personally have been using that noise levels indicator I posted about earlier because I understand how it is calculated, it makes logical sense to me, and seems to work better than A levels. I used A levels in my last post because that is what this thread is about but my idea actually makes a lot of sense if you use the noise indicator.
So you don't have to dig it up the noise levels are the average of a period you pick of the smaller each day of open-low or high-open.
Examples if that is confusing:
Open High Low Noise Level
10 10 5 0
100 105 70 5
100 130 90 10
In case that was still confusing the idea is to find stocks that on average have the most move left after hitting an A level, however you choose to calculate it.
Oh and that last point you made about prefering to trade A failures, is just style preference as Maverick has pointed out. If you wanted to trade failures you might want to sort stocks by ones that on average will have the least movement left after a level breakout based on ATR.
Re: Re: CL futures
Quote from mdl060374:
It says May on the sheet.
Anyway, I found it strange that some of the cheaper stocks were listed.
I agree with Maverick's earlier post about equities being a challenge with ACD. Looking at alot of them, they run up/down at the open, and then chop/retrace. There doesnt seem to be alot of opportunity, or waiting for confirmation. Even with a 5 min OR.
Does anyone have any advice for product selection when it comes to stocks? To me, studying past behavior (frequency of ADR being a minimum %) seems good. But I am kind of stumped on this.
From looking at the majority of stocks, my inclination is to say trading failures (wider A levels, and underlying OR) is the way to go. But this kind of goes against the nature of ACD primarilybeing a trend following system I know he says that sufficient liquidity and volatility are the requirements, but it doesnt seem enough to cull down your universe.
Quote from baggerlord:
In case that was still confusing the idea is to find stocks that on average have the most move left after hitting an A level, however you choose to calculate it.
Oh and that last point you made about prefering to trade A failures, is just style preference as Maverick has pointed out. If you wanted to trade failures you might want to sort stocks by ones that on average will have the least movement left after a level breakout based on ATR.
Quote from Shanb:
I have not been able to get snywhere with stocks just yet, very interested in futures though
I am listening, if you have specifics to look at w/ futures!!
Has anybody done any testing with the significance of different A-values?
I am amazed by how often stocks will move into A-levels and it will mark the top/bottom of that move. The moves that grind into the a levels don't hold this same type of reaction. When you get those momentum and large spread move into these levels they offer great reference points. Some times you have a stock go right through levels and other times you will get a nice fade opportunity after a failure.
IMO there is a statistical significance to these levels, this happens way too often to just be an arbitrary line!
Using a constant time for the OR along with a constant A value percentage, creates an adaptive volatility band or something that is adjusting dynamically to market volatility. When volatility(ATR) expands, the a-values and opening ranges change accordingly.
Definitely interesting stuff the more you work with it.
OK, I'll throw out a bone here. For stocks, the best way to look for good confirmed A ups and A downs is to look for narrow open ranges. You want to program this into a ratio. Take the OR into say a 30 day ATR. Then run the scans during the day to find the tightest ratios, for example all stocks under 20%. From this list, you look for confirmed A ups and A downs. Combine that with stocks with narrow pivots or narrowing pivots, and you will find your breakouts.
To further add to this, you can do the same process with stocks using a 30 min OR and look for late morning breakouts which actually tend to have more follow through then the early morning breakouts or breakdowns.
The problem with the failed A trades is noise. There just are too many of them and you will never find the best ones nor will you have any ability to filter for the nice ones. They will all be random. The breakout trades can be isolated. For example, you can get very very narrow by lowering the OR/ATR ratio to 15% or 12% to really fine tune the breakouts. You can't do this with fade trades. Simply looking for stocks with wide OR is meaningless because some will provide great fades and some will not. That's like saying the market might go up today or might go down. This will become very frustrating over time the sheer randomness of it.
Anyway, just a thought...
__________________
"Of all the gin joints in all the towns in all the world, she walks into mine." Rick Blaine
Does anybody have an indicator to plot A-levels on thinkorswim(specified to your parameters). I'm finding it cumbersome to put new a-levels on every symbol that I am watching or pull up!
Quote from Shanb:
Does anybody have an indicator to plot A-levels on thinkorswim(specified to your parameters). I'm finding it cumbersome to put new a-levels on every symbol that I am watching or pull up!
Bonds made a nice A up today, with the added kicker of being an "A up through the pivot." (15 min OR, 16/32 A value)
Natural Gas was tricky - made a confirmed A down (A down WAS the pivot), but quickly reversed. An aggressive trader probably could have turned the whipsaw loss into a breakeven day or small net gain by reversing as it blew back through the pivot. (15 min OR, 25 tick A value)
Mav is right about following a lot of markets - CL, ES, HG were less than ideal today. (Possible failed A down trade on CL, but you would have to hold uncomfortably close to consumer confidence number.)
(Just so I'm being completely above-board here - these