The ACD Method

Discussion in 'Technical Analysis' started by sbrowne126, Jul 16, 2009.

  1. DT3

    DT3

    Fly=butterfly right?

    Long one itm, short two itm, buy one otm or am I wrong?
     
    #10121     Aug 21, 2015
  2. Max E.

    Max E.

    You make anything of that afterhours move on the ES? I was double long at 1974, now triple all in long at 1972 cause i added a ton at 1968.25, its looking a little sketchy, but i just cant see us going clean through this 1970 area.


    [/QUOTE]
     
    #10122     Aug 21, 2015
  3. Maverick74

    Maverick74

    1 x 2 x 1

    Can be ITM or OTM.
     
    #10123     Aug 21, 2015
  4. Maverick74

    Maverick74

    [/QUOTE]

    After dropping 60 handles during the day, I would not even notice a 4 handle after hour move. :)
     
    #10124     Aug 21, 2015
  5. Max E.

    Max E.

    After dropping 60 handles during the day, I would not even notice a 4 handle after hour move. :)[/QUOTE]

    Yeah good point, i just didnt like how it rejected that attempt to gap through 1975, but this day has been stressful as fuck.going long all day fighting the trend and trading my way out, i sure wish i didnt make things so difficult all the time, lol. :D
     
    #10125     Aug 21, 2015
  6. Maverick74

    Maverick74

    This is an outstanding article by Brett Steenbarger that highlights everything I talk about here regarding to trading:

    "Why Trading Financial Markets Is So Difficult"

    Yesterday was one of my better days of the year trading ES, and a large part of the success consisted of *not* following my process. Therein lies a tale and why so much common wisdom in trading psychology is horseshit.

    First off, there is an underlying message you'll hear from every furu: trading markets is really easier than you think. Why is this the meta-message? Because the furu needs to appeal to the quick money crowd. There's no sexy message if you tell people that trading is difficult; that even the world class traders have losing periods; that it takes years to master any craft. So the furu goes after the people who *don't* want to work for a living. After all, what more alluring message to send than, "it's really easy...all you need to focus on is X."

    Well, it's not easy and there's one major reason for why markets are so difficult to trade: they are always changing. The market you traded two weeks ago is not the market that traded for the past two days.

    Above is a chart where each data point represents 50,000 ES contracts. It covers the period from 7/1/15 to the present. Note how the rules that would have made you money very early in the period are different from the ones that succeeded in the middle of the period and extremely different from what has succeeded most recently.

    I build quantitative models of the ES market. The backtests for those short-term models have gone back to 2014, as this has been a relatively stable (stationary) regime (i.e., a stable set of rules has been predictive of forward price movement). As we went from trading Thursday to Friday, it became clear that the models (which generally put you long in oversold, higher volatility environments and short in overbought, lower volatility periods) were not working. They were not working because the price action in the market was not typical of the price action from which the models had been derived. Only the October 2014 period was similar, but even there important differences were present.

    (Parenthetically, we closed Friday with fewer than 5% of SPX shares trading above their three- and five-day moving averages and fewer than 10% trading above their 10-day moving average, with VIX having soared to 28. That price action is much more similar to 2010 and 2011 conditions than 2014-2015 ones).

    So I disregarded the model output and instead turned to my research that identifies when we have a likely trend day. The persistent hitting of bids on expanded volume was indeed present and led to a good afternoon short trade. If anything, the models would have had me hunting for bottoms.

    I did not follow my process because I have a meta-process for adapting my process. In other words, I am constantly scanning to see if this time really is different so that I can adapt to changing conditions as quickly as possible. I don't want to be trading mean-reversion (which worked well through much of the period of the chart above) when we're now in a trend/momentum environment.

    This is why trading is so difficult. In most performance fields, we can count on stability: the pitching mound does not go from 90 feet from the plate to 60 and then 120. The basketball hoop does not go from 10 feet high to 12 and then 8-1/2. The rules of chess are constant throughout tournaments; the rules of markets can change over the course of a week.

    Success can come from faithfully following your trading process. Ongoing success comes from quickly recognizing when that process needs to adapt.

    http://traderfeed.blogspot.co.at/
     
    #10126     Aug 22, 2015
    samuel11, kinggyppo, wow12 and 2 others like this.
  7. you had a post a while back trying to open the thread a bit, there was a thread called global macro trading which was interesting to follow as a lurker. Per the usual et way it degenerated
    into arguing about nonsense, but still was an insightful thread. (Mav I don't see any chart attached on es). I was going to comment that in the markets there is always a story of the day, while there is alot of noise in the news but this is a valuable idea. So China is the story of the day, week etc. What I try to do is look at a bunch of news services and see if they are talking about the same thing. This lets me know that the "powers that be" large traders are aware of this. I am wondering how the big firms are thinking about China, is this a pause in the bull, or regime change, like you said this is where you can get killed...choo choo. Second oil, low low oil under $30 is a major sign of deflation globally, how would you like to be in emerging markets right now. Jim Rickards has written some great stuff on currency wars which is simply dropping the currency to expand exports. Hello Japan; China devaluing its currency is probably the biggest macro story this year along with oil. Nasty weekly candle on es.
     
    #10127     Aug 23, 2015
  8. Max E.

    Max E.

    Well just realised my worst trading loss of the year, to go along with my firm losing all my money in my other account last week. :( time for a week off, that was just a stupid trade in hindsight, i knew when we didnt immediately start trading off fridays lows in the afterhours that thhe trade was going to be in trouble.
     
    #10128     Aug 23, 2015
  9. everyone gets caught here and there, this last sell off was pretty quick and caught many people long, we'll see what happens.
     
    #10129     Aug 23, 2015
    Max E. likes this.
  10. wow12

    wow12

    Max don't let it get too just take it with pinch of salt and as learning experience ( i remember in my poker days knowing when your "tilting" and knowing to walk away from the table was usually the optimal strategy to pursue ) ,Max just regroup and reassess and from what i have read from some of your previous post and the amount of money you where racking in suggests your a tremendous trader probably better than 95% of individuals at ET;).
     
    #10130     Aug 23, 2015
    Max E. likes this.