The ACD Method

Quote from zhaoyun:

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for FX, do you use the opening time to be NY open or depending on the host country e.g Tokyo open for Yen?

thanks
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Here is the deal with FX. You can use the OR of each major open period. So you can trade 3 OR if you want to (Japan, London, US). I never found the native time to be that big of a deal. I will say that all the pairs have the most volatility during the London open.

I don't daytrade FX so I use the monthly signals primarily or the weekly.
 
SPY last 2000 days.

Column on the left shows distance moved from the open.
Column on the right shows the % of smaller moves it has exceeded.

If you are selecting an A level to use to establish bias you could make it tighter than is indicated by the 2 standard deviation figure. As you can see the 2 std point (95% of the sample) would be 1.04 but even a .50 move from the open exceeds 80% of the smaller moves of the day, making trades in that direction pretty high odds.

It is interesting to note that the median is only .16 meaning that the average is skewed by a small number of unusually large figures in the sample.
 

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Quote from baggerlord:

SPY last 2000 days.

Column on the left shows distance moved from the open.
Column on the right shows the % of smaller moves it has exceeded.

If you are selecting an A level to use to establish bias you could make it tighter than is indicated by the 2 standard deviation figure. As you can see the 2 std point (95% of the sample) would be 1.04 but even a .50 move from the open exceeds 80% of the smaller moves of the day, making trades in that direction pretty high odds.

It is interesting to note that the median is only .16 meaning that the average is skewed by a small number of unusually large figures in the sample.
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I like the way you're approaching this stuff. Interesting food for thought.
 
Quote from baggerlord:

SPY last 2000 days.

Column on the left shows distance moved from the open.
Column on the right shows the % of smaller moves it has exceeded.

If you are selecting an A level to use to establish bias you could make it tighter than is indicated by the 2 standard deviation figure. As you can see the 2 std point (95% of the sample) would be 1.04 but even a .50 move from the open exceeds 80% of the smaller moves of the day, making trades in that direction pretty high odds.

It is interesting to note that the median is only .16 meaning that the average is skewed by a small number of unusually large figures in the sample.
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Just wondering what the distribution of ranges looks like? Is it a relatively normal distribution or do above average moves occur more often than in a normal distribution. Thanks...and good stuff!
 
Quote from Shanb:

Just wondering what the distribution of ranges looks like? Is it a relatively normal distribution or do above average moves occur more often than in a normal distribution. Thanks...and good stuff!
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The avg is .28 but as you can see it is heavily skewed to the 0 end of things. This means that a small move from the open has a suprising amount of signifigance. It also definitely confirms what MF says about the open range being the high or low of the day more frequently than a random %.

Here are the ranges for the numbers on the bottom of the chart.

4.00 0.00 0.04
5.00 0.04 0.08
6.00 0.08 0.12
7.00 0.12 0.16
8.00 0.16 0.20
9.00 0.20 0.24
10.00 0.24 0.29
11.00 0.29 0.33
12.00 0.33 0.37
13.00 0.37 0.41
14.00 0.41 0.45
15.00 0.45 0.49
16.00 0.49 0.53
17.00 0.53 0.57
18.00 0.57 0.61
19.00 0.61 0.65
20.00 0.65 0.69
21.00 0.69 0.73
22.00 0.73 0.78
23.00 0.78 0.82
24.00 0.82 0.86
25.00 0.86 0.90
26.00 0.90 0.94
27.00 0.94 0.98
28.00 0.98 1.02
29.00 1.02 1.06
30.00 1.06 1.10
31.00 1.10 1.14
32.00 1.14 1.18
33.00 1.18 1.22
34.00 1.22 1.27
35.00 1.27 1.31
36.00 1.31 1.35
37.00 1.35 1.39
38.00 1.39 1.43
39.00 1.43 1.47
40.00 1.47 1.51
41.00 1.51 1.55
42.00 1.55 1.59
43.00 1.59 1.63
44.00 1.63 1.67
45.00 1.67 1.71
46.00 1.71 1.76
47.00 1.76 1.80
48.00 1.80 1.84
49.00 1.84 1.88
50.00 1.88 1.92
51.00 1.92 1.96
52.00 1.96 2.00
53.00 2.00 Inf
 

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This is the distribution of the larger move of the day. Ranges charted as below:

4.00 0.01 0.22
5.00 0.22 0.43
6.00 0.43 0.65
7.00 0.65 0.86
8.00 0.86 1.07
9.00 1.07 1.28
10.00 1.28 1.50
11.00 1.50 1.71
12.00 1.71 1.92
13.00 1.92 2.13
14.00 2.13 2.35
15.00 2.35 2.56
16.00 2.56 2.77
17.00 2.77 2.98
18.00 2.98 3.20
19.00 3.20 3.41
20.00 3.41 3.62
21.00 3.62 3.83
22.00 3.83 4.05
23.00 4.05 4.26
24.00 4.26 4.47
25.00 4.47 4.68
26.00 4.68 4.90
27.00 4.90 5.11
28.00 5.11 5.32
29.00 5.32 5.53
30.00 5.53 5.75
31.00 5.75 5.96
32.00 5.96 6.17
33.00 6.17 6.38
34.00 6.38 6.60
35.00 6.60 6.81
36.00 6.81 7.02
37.00 7.02 7.23
38.00 7.23 7.45
39.00 7.45 7.66
40.00 7.66 7.87
41.00 7.87 8.08
42.00 8.08 8.30
43.00 8.30 8.51
44.00 8.51 8.72
45.00 8.72 8.93
46.00 8.93 9.15
47.00 9.15 9.36
48.00 9.36 9.57
49.00 9.57 9.78
50.00 9.78 10.00
51.00 10.00 10.21
52.00 10.21 10.42
53.00 10.42 inf

The mean of the larger move is 1.08 vs .16 for the smaller move. Mean is the amount where half are above and half are below. For trading that might be more useful than the average.
 

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Has anyone tired using HV instead of ATR???? I would think that ATR is a lagging time series.

I am surprised a guy like MF would even think of using amatuer indicator like ATR.
 
Here is todays open +- the mean of .16. Once price exceeds that there is something like a 50% chance that it will go on to be a big move and therefore a 50% chance that it will fall within the big move distribution.

The lines below it contain the bulk of the larger moves observed over the sample.
 

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Quote from kinggyppo:

Bull roast today trading well below pivot
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The bottom of my daily pivot is 1236.50. Still above it. Pretty wide pivot range today of close to 11 handles.
 
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