RCG, are you seeing anything interesting in FX land? What are you watching?
The ACD Method
- Thread starter sbrowne126
- Start date
Over the last 2000 trading days in the SPY the 5 min opening has a slightly greater than random correlation (.16) with range vs 20d atr. So a bigger open range causes bigger range compared to ATR, but it is so slight it is probably not an edge.
Based on some other stats I looked at, it looks like volatility increases across all timeframes when ATR goes up, and nothing really is meaningful on a day to day basis. By that I mean volatility will go up overall for months at a time and intraday changes in volatility have no predictive value.
Big and small move correlations are pretty much the same.
Basically nothing predictive.
Based on some other stats I looked at, it looks like volatility increases across all timeframes when ATR goes up, and nothing really is meaningful on a day to day basis. By that I mean volatility will go up overall for months at a time and intraday changes in volatility have no predictive value.
Big and small move correlations are pretty much the same.
Basically nothing predictive.
First, before I release this, I should say why.
I was going to PM you will this data but then I looked back and realized that you are about getting guys off the hamster wheel. It is why we are all here. I have a pretty cushy job, and pretty much have others push the wheel for me, but I am still on it. No matter how cushy the hamster has it, eventually they realize they are still in a cage.
So I have personally thank you and Fish. Fish for writing the book and doing seminars, you for carrying the Olympic torch for the method.
You have, in fact, given enuf info for guys to make a living 10 times over.
Here is my bone. It is a chicken bone, but here it is.
Set your charts in FX to 24hr increments for USDCHF, with the start at 0930. With this setting it will be found that this pair will close in the direction of the initial move, if the open is within 30 pips of the high or low, 51% of the time. It has been doing this since 1997.
This is a quote from him:
"The first hour in the ES develops as follows:
OR-time...percentage (high or low)
5min: 21%
10min: 28%
15min: 33%
20min: 37%
25min: 40%
30min: 43%
35min: 48%
40min: 51%
45min: 52%
50min: 55%
55min: 56%
60min: 57%"
My findings fall right in line with that. I'm not suprised that the first 5 min bar has the best odds as my stats have shown that the opening price and initial movement away from it is far more signifant than anything else. I actually am quite satisfied at this point that there is no value in using an opening range. I think the opening price is far more meaningful, not to mention simpler.
Having said that, I don't think you can go too wrong using an opening range, but only because it contains the opening price.
From here on I am going to focus on fine tuning the "A" levels. IE does 20day ATR have much impact on small and big move distributions, that sort of thing. Maybe open vs pivot range and directional bias. For now I have to go to work though. Happy trading this week everybody.
RCG, is this 9:30 pm or am? I assume central time?
No, it is New York time, 0830 in our time.
My monthly A up in Gold is 1788.50. My weekly is 1803.50. Watching this closely. The only concern I have is the number line.
Yeah, I've been wanting this thing in my more speculative account. I'm looking for a weekly and daily A confirmation (already above monthly for me), which is pretty far away from here. I normally have an OK time buying into strength, but it's not easy with gold, particularly when it's gappy and you've got levels that require RTH only trading.
I really gotta start getting on that number line, I think.
As a price action trader, Gold is the hardest thing for me to read. Because on any given day, gold flips back and forth between a risk asset and a flight to quality asset.