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.
Ok, interesting. More food for thought. Maybe I'll do as you suggested and stick with daily stuff for now until I get a little more screen time under my belt. Give me a chance to think about weeklies and monthlies. As always, much appreciated Maverick
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.
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
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.
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?