You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
The ACD Method
- Thread starter sbrowne126
- Start date
Flip, are you a mean reversion trader? You want to be careful not to change your trading style simply because you notice some ACD patterns that seems to work.
Quote from Maverick74:
Flip, are you a mean reversion trader? You want to be careful not to change your trading style simply because you notice some ACD patterns that seems to work.
Well, yes and no - mean reversion yes, but only within equity indices where I think there's quite a strong mean reversion behavior (intraday and daily up to a few days). On the systematic side FGBL is typically a traditional trend following market for me, both on an intraday as well as daily time frame
Quote from flip:
Well, yes and no - mean reversion yes, but only within equity indices where I think there's quite a strong mean reversion behavior (intraday and daily up to a few days). On the systematic side FGBL is typically a traditional trend following market for me, both on an intraday as well as daily time frame
OK, I was just asking because no matter how precise the ACD levels look, it's really hard to trade in a style in which you are not use to. It always looks easy after the fact on select days, but in the end, you have to trade in a way that comes natural to you or you won't be able to pull the trigger.
Nice Bund charts btw.
Quote from Maverick74:
OK, I was just asking because no matter how precise the ACD levels look, it's really hard to trade in a style in which you are not use to. It always looks easy after the fact on select days, but in the end, you have to trade in a way that comes natural to you or you won't be able to pull the trigger.
Nice Bund charts btw.
Yes that's definitely the temptation, looking at a few charts, picking the days where it worked and forgetting about the rest...
Bund has had a few nice trend days, also in the charts I posted there were definitely some good trend trading opportunities (A up/down breakouts, 2011/10/05, 2011/10/13, 2011/10/17)
Quote from flip:
Yes that's definitely the temptation, looking at a few charts, picking the days where it worked and forgetting about the rest...
Bund has had a few nice trend days, also in the charts I posted there were definitely some good trend trading opportunities (A up/down breakouts, 2011/10/05, 2011/10/13, 2011/10/17)
Flip, I do not trade German Bunds as its trading hours does not suit me. Looking at MF 30 numbers, may also give some clues. These from 10/05 till 10/18.
7,3,1,0,-3,-2,0,-6,-4,1.
I do not think failed A up or A down has to be exact to the tick. To me more important is the time filter. MF recommends using following values
A= 8 C= 5 OR= 15 minutes. 2 am till 4pm for trading hours.
By the way these A and C values have not changed for the entire 2011. looking at other instruments like ES, NQ, CL etc... their values have not changed for 2011 either.
Quote from mfbreakout:
Flip, I do not trade German Bunds as its trading hours does not suit me. Looking at MF 30 numbers, may also give some clues. These from 10/05 till 10/18.
7,3,1,0,-3,-2,0,-6,-4,1.
I do not think failed A up or A down has to be exact to the tick. To me more important is the time filter. MF recommends using following values
A= 8 C= 5 OR= 15 minutes. 2 am till 4pm for trading hours.
By the way these A and C values have not changed for the entire 2011. looking at other instruments like ES, NQ, CL etc... their values have not changed for 2011 either.
mfbreakout, thanks for providing the MF recommendations which I find quite interesting and honestly a bit surprising.
When I'm using my values as outlined above (5 day ATR, multiplier 0.2) the values in 2011 fluctuate between 12 and 48 ticks, average is ~18 ticks. So this means he uses a far far smaller multiplier, must be in the range of 0.08 to 0.10 for the A value. But okay, might be a different trading approach. However, what I find more puzzling is that he didn't adjust the values as they fluctuated quite a bit in 2011, see attached chart (3 different ATR lengths: 5/10/30 days)