The ACD Method

Quote from mfbreakout:

Thanks Samsara. I been trying to figure out how and what A and C values to use for weekly and monthly levels for CL.

Any help in that area will be appreciated. Here is a link to the video.

http://www.cmegroup.com/education/steidlmayer-volume-strips-video.html
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Well, after flip broke down a frequency chart indicating the 1st day of the month is more significant than the rest, I've been using the first day's H-L as my OR. Weekly, I use 2 hours. A levels are a percentage of the 20 day ATR for me: 25%, 50%, 75% for daily, weekly, monthly. Simple. I've been using the same ones for all instruments. I don't bother with C because I'm not day trading -- when I get into a position my longer term bias is usually already established.

None of those levels are backtested -- I simply used monthly levels that correspond to my own system's entry signals, so they're basically arbitrary. As much as I'd like to, I'm not going to take the time to try to test constants, particularly for each commodity. Since my own swing method works well for me, I'm adding just one puzzle piece as a filter for entry (maybe for profit taking): favorable ACD intraday movement to size into a position. Someday down the road when I want to diversify instruments more, I'll probably have to look at commodity specific data to see if one size really does fit all.

That may or may not help for you, since I have no experience with other instruments and trading styles.

Ah, thanks for the link there.
 
Sam, have you created a study to determine if the meat of the volume is correlated to fish meat of the market?

Reason I ask is that ACD meat of the market is the median range for price discovery that day. Does volume correlate?
 
Here is pivot tracker sheet based of daily pivot range. Pivot tracker value gives clues into expected volatility. Lower the number - higher expected VOLATILITY. These numbers along with 30 days number , keep me centered as one can get easily disoriented with day trading 300-400 ticks daily moves in CL.
 

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Quote from mfbreakout:

This video is not about ACD method but will definetly enhance execution part of ACD.


Here is real treat form one of the original master Peter Steidlmayer. Same ideas but with some nice twists to it. Basically, his new creation VOLUME STRIPS. The way electronic markets have evolved, market are back to time period of 1840's. To trade now , we need to look at Volume Strips- fascinating to say the least. Some of the quotes I picked up from his presentation.

1) Question always on his mind " Would this trade self develop"?

2) majority of electronic traders are taking 100% risk of price discovery. These Volume strips are designed to reduce the risk to 50%.

3) You want to land on supply not on price.

4) Trade new orders not new price. and many many more.


Most exciting feature per Steidlmayer is the ability to place trades ( auto trade) ahead of time and thus trade multiple instruments etc..


one thing to consider is that Peter Steidlmayer, the creator of Market Profile, no longer advocates the use of Market Profile for market analysis. While many current Market Profile practitioners may argue the point, it is at minimum, highly interesting that the man credited with its development no longer considers it viable; take that for what its worth... Steidlmayer is now suggesting the use of a new paradigm called 'Volume Strips'. You can find more information here, if interested: Steidlmayer Volume Strips: J. Peter Steidlmayer


Steidlmayer Volume Strips: J. Peter Steidlmayer

not sure why the link is not coming up active. I just watched the video. Its available on CME web site .

: Commodity Indexes
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If you're going to quote someone word for word, why don't you cite your source?

http://www.bigmiketrading.com/inves...t-profile-gold-oil-currencies.html#post162733
 
Quote from Lornz:

If you're going to quote someone word for word, why don't you cite your source?

http://www.bigmiketrading.com/inves...t-profile-gold-oil-currencies.html#post162733
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I was not trying to quote the original post author. I thought the writer of the post summarized key point of the video well and I tried copying the full post along with the link from the author for the video and as clear from 3 attempts , i was having trouble. I also thanked the author for posting the link.

Sorry for the confusion.
 
Quote from mfbreakout:

Thanks Sam. Here are numbers from MF subscription service. First day of the month and 2nd half of the year.
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Thanks for posting that MBF. Interesting to see how they use the first day of the month pivot vs A levels. I've said this before and I'll say it again concerning adapting the system to your style. The benefit of using the pivot range for the first day of the month over say an opening range with A levels is you are going to enter momentum trades much earlier then waiting for an A level confirmation. However, if you are looking to fade moves, then you are better off with a wide opening range and A levels vs the pivot range. I'm not sure what Sam's trading style is but just wanted to point this out.

Let me give an example. When volatility starts getting very high, the problem with A levels, at least in my experience, is that you have to wait so long to get short (assuming we are talking about ES in a down market). The market might have to drop 100 handles before you get a sell signal! The monthly pivot will get you short much faster and with a tighter stop.

Again, I'm not trying to tell anyone they are right or wrong because everyone on this thread has a different trading style. I just want to point out the nuance between the different ways to use ACD. I'm stating the obvious when I say if you are a momentum trader, you obviously want to get in "early". If you are a fader, you want to get in "late". Just understand what happens when ranges start getting wide and volatility explodes.

This maybe why Fisher is showing the first day monthly pivots vs the A levels.
 
Quote from mfbreakout:

Here is pivot tracker sheet based of daily pivot range. Pivot tracker value gives clues into expected volatility. Lower the number - higher expected VOLATILITY. These numbers along with 30 days number , keep me centered as one can get easily disoriented with day trading 300-400 ticks daily moves in CL.
More...

You may have explained this before, but do you know the math on how he calculates the pivot tracker values?
 
Quote from mfbreakout:

Here is pivot tracker sheet based of daily pivot range. Pivot tracker value gives clues into expected volatility. Lower the number - higher expected VOLATILITY. These numbers along with 30 days number , keep me centered as one can get easily disoriented with day trading 300-400 ticks daily moves in CL.
More...

I guess one way you can use this pivot tracker is to make sure you don't take fade trades on days when you have a 3 day narrowing pivot or the shaded box. Not exactly sure what the shaded box is as it coincides with a narrow range pivot yet it comes after a wide range day?

I guess it gives one more confidence to take the confirmed A trades on those 3 day narrowing pivot days.
 
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