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and the last one, FGBL 2011/10/05, again reversal 1 or 2 ticks above A up

follow up, FGBL 2011/10/07, reverted 1 tick above A up

follow up, FGBL 2011/10/13, reverted exactly at the A dn

follow up, FGBL 2011/10/17, reverted exactly and then near the A dn

I'm following the German Bund Future (FGBL) for some time now, looking at intraday ACD values. What I noticed is that using my parameters (opening range 15min, 5 day ATR, ATR-multiplier 0.20) the market quite often reaches the A value (nearly) to the tick and reverts, providing a good fading...

A related question to all: When you calc monthly / quarterly values for A up / dn, do you use backadjusted contracts for the ATR calculation in order to have enough history or only data of the specific contract? E.g. for the above example, would you use only data from the CLZ11 contract or use a...

Maverick, Quon thanks for your replies, so I can imagine you apply the number line concept only to a limited number of markets (hard to follow and track the number line value for numerous markets each day)?

For all of you that look at the number line values: Do you have some kind of spreadsheet were you manually put in all values for each day and market that you follow? Or do you have that automated, i.e. you automatically get the number for each market? In some cases the values might be quite...

here's a link to the book (I'll remove the file by next week, so pls. download soon) http://dl.dropbox.com/u/11853547/Toby%20Crabel%20-%20Day%20Trading%20With%20Short%20Term%20Price%20Patterns.pdf

Register (it's free) and login at: https://www.sp-indexdata.com/idp/LoginAction.do Then go to the tab "US", at the bottom you can download excel files for the constituents of all these indices you mentioned for each day of the last year.

I just recently posted this in another thread, here's a chart for the S&P500 future: http://www.elitetrader.com/vb/attachment.php?s=&postid=3309115 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 and then...

thanks for the explanation and the chart kinggyppo, and regardless of the exact numbers it was a nice trade!

I received a pm asking whether I did the study for monthly highs/lows I posted here also for weekly data. Thought I post the results here in case other users are also interested. It covers the same futures markets as for the monthly study. Limitation is, that I did the analysis on daily...

okay thanks for the info

General question: At the beginning of a week/month/quarter when you don't yet have values for A up / A dn, do you wait until you have these values (e.g. after one day for monthly values, few hours for weekly etc.) for your trading decisions? Or do you for instance use the values from the...

Hi kinggyppo, I'm not sure how you come up with your pivot range. As you use (high-low)/2 instead of (high+low)/2 I assume you use a different method than Fisher describes in his book? The pivot range according to Fisher would be as follows: pivot = (h+l+c)/3 = (127.54+119.48+124.54)/3 =...

I don't know how good your programming skills are, but when looking at EOD data you maybe could even write something on your own. For daily data you could use CSI which is a cheap reliable data source (they are also the data provider for Yahoo and Google) and the advantage of such a solution is...

acdtrader, I calculated the stats for the ES (S&P500 future), the results of the distribution are actually not much more than you did, just for each bar during the day.The ES is open for 6h 45min (RTH), so this gives 81 bars when using 5min bars, now I calculated the probability of making the...

Thanks, which time for the OR did you use in your study? 15min? I think your analysis goes into the same direction as what I posted on 09-23-11 (see result for ES here: http://www.elitetrader.com/vb/attachment.php?s=&postid=3309115 ) Using an OR of 15min would give a percentage of 33% for...

here's the rest of the separate high/low values for the futures (if a symbol is unclear just let me know, URO is EUR/USD future, but most are standard anyway)