ACD--Is it the Method to The Madness?

Discussion in 'Strategy Building' started by amex2, Apr 29, 2007.

  1. amex2


    Mark Fisher's book, which is the dissertation to the ACD Method became a bible for more than half of the traders on the NYMEX and NYBOT floors, and the approach to trading that Fisher developed for his own use is getting alot more attention lately.

    Its not merely a system that relies on analyzing opening range prices that in turn, provides a roadmap for short term strategies, but it incorporates a lot of basic logic that even the most disciplined traders tend to overlook.

    Fisher is nobody's fool.. he's built quite a trading empire and just about everyone that knows him says he walks on water..
    The subscription service provides daily analytic tools and very solid indicators..The first 30 days are free, and the quarterly pricing of $500 is very inexpensive, one trade pays for the entire service. Don't subscribe without reading the book first!
  2. chud


    Thanks Mark.
  3. WinSum


    Are there any chatroom where experienced ACD traders hangs out ?
  4. amex2


    I haven't found any chatrooms devoted to ACD just yet, but hopefully, elitetrader audience will contribute accordingly. this seems to be as good as any place to host a discussion area!
  5. eraci


    In <logic trader> chapter 1 which is freely available, Mark fisher claims that if market is following a random walk, then the morning 15 minutes has 1/26 likelihood to have seen the top (or bottom) of the day.

    And then he went on to claim that it is actually much larger a proportion, thus the opening range is a much more important piece of the puzzle.

    I can't help but laugh at this stupid claim. Only people who are poorly trained mathematically would believe this claim and take it at face value.

  6. Do you believe it's a random walk?
  7. eraci


    I don't believe it is a random walk. I just thought that the motivating rationale Mark put in his book is false. Essentially, knowing that the first 15 minutes can see the overall top over 1/26 of the time does not disprove the random walk hypothesis.

    That's the entire point I was making.

  8. Ok I got your point and can't argue with it. That particular logic seems flawed, but I don't think that alone would invalidate the system (not that you were saying that it did).
  9. Ahem..., perhaps you'd like to cast your eyes over this then (see attachment) ...

    Although MF's logic is flawed, the result is correct. This is known as the arcsine law and is as old as the woods. What the paper shows is that empirical evidence (at least at the LIFFE) suggest that there is an even higher probability of the H/L occurring at the beginning of the trading session than expected by the arcsine law on lognormally distributed intraday returns following a GBM (big assumptions). From theory and practice we infer a "U" shaped curve.
    • hl.pdf
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  10. There have been multiple threads on this subject here. Some, including myself have tested these methods and found that if they may have worked well in the past but don't work so well today.

    That's not to say they won't work again though but the low volatility environment has rendered lots of previously useful strategies worthless.

    #10     May 2, 2007