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The ACD Method
- Thread starter sbrowne126
- Start date
for those of you who are more options inclined....
http://www.cmegroup.com/trading/energy/crude-oil/futures-style-brent-crude-oil-options.html
http://www.cmegroup.com/trading/energy/crude-oil/futures-style-brent-crude-oil-options.html
Thnx for the links guys.
1) Confirms A Up or Down
2) fails one side, then confirms the other side
3) Confirms one side, then confirms the other side
Are you ignoring where the price settles and stop out/bias shift points (B and D) completely? What is your reasoning behind this? Have you done any comparative study to determine if this is better than the original number line?
Did not make myself clear. Three price states, depending on how price behaves and provided it finishes outside the OR. I'm not terribly hung up on the B/D business, but I must point out I do not score mechanically, so there is a lot of discretion used. Reasoning is I think Fisher's scoring is needlessly complicated, and I'm interested in using the concept in a simplified fashion.Are you ignoring where the price settles and stop out/bias shift points (B and D) completely? What is your reasoning behind this? Have you done any comparative study to determine if this is better than the original number line?
My scoring is completely different, so I checked what my system was telling me against what the standard system was telling me, over a period of 3 months across a range of instruments. This was more than a couple of years ago, from memory Correlation was better than +0.9.
But you, and anybody else who wants to simplify Fisher's method will need to do your own work. I'm just sharing a concept. If you don't analyse and test it, it will be a meaningless number to you. As has been said many times before, we use different OR start times, durations and different A levels. Even if we all stuck to the standard scoring, I might have a 0 on a day you have a 4, simply because I use a longer OR and have a proprietary method of setting my A levels based on current volatility.
Mav, thanks to Google I found this from a while back.I actually use different time confirmations on different products and I use different time confirmations regarding number line purposes and trading purposes. So there is no cut and dry answer. I guess I can ask, are you referring to time frame for purposes of scoring number lines or for actual intra-day trading.
Most of my trading is swing trading, so I use a longer OR and wider A level for scoring number lines for that. I've been experimenting with day trading FX, and longer OR/wider A levels don't work for day trading FX as they use up too much of the ATR and mess up R:R too much.
In your experience, has using a different/shorter OR and tighter A level for intraday trading worked out well? There's going to be a bit of work involved in optimising all this, and it would be nice to have a heads up about any pitfalls to watch out for.
Mav, thanks to Google I found this from a while back.
Most of my trading is swing trading, so I use a longer OR and wider A level for scoring number lines for that. I've been experimenting with day trading FX, and longer OR/wider A levels don't work for day trading FX as they use up too much of the ATR and mess up R:R too much.
In your experience, has using a different/shorter OR and tighter A level for intraday trading worked out well? There's going to be a bit of work involved in optimising all this, and it would be nice to have a heads up about any pitfalls to watch out for.
I use tight OR for intra-day and for the purpose of scoring on all products except FX. For FX since it's a 24 hour market I use a wider OR both intra-day trading and for longer term scoring. Something I should point out for others here is, you can use whatever OR you want and simply calibrate your number lines accordingly. In other words, use a fixed OR for everything under the sun. Then collect data on everything you trade and calculate the mean number line value over time. Different products will have different means. Then based on these means, you can determine where you want your "signal" to be. So for crack spreads it might be +/- 4. For indices it might be +/- 12, for FX,it might be +/- 15,etc. You don't have to always calibrate using OR time. Get creative!
I'm looking for a tighter OR for FX for day trading. After a few weeks of live testing, I'm finding that by the time I get directional confirmation with my current settings, anywhere from a third or more of the days ATR is gone, leaving limited reward for a day trade. Looking to cut that down by half or more so there's more juice left for the trade.I use tight OR for intra-day and for the purpose of scoring on all products except FX. For FX since it's a 24 hour market I use a wider OR both intra-day trading and for longer term scoring. Something I should point out for others here is, you can use whatever OR you want and simply calibrate your number lines accordingly. In other words, use a fixed OR for everything under the sun. Then collect data on everything you trade and calculate the mean number line value over time. Different products will have different means. Then based on these means, you can determine where you want your "signal" to be. So for crack spreads it might be +/- 4. For indices it might be +/- 12, for FX,it might be +/- 15,etc. You don't have to always calibrate using OR time. Get creative!
I'm looking for a tighter OR for FX for day trading. After a few weeks of live testing, I'm finding that by the time I get directional confirmation with my current settings, anywhere from a third or more of the days ATR is gone, leaving limited reward for a day trade. Looking to cut that down by half or more so there's more juice left for the trade.
I only fade FX stuff. So case in point, OR should be set based on what your objectives are.