The ACD Method

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

  1. Well I assume we have been all busily studying Currency Trading and Intermarket Analysis instead of posting here. Just wanted to say that I was reviewing my code and found a mistake and once fixed it shows a higher (around .65) correlation between 5 min OR and daily range than I posted earlier. I did say I was completely new to this stuff...Interesting to me, the 5 min range has a greater correlation with the larger of the two moves from the open (daily high-open and open-daily low) than it does with the smaller. (.6 vs .4) This is for ES since 2009.
     
    #13011     Mar 24, 2017
  2. Since 2009.
     
    #13012     Mar 24, 2017
  3. And this was mostly for fun to learn some new code but here is scattergraph of ES 5 minute opening range vs regular market hour range, with individual distributions on subgraphs.

    Main x axis: 5 min opening range
    Main y axis: day range

    Top y axis: count
    Right x axis: day range

    I cut out the outlier days to be able to see the scatter better.
     
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    #13013     Mar 24, 2017
  4. And here is regression analysis. It's been about 15 years since my college stat classes so I'm refreshing that knowledge lol.

    ES since 2009
    x axis 5 min opening range
    y axis NY market hours range
     
    #13014     Mar 25, 2017
  5. Maverick74

    Maverick74

    There has been more focus on the OR in the last two pages then the previous 1000. LOL.
     
    #13015     Mar 25, 2017
    redbaron1981 likes this.
  6. Yeah I tend to go nuts on 1 topic at a time. Numberline is next once I finish some code I'm struggling with. I hope I'm not bugging anyone with this stuff.
     
    #13016     Mar 25, 2017
  7. Maverick74

    Maverick74

    Slightly off topic. Just noticed that TOS added NG financial options vs the physical. The financial options are much more liquid. Carry on...
     
    #13017     Mar 25, 2017
  8. Bagger,

    Which part of the code are you struggling with? I may be able to point you in the right direction.
     
    #13018     Mar 25, 2017
  9. Its actually going pretty well. I'm done with the code to score the NL, I'm just trying to write an application now to run the code on a group of instruments at once and output to one nice neat file. The real struggle is with my job. It really eats up my time them wanting me to work instead of playing on the computer. :) I really appreciate the offer and if I hit a real stumbling block I'll ask.
     
    #13019     Mar 25, 2017
  10. I like the "group of instruments" bit, because whilst I'd like to tell you Mav was the first to extol the virtues of trading multiple instruments, a member who is no longer here first enlightened me that "something is always trending", meaning there is always something that's a good bet.

    Trying to squeeze all there is from an instrument that is in the 1st-5th decile of daily range can never be as appealing as harvesting the riches of those moving in to the 8th-10th decile. The shifts in the number lines point the way.

    'Nuff said.
     
    #13020     Mar 25, 2017