The ACD Method

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

  1. I interpreted it the same way. It was an excellent, insightful post after all.
     
    #11581     Jun 11, 2016
  2. Maverick74

    Maverick74

    Ahh OK. LOL. I see number lines everywhere. When you throw a product out there I'm going to spit back a number line. LOL. Exciting life I live. :)
     
    #11582     Jun 11, 2016
  3. RRY16

    RRY16

    You are correct...sorry for the mixup but appreciate the effort on the Gold NL.
     
    #11583     Jun 11, 2016
  4. Nothing wrong with that, I just spent my whole Friday and Saturday writing code and drinking coffee so I could backtest certain ACD stats lol...

    I am going to share some data with everyone here. I won't make this a regular habit because I do not want to pollute this thread. Everyone comes here to hear Maverick74 anyways...

    My backtesting was on the SPY. These are intraday studies. The OR=20min. The ATR=5 Days and the % of ATR=20%

    On any given day closing above or below an A Value is in fact a coin flip (48%), this is not news to anyone.

    You can expect on average to have 4 "big" days per month. "Big" is defined as closing above or below a multiple of an A Value. In this case ATR_20%*3. So an A Value multiple of 3.

    From a seasonality perspective October appears to always be a very strong month for the traditional ACD Method over the last 3 years.

    Here is something counter intuitive:
    You should not look to do fade trades after a "Big" day. In fact there is a 67% chance of closing above or below an A Value after a "Big" day. The power of the fade is in looking to fade at a price beyond a multiple of an A Value (I understand I am veering away from traditional ACD stuff now)

    If yesterday was a "Big" day then I want to look to fade when the price is beyond an A Value multiple greater than 1. My profit target should be the traditional A Value. This is because the odds of having two "Big" days in a row are slim. If you look to fade right at the traditional A Value then you will get hurt. Trying to do it beyond that value suddenly makes things better lol

    Like Mark says, you will never take the "knock out punch" with his method. Many small losses and a few big wins every month (around 4 on average).

    p.s. when I say "A Value" that means both the A Up or A Down regardless of direction.
     
    #11584     Jun 12, 2016
  5. One more observation, rather than looking to fade when the OR is a higher % of ATR (like 50%) here is a set-up that applies to A Downs only. The S&Ps have an upward drift that everyone knows about, this might explain the high failure rate of A Downs when the OR is 25% or less of the ATR. My stats show a 70% failure rate for unconfirmed A Downs when the OR is low.
     
    #11585     Jun 12, 2016
  6. Maverick74

    Maverick74

    Long vol trade continues to work...
     
    #11586     Jun 13, 2016
  7. #11587     Jun 13, 2016
  8. Maverick74

    Maverick74

    #11588     Jun 13, 2016
  9. What's the advantage of leaving the currency is not part of the euro, just curious.
     
    #11589     Jun 13, 2016
  10. koolaid

    koolaid

    Seriously...isn't all of this just a formality? Whether or not Britain is "classified" as in the EU or not doesn't even matter. Britain has never used the euro.
     
    #11590     Jun 13, 2016