As far as limit moves go, "usually" they are in the direction of the trend. Probably 90%. Faders, please for the love of your family, don't trade commodities. Stick with stocks or indices. Commodities are all about trends. And there is no such thing as over bought or over sold.
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The ACD Method
- Thread starter sbrowne126
- Start date
As far as limit moves go, "usually" they are in the direction of the trend. Probably 90%. Faders, please for the love of your family, don't trade commodities. Stick with stocks or indices. Commodities are all about trends. And there is no such thing as over bought or over sold.
Quote from baggerlord:
Maverick have you ever ran any stats to see if there is a correlation between narrower opening range and greater % of succesful breakout?
I am curious if it is better because it is more likely to lead to a larger move in relation to the open or if it is because it gives an earlier entry point and therefore gives a better move in relation to the entry point.
Hi,
Please see NG on 10/27/2011, small range, then see NG 10/28/2011 nice big range
Nothing in the "books" caught that move, really. So to say small opening range leads to a break out, I would like to see stats on exactly how to capture a piece of it- thanks!
One day is meaningless. I'm interested in running some stats to see if there is a correlation over a meaningful sample size. I might actually do it now that my deployment got cancelled lol.
Quote from baggerlord:
One day is meaningless. I'm interested in running some stats to see if there is a correlation over a meaningful sample size. I might actually do it now that my deployment got cancelled lol.
If I may interject, I think a lot of what Fish is teaching is conceptual in nature. Market axioms, if you will.
Higher volatility begets lower volatility and vice versa. John Bollinger and a few others have built indicators based on this.
Wide pivot ranges means that a move has already happened, and this will beget consolidation more often than not. Narrow pivot ranges means that buyers and sellers are now in near perfect disagreement. An ol fashioned Mexican standoff. Something will have to give.
Fish has also stated that his stuff his hard to backtest because it is so contextual. The whole ACD thing is to help put the market in some kind of context.
I think personally that it is good not to think so much of A B C and D, and pivot ranges as absolutes. I have found it much more helpful to understand WHY this framework is effective.
I wouldn't even consider trying to backtest an actual trading system. I'm talking about testing to see if there is a correlation between opening range and total range for the day. I'm also interested in testing the relationship between noise levels width as a % of ATR and distance travelled outside the noise bands. Same thing for thickness of pivot range vs total range and distance travelled outside breakout levels.
If these things do provide an edge in volatility increase it will show in the statistics. Obviously then you would apply whatever other filters you use in your methodology like monthly weekly levels etc.
The value in this would be to plot a curve showing at what degree of contraction the edge increase, and if it continues to increase or stops at a certain point.
I would be more likely to run the last two tests as they could be ran on EOD data. I haven't touched any stat programs since college and don't feel like messing with intraday data just yet.
If these things do provide an edge in volatility increase it will show in the statistics. Obviously then you would apply whatever other filters you use in your methodology like monthly weekly levels etc.
The value in this would be to plot a curve showing at what degree of contraction the edge increase, and if it continues to increase or stops at a certain point.
I would be more likely to run the last two tests as they could be ran on EOD data. I haven't touched any stat programs since college and don't feel like messing with intraday data just yet.
Quote from pwrtrdr:
Hi,
Please see NG on 10/27/2011, small range, then see NG 10/28/2011 nice big range
Nothing in the "books" caught that move, really. So to say small opening range leads to a break out, I would like to see stats on exactly how to capture a piece of it- thanks!
Don't need stats, just look at the A levels. On Thursday NG closed right above the weekly A up triggering a buy. However it right was below the monthly A up. It then broke above the monthly Friday morning. It's important to note NG failed at the monthly A up on the 17th. This is important because when price fails at an A level then comes back through it, you usually get nice follow through. This is true on all time frames.
So you take all that info and combine it with the pivots and you have a nice trade.
Other trades this month were the two failed monthly A downs at 3.47 on the 7th and the 12th of the month.
If you didn't like those you had a long entry on the failed weekly A down at 3.57 on Wednesday.
There were many solid trades in NG this month. The idea is to trade what your style is and make sure you absolutely know where your out is. This is something I hear very few people talking about on this thread. Stops! It's easy to look at all the big moves but the idea is to catch the big moves with tight stops or at least reasonable stops.
Let me add some more on the tight opening range theory. The benefit of the tight opening is two fold. One is, you get a tight stop. Two is you are getting long volatility on the lows. If you are wrong, you might actually get an even better trade i.e you buy a breakout in a tight range only to end up getting short and catching a massive move.
I have seen this far too many times. Where the initial move is false but the real move is in the other direction. This is very hard to catch if the opening range is wide because if you get stopped out on a wide OR, you just took a beating. Very few people will have the cajones to then get short with an even wider stop.
The tight opening range gives you the ability to buy the straddle so to speak. And on the cheap. That's all you can ask for.
This is why I have stated many times the benefits of trading multiple markets. This way you can focus on only the products with the tightest OR. I made this suggestion to Shan regarding equities. He has over 10k stocks to choose from.
I have seen this far too many times. Where the initial move is false but the real move is in the other direction. This is very hard to catch if the opening range is wide because if you get stopped out on a wide OR, you just took a beating. Very few people will have the cajones to then get short with an even wider stop.
The tight opening range gives you the ability to buy the straddle so to speak. And on the cheap. That's all you can ask for.
This is why I have stated many times the benefits of trading multiple markets. This way you can focus on only the products with the tightest OR. I made this suggestion to Shan regarding equities. He has over 10k stocks to choose from.
Quote from Maverick74:
That's funny. I don't know any trend followers. I run a prop office and not once did I have a single guy trade trends. All of them were faders and all of them lost money.
I think part of the reason for this is because when you fade, you have a reference point as a stop, and that makes managing the trade easier for some. Managing stops in a trend is much harder and requires far more work.
But seriously, very few people follow trends, which is probably why it's so effective.
I read a quote the other day about trend-following that really summed it up for me. It said, basically, "To do trend-following correctly, you have to believe you are part of something bigger than yourself". I really do think that's Step 1.
Quote from logic_man:
I read a quote the other day about trend-following that really summed it up for me. It said, basically, "To do trend-following correctly, you have to believe you are part of something bigger than yourself". I really do think that's Step 1.
That's a great quote! And very true. I will also add that something I often here from people who refuse to follow trends is they believe it's insulting to their intelligence. They think all they are doing is following the herd. And getting in after everyone else already did. It makes them feel stupid. They feel much better about themselves selling a high or buying a low because they can feel "smart". Like they are the first one in and everyone else has to follow them. They also feel like they are adding value by being an intelligent person. I hear this a lot. Guys say to me, if I all do is follow trends, why do I even have to be here. In other words, they felt there was no meaning to them being a trader.
Well, let me just remind people, the reason you trade is to make money. It's not to be right or to feel smart or to be better then anyone else. It's simply to make money. And everything you do every day of your life, should be working towards that goal. If you want to feel smart, read a book.
Quote from kinggyppo:
"The best traders sit on their hands 80% of the time"
Mark Fisher
from one of the videos. Does that mean the mkt trends 20%, any studies on this?
I doubt anyone could come up with a definition of trend that everyone else would agree with, which would be necessary to do such a study.
Regardless, I watch the ES as much as possible, consistent with getting sufficient sleep, and I make about 1 round-trip trade/day. If you add in the trades which my strategy triggers, but which I have flagged as negative-expectancy "false positives", which means I don't take them, it goes up to about 1.33 trades/day, so for me the 80% comment rings true. I've never tracked exactly how many minutes my trades last, but it would not surprise me if I were actually in the market with an open ES trade about 20% of the time. I know the market will eventually trigger a trade for me, but I never know exactly when, so I do have to watch it constantly.