The ACD Method

Quote from Shanb:

Thanks John. One of my main problems is that I am taking alot more than two trades in every instrument. For example on an a fade trade I might try to position for a fade...stopped out...try again...stopped out and then on the third attempt I will catch the move. But I am using them on the following attempts and getting caught in the stop runs.

I need to really wrap my head around keeping it simple and trading less! ACD is great in that it keeps you from overtrading, need to beat this into my head lol.
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Over trading has sunk more ships for daytraders then anything else. Remember less is more. Fisher talks about the concept of "next". Meaning trade A does not work out, say next, and move to trade B. Don't dwell on one stock. As a daytrader, stock selection is so important. Much more important then entry's and exists and stop levels. If you are in the right stocks, it really doesn't matter where you get in and out, you're going to make money.

Do not keep trading the same stock over and over again. What I like to do is use a stop that is wide enough so that if I get stopped out, it actually repudiates the original signal. Therefore leaving no possibility of taking another trade in the same direction. That makes things very easy.
 
Quote from Maverick74:

Over trading has sunk more ships for daytraders then anything else. Remember less is more. Fisher talks about the concept of "next". Meaning trade A does not work out, say next, and move to trade B. Don't dwell on one stock. As a daytrader, stock selection is so important. Much more important then entry's and exists and stop levels. If you are in the right stocks, it really doesn't matter where you get in and out, you're going to make money.

Do not keep trading the same stock over and over again. What I like to do is use a stop that is wide enough so that if I get stopped out, it actually repudiates the original signal. Therefore leaving no possibility of taking another trade in the same direction. That makes things very easy.
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Word. BTW Check your inbox...would appreciate some feedback on that plan when you get the chance :-)
 
Quote from kinggyppo:

here is a site that has a great free screener, stay away from the illiquid names for me anything trading less than 1 miilion shares a day. There is some great stuff in here from fundamental to tech analysis, plus its free. here is a link to the patterns.


http://finviz.com/screener.ashx?v=210&s=ta_p_doublebottom
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Yea I use finviz and it is great...do you happen to know of any EOD scanners that scan for those toby crabel patterns? Like NR4, NR7...this seems like a good substitute for a narrow pivot scan(don't know if that even exists)
 
Quote from acdtrader:

I used OR time as 10 mins in all commodities. Interesting to see that 60 mins is the high or low of the day 57% of the time. What commodity are you calculating these stats for?
By the way - flip, can you explain the results of your probability distribution from the link that you posted.

Thanks for sharing your results, I was trying to post an Excel file that shows all my results. Also it demonstrates that Overnight move is higher than intraday move at an average in a lot of cases. However I couldnt figure out a way to post the excel file as an attachment. Then I tried to post a link to the excel file and EtTrejected my post.

I currently use Multicharts for quick backtesting or protoyping an idea / indicator. I have used Matlab and R when I was in graduate school and at my previous firm. During the last couple of years, I have tried NinjaTrader, tradestation, open quant, quant house, streambase, Rightedge and pretty much most softwares out there. And I realized by trial and error that I needed to build something from scratch - which had backtesting, trading, optimization, record-replay of market data, strategy analyzer, scheduler etc which would work for high frequency trading as well as for Intraday scalping and TA strategies. I am 70% of the way there in terms of functionalities. This way once I write an indicator or strategy my code for backtesting it is the same as my real time trading.

Check out deltixlab - on google, it is the most sophisticated tool for an automated trader I have come across.
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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 high or low of the day after 5min, after 10min, etc., after 81 bars I know with certainty the daily high and low, so the probability is 1.

The two plots at the top show the same, just for high and low isolated. Bottom left shows the values for high AND low combined (different to bottom right, which is high OR low). So the chance of having made the high and low at the first bar are negligible small, even after 40 bars - which is roughly half of the day - the probability of having made both the high and low are below 30%. By implication this means that the likelihood that we are going to see another extreme is rather high at this point.

The red lines for all 4 plots show how the probability looks like when using random data and you can see that the empirical values are quite different from random walk.

Regarding software, for quick backtesting / prototypes I often use tradesignal, which is - similar to Multicharts - a tradestation clone. For more serious stuff we have written a full library of code for testing and trading - mostly in Matlab.
 
Quote from Shanb:

Yea I use finviz and it is great...do you happen to know of any EOD scanners that scan for those toby crabel patterns? Like NR4, NR7...this seems like a good substitute for a narrow pivot scan(don't know if that even exists)
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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 that you have full control over everything, can define your own patterns etc.
 
Quote from Shanb:

Word. BTW Check your inbox...would appreciate some feedback on that plan when you get the chance :-)
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I see you took advantage of my Groupon offer of one free ACD analysis plan. :)
 
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