The ACD Method

[kinggyppo]

You're a true artist King.

you are too kind Mav, don't know if you saw Bill Luby's latest post, he has done some great research on peak vol, etc.

http://vixandmore.blogspot.com/

"Note that based on the data for the 23 VIX spikes in excess of 30%, the SPX has a tendency to outperform its long-term average over the course of the 1, 3 and 5-day periods following the VIX spike. Also worth noting that that 10 and 20 days following the VIX spike, the SPX has a tendency not only to underperform, but decline. Further, while the huge decline following 9/29/2008 VIX spike tends to dwarf the other data points, even when you remove the 9/29/2008 VIX spike it turns out that the SPX still loses money in the 10 and 20-day period following a VIX spike. When the analysis is extended out 50 trading days, the SPX is back to being profitable, but performing below its long-term average. On the other hand, when the analysis includes 100 days following the VIX spike, the SPX is back to outperforming its long-term average.

With the caveat that this is a limited data set, it is still worth flagging the pattern in which following a 30% one-day VIX spike, there appears to generally be a tradable oversold condition in stocks that lasts approximately one week, followed by a period of another month or so in which the markets typically has difficulty coming to terms with the threat to stocks. One quarter later, however, all fears are generally in the rear view mirror and stocks are likely to have tacked on significant gains.

This type of pattern supports the idea of both short-term and longer-term mean reversion, but calls into question the role of mean reversion in the 10-20 days following a VIX spike, perhaps has fundamental factors begin to win out over a technically oversold condition in stocks. "

from Vix and More dated June 29, 2015

 

[Maverick74]

I would not be too quick to buy this dip in WTI.

 

[Maverick74]

I think today might be the swing high in the ES.

 

[samuel11]

I think today might be the swing high in the ES.

What makes you think that?

 

[Maverick74]

What makes you think that?

We have confirmed negative number lines in 3 indices trading into the monthly A ups after huge spikes off the lows and a few of my proprietary risk indicators are issuing warning signs. The QTR A up in the ES is just a few handles higher as well.

 

[Robert Yanks]

I use 5 min OR for intra-day. For the purpose of number lines you could use 10 seconds or 3 hours, it won't matter. Can you tell my why? Yes, it's a pop quiz.

Well I guess any reasonable OR could be used to generate A levels to in turn generate NL's. Adam Ant with a two year life span might use 30 seconds and Mr. Sea Turtle with a 100 plus year life might use 2 hours. But, I think you would need to “Mark” these nontraditional OR’s to a base line in say the 5 to 20 minute OR range for comparison purposes. Fisher says he spent millions determining that two 9’s create the trend confirmation. So you would want to know that when a 20 minute OR hits a confirmation on date X what is the 30 second NL on that date? Or the 2 hour? Observe enough and you could create new/revised confirmation criteria.

And, as you’ve pointed out many times, the NL’s reveal information that is not obvious on the daily charts. You’ve also pointed out that the NL’s are about reading price action. They are a “Relative value tool.” “It’s what’s happening internally in the market and very often disagrees with price. The edge is when you notice the dislocation.” They are for “Spotting tells” before others do. On and on and so forth as you’ve been teaching the slow to pick it ups like me.…. Ah Hell I don’t know …… I’m just a dumb government administrator.

 

[Robert Yanks]

We have confirmed negative number lines in 3 indices trading into the monthly A ups after huge spikes off the lows and a few of my proprietary risk indicators are issuing warning signs. The QTR A up in the ES is just a few handles higher as well.

Real nice bit of insight here for all of us to grab a hold of.

 

[Robert Yanks]

We have confirmed negative number lines in 3 indices trading into the monthly A ups after huge spikes off the lows and a few of my proprietary risk indicators are issuing warning signs. The QTR A up in the ES is just a few handles higher as well.

They are all at the monthly A ups. My DIA monthly A up is 179.71 and today's high was 179.70. These are some cool volatility levels you've created Mav (and though not there primary purpose, they also often act as strong support and resistance).

 

[kinggyppo]

Well I guess any reasonable OR could be used to generate A levels to in turn generate NL's. Adam Ant with a two year life span might use 30 seconds and Mr. Sea Turtle with a 100 plus year life might use 2 hours. But, I think you would need to “Mark” these nontraditional OR’s to a base line in say the 5 to 20 minute OR range for comparison purposes. Fisher says he spent millions determining that two 9’s create the trend confirmation. So you would want to know that when a 20 minute OR hits a confirmation on date X what is the 30 second NL on that date? Or the 2 hour? Observe enough and you could create new/revised confirmation criteria.

And, as you’ve pointed out many times, the NL’s reveal information that is not obvious on the daily charts. You’ve also pointed out that the NL’s are about reading price action. They are a “Relative value tool.” “It’s what’s happening internally in the market and very often disagrees with price. The edge is when you notice the dislocation.” They are for “Spotting tells” before others do. On and on and so forth as you’ve been teaching the slow to pick it ups like me.…. Ah Hell I don’t know …… I’m just a dumb government administrator.

there was a long portion of the thread talking about opening ranges. Here is the thing, if spy lets say opens higher and then comes back to the opening price you have a typical mean reverting day. If not you have a trend day where price keeps moving the same way up or down. Being on the right side of a trend day is where alot of money is made and some people still trade this way. Sorry I can't point you to the page where this discussion begins. Market profile also tries to identify this all important trend day.

some day types from market profile same idea:

http://www.trading-naked.com/MarketProfile2a.htm#trend day

 

[Maverick74]

Well I guess any reasonable OR could be used to generate A levels to in turn generate NL's. Adam Ant with a two year life span might use 30 seconds and Mr. Sea Turtle with a 100 plus year life might use 2 hours. But, I think you would need to “Mark” these nontraditional OR’s to a base line in say the 5 to 20 minute OR range for comparison purposes. Fisher says he spent millions determining that two 9’s create the trend confirmation. So you would want to know that when a 20 minute OR hits a confirmation on date X what is the 30 second NL on that date? Or the 2 hour? Observe enough and you could create new/revised confirmation criteria.

And, as you’ve pointed out many times, the NL’s reveal information that is not obvious on the daily charts. You’ve also pointed out that the NL’s are about reading price action. They are a “Relative value tool.” “It’s what’s happening internally in the market and very often disagrees with price. The edge is when you notice the dislocation.” They are for “Spotting tells” before others do. On and on and so forth as you’ve been teaching the slow to pick it ups like me.…. Ah Hell I don’t know …… I’m just a dumb government administrator.

Robert...who says your threshold has to be 9? Why can't it be 5 or 8 or 20? You guys can and SHOULD adjust these settings. Just as you can tweak the OR and the A levels, you can tweak the number line threshold. But even aside from that, the main point I'm trying to get at here is you need to SEE the market. And the way you SEE it is how the market is ACTING. And you can SEE how the market is ACTING by looking at the rate of change on the number lines. It does not matter what the raw number is but rather how that raw number is changing.