You mean 105?
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The ACD Method
- Thread starter sbrowne126
- Start date
You mean 105?
here is a weekly chart of crude, the first two weeks of the year are in red, the first two weeks of July are in green ( note the wide pivot range), the last piece is the weekly market profile, where the point of control (where most of the trades have taken place) is 95.51. If you believe in reversion or simply that oil is too high this would be a place to look for a touch 3-6 months out.
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Mav, re: X, I worked out the number lines using Fisher's method going back 87 days from Sept 11th in order to see how it developed. I took a 20 minute OR with the 12 period ATR of the 9:30 a.m. 5 minute bar as the A value.
I got the 30 day bullish confirmation on 16th August. I tried scoring it my system and got the same date. I then tried using a 30 minute OR with the 12 period ATR based on the 9:55 a.m. 5 minute bar. This gave a 13th August confirmation.
Given that the move only took off 4th September, it would be quite a wait with anything other than the underlying or DITM long dated calls.
On the daily chart after the number line confirmed, there was a dip, don't know if that was to a level to buy off, but the number lines never looked back.
Any comments on how best to handle this sort of gap between confirmation and move?
I got the 30 day bullish confirmation on 16th August. I tried scoring it my system and got the same date. I then tried using a 30 minute OR with the 12 period ATR based on the 9:55 a.m. 5 minute bar. This gave a 13th August confirmation.
Given that the move only took off 4th September, it would be quite a wait with anything other than the underlying or DITM long dated calls.
On the daily chart after the number line confirmed, there was a dip, don't know if that was to a level to buy off, but the number lines never looked back.
Any comments on how best to handle this sort of gap between confirmation and move?
Quote from justrading:
Mav, re: X, I worked out the number lines using Fisher's method going back 87 days from Sept 11th in order to see how it developed. I took a 20 minute OR with the 12 period ATR of the 9:30 a.m. 5 minute bar as the A value.
I got the 30 day bullish confirmation on 16th August. I tried scoring it my system and got the same date. I then tried using a 30 minute OR with the 12 period ATR based on the 9:55 a.m. 5 minute bar. This gave a 13th August confirmation.
Given that the move only took off 4th September, it would be quite a wait with anything other than the underlying or DITM long dated calls.
On the daily chart after the number line confirmed, there was a dip, don't know if that was to a level to buy off, but the number lines never looked back.
Any comments on how best to handle this sort of gap between confirmation and move?
OK, so a couple of things here. My 30 day confirmed on 8/27 at 18.00. I have no idea how you are doing your number line and that is not to say you are doing anything wrong. But I've modified my number lines quite a bit from Fisher. Again, not to say there is anything wrong with how he does it either. I've just put a lot of time in the process and I feel I have my process down pretty good. Now, having said that, let me address your question:
A 30 day confirm is NOT a buy signal. The 30 day number line is a reflection of internal price action. It's telling you there is a "potential" for a sizeable move due to the way the product is acting. I have created number line derivatives that help in that process. But there are many ways you can play a number line confirm. Yes, you could simply get long on the day of the confirm. I personally use monthly A downs as stops. Since your confirm happened above the monthly A up, I would probably take a smaller position to account for the wider stop. And I would look to add to my position on failed weekly A downs at better prices "provided" that the number line was still strong.
Another way to play it is once you get the confirm wait for a failed weekly A down to get long. This would give you a tighter stop. You could wait for a re-test of the monthly A up which it did do at 18.00. Remember I mentioned earlier that more then half the time you get a re-test of an A level.
There are countless ways to do this. You have to be the ball coach and make the call. Read the defense, call in the play, protect your quarterback. Just like trading. And another thing regarding number lines, markets rarely take off right after the confirm. I got lucky that X did that but that is not the norm. I'm getting in for the "potential". Not because it's going to take off to the moon. If you want to play pure momentum I would focus primarily on week one monthly A up confirms. Those have much higher octane. Those have their drawbacks as well so everything is a trade off.
Quote from kinggyppo:
here is a weekly chart of crude, the first two weeks of the year are in red, the first two weeks of July are in green ( note the wide pivot range), the last piece is the weekly market profile, where the point of control (where most of the trades have taken place) is 95.51. If you believe in reversion or simply that oil is too high this would be a place to look for a touch 3-6 months out.
King, you don't want to simply look at the mean reversion target in isolation. The question you have to ask yourself and the question most traders NEVER ask themselves is what do I have to "risk" to get my target price. Sure, that 95 looks juicy as it has been a long term mean. But you might have to risk 20 to 30 pts to get that 10. Traders all too often just look out in the yonder at where they want the market to go or think the market will go but rarely ask themselves what do I have to give up to get that goal. With the way oil is acting right now, I would NOT want to take the risk to get a re-tracement back to 95.00. Now that could change on Monday, well probably not monday, but it could change soon. If the number line starts to deteriorate then all bets are off.
Quote from cdcaveman:
the GVZ index is a good way to track vols in CL... its the vol index of crude.. just like vix is to ES.. the GVZ futures are super illiquid... no deal there.. but i reference it to see where relative value is in Vols
Thanks cd. Yeah that spike we had a few weeks ago showed up on there and subsequently came in. I would probably be more inclined to look at the OTM call skew to see how steep it's getting. Those options have a small weight in the OVX calculation but they are very revealing about the "magnitude" of the expected move. You can look at those skews on TOS if you have it.