The ACD Method

Quote from Maverick74:

I'm going to post the monthly levels for some of the bigger names.

JPM 32.87

MS 16.22

BAC 6.10

C 29.37

GS 101. 46

C, MS and JPM above their monthly A ups already.
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Maverick for monthlies, are you basing them off of the first trading day of the month?

I ask b/c I am going through daily charts, and Tradestation has an indicator which can highlight the first day of teh month, as well as week.

I am looking at charts, and maybe I am fooling myself by seeing "what I want to see", but from looking at it, once the market moves away from the that 1st day range, it seems to have some short term follow through, and rarely is breaking through to the other side once a direction is picked..

Again, I could just be fooling myself, but it does seem like a solid S/R level.


(for example, I pulled one of your holdings to try to get into your head :) and look at the chart of VMW, and this phenomenon was pretty clear with this stock.. )


for some reason I cant post the chart :(((
 
Hi,

I'm still doing some research, improving my own indicators based on ACD and I thought it would be useful to share some data that would help newcomes to better understand what ACD is about.

The core of ACD is taking advantage of a simple but powerful characteristic of markets: the opening range is the high or the low of the day more often than it could be expected if price movements were random (or better said, a non-stationary stochastic process).

Fisher tries to exploit this characteristic defining the "A values", prices that once crossed up or down improves the chance of a successful trade in that direction.

Over this concept more and more layers are built but all of them aim in the same direction: improve the probability of raiding a winning trade. Find characteristics that are statistically relevant and press on the gas when they are aligned.

To put a real life example, YTD in the IWM, given an opening range of 20 minutes and an A Level of 0.3, a dumb strategy that goes long/short when the A line is crossed and closes the position at the end of day had a w/l ratio above 50%. Of course, the drawdowns of such a simple strategy are huge, doesn't adapt well to changes in volatility or trend, and is very likely you'll lose money with that one. You can find attached the cumulative profit of this simulation. The important thing to keep in mind is that this strategy trades just once in a day and wins more times than it loses!!

Refining the previous strategy adding other concepts minimizes the number of lousy trades in the same instrument and creates smooth equity curve, I'll attach the graph of the refined strategy in the next post.

Hope it helps as an introduction!
 

Attachments

hi, I've been reading through about a hundred pages or so of this thread, so I'll just ask. Are there any working links to any of fisher seminars, I have the 2003 one, but even his site took down the 2008 videos. Also the one he did at last years money show was good but the money show took that down too. Figured I'd ask..I can listen to him for hours.
thanks
 
Quote from mdl060374:

Maverick for monthlies, are you basing them off of the first trading day of the month?

I ask b/c I am going through daily charts, and Tradestation has an indicator which can highlight the first day of teh month, as well as week.

I am looking at charts, and maybe I am fooling myself by seeing "what I want to see", but from looking at it, once the market moves away from the that 1st day range, it seems to have some short term follow through, and rarely is breaking through to the other side once a direction is picked..

Again, I could just be fooling myself, but it does seem like a solid S/R level.


(for example, I pulled one of your holdings to try to get into your head :) and look at the chart of VMW, and this phenomenon was pretty clear with this stock.. )


for some reason I cant post the chart :(((
More...

You are trying to reverse engineer my sh*t? What the hell!

Yes, I use the first day of the month. I hope you are happy now. :)
 
Quote from Maverick74:

You are trying to reverse engineer my sh*t? What the hell!

Yes, I use the first day of the month. I hope you are happy now. :)
More...

:D

To be honest, I just started looking at weekly and monthly levels. Even as a day trader, I was curious. It kind of opened my eyes to new things.
 
Quote from Maverick74:

Should have known not to post my positions. I guess the King is going to start riding my tail too now huh. :)
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I wouldnt worry about me, I am not even trading ACD live yet.. Stil trying to develop some things b/4 I go live.. Besides. I am not trading any size anyway.

THanks for your help with all this stuff the last few months. It is very appreciated.
 
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