The ACD Method

banco said:
Hi,

I've been trying to keep number lines on shares (based on examples of the scores in logical trader book) but with a lot of them nothing will happen (no A up, no A down) say about a 1/3 of the time. Are the shares I'm trading not volatile enough or is this normal?
More...

I use an OR of 20 minutes and for many of the stocks I follow close to half the time price closes in the OR. Indeed very often the first 5 or 10 minutes set the high or low for the day.

Yet when I look at stat vol, it is much greater than the indices. Daily price range for a recent 5 day period averaged >1% in every stock.

All I can conclude is that first 5 or 10 minutes plus the A level sets the range of the day a great deal of the time.

Currencies and Futures seem to have less of this.

I just did an exercise to analyse this for the period 1st October 2013 to yesterday. :)
 
banco said:
Hi,

I've been trying to keep number lines on shares (based on examples of the scores in logical trader book) but with a lot of them nothing will happen (no A up, no A down) say about a 1/3 of the time. Are the shares I'm trading not volatile enough or is this normal?
More...

I use a 5 min OR and I get a lot of A ups and A downs. In fact, my equity number lines can get huge.
 
justrading said:
Mav, once before I asked about ZC, ZS, ZW and you said one has to be aware of the seasonality in these futures.

There is also seasonality in NG and one also has to be aware of storage capacity, inventory and draw if I understand this correctly.

The situation with HO and RB is similar I believe.

What is the best source to get a grasp on the seasonality and other issues that matter?
More...

There is an outstanding book called "Energy Trading and Investing". Great read. Pick it up.
 
Maverick74 said:
http://video.cnbc.com/gallery/?video=3000239995

Mark talking about the first day of the year indicator. Skip towards the end of the video.
More...

Hello Mav,

Would you say that the ETF JJC is a good representative of Copper? If so, viewing this video and re-reading your post on Copper (see below) is of real interest. My JJC chart had a monthly A Down on the 10th and my Qtr A Down is in the 39.50 area. One more day below that will be a Qtr A Down. My yearly A Down is in the 36.5 area and my 5 day numberline is -3. My newbe eyes don't see much strength here.

Thanks

“Copper is the building block of every major economy. It's an essential component to cars, houses and buildings. It's a very sensitive metal. When economic growth speeds up, people start hoarding copper because the price can go ballistic vs. other items like lumber, steel and chemicals. China has been the growth driver in the world economy for awhile now and they started buying copper with impunity. Some believe they over bought and have up to a 10 year supply of it. It's understood that they own about 50% of the available copper in the world. Now that their economy has slowed, since they are such a big buyer of copper, the demand goes to zero really fast. I doubt they will sell any of their copper supply but if they stop buying the metal and the US stops buying it, then it's going to fall like a rock.

Copper reacts much faster to the economy then something like the S&P 500 which moves like a snail. So if you want to make a more aggressive bet on economic growth or contraction, copper is a much better product. It's also a great tell to confirm price action. In years past, people use to use the Dow transports as a confirming signal to the Dow. I think more and more people are now using copper to confirm strength or weakness in the market.

Copper peaked at 4.65 back in early February where the S&P 500 peaked in late April. The sharp rally we had in the ES in July was NOT confirmed with copper and was a great warning signal.

If you want to know how low copper can go, in the 1970's it traded between .50 and 1.00 per ton.”
 
Using the Russell 3000 as a benchmark, January ended with a total of 933 Monthly A Ups and 1,164 A Downs for a net -231. The net 5 day had the monthly high on the 30th at -548 and Friday ended at -426.

I'll post the January quarterly A ups/downs later and then compare monthly and quarterly results to previous year January's.
 
I've been looking at tracking longer term A ups and downs. The problem I'm having is determining how far back I want the ATR to go back. I use 14 for daily and weekly levels but it doesn't feel right to use a 14 for monthly and quarterly levels I was thinking of just using the previous month/quarter number. Does that make any sense?
 
Maverick74 said:
No, this was one of my first energy books I bought. It turns out it was the best one as well.
More...

now that I think about it I think I let one of my potential investors borrow it and never got it back. it's a shame there are so few books on energy trading, but that definitely was one of the good ones. it's a great high level overview of just about every product.
 
You must log in or register to reply here.
Back
Top