The ACD Method
- Thread starter sbrowne126
- Start date
Let the market tell you.
Interesting correlation, but why trade a less liquid FX cross-rate instead of the most liquid contract in the market?
My desire to make money exceeds my desire to trade a one tick market. You really think I would sacrifice the 6000 ticks that GBP/JPY offered you to trade ES simply because ES has a one tick wide spread and is actually higher now then it was then.
This is a long post so stick with me here guys. I am not here to kiss Mav's ass but it has taken me way too long to figure out things now that he was talking about years ago. If we are talking about the ES intraday then I know he has not been a fan of that for a long time. I am going to combine that with a few of my own opinions based on stats that I have gathered. Maybe it will help someone out there avoid wasting their life on ES like I have.
You could take a longer time frame approach (read non-intraday) with ES and I don't have any problem with that, have at it. My opinions are purely for day trading.
Low intraday margins and a tight bid ask spread should not be the only considerations when selecting a market to trade. Don't let your bankroll choose your markets for you. The ES is just too dang efficient. You are going to get chopped up regardless of your strategy in the long run.
My main way to judge a market for opportunity is to look at it by calculating Avg_Bar(High-Low)/Avg(Ask-Bid). The higher the number the more opportunity there is. Take any intraday time frame you want, how much does the Bid Ask Spread fit into the average Bar Range as a ratio? If you are hitting Bids and lifting Offers with Market Orders then profits are flying out of the window. You will miss opportunities if you nurse Limit Orders all of the time. You could be screwed either way.
If you are going to trade the ES then the only edge to be found is in the first few minutes on the Open. Not counting the last 10 Minutes of the Cash Close if you break the day into 10 Minute Segments just like Mark Fisher then you will find that 90% of the time the greatest range is in the first 10 Minutes. You will also see 96% more volume in the first 10 Minutes versus other time segments. The ES retains a tight Bid Ask spread while stocks and even the SPY can be wide as hell on the Open. This means that you can actually participate in the range with the ES whereas the tape is painted on many stocks on the open since it is so wide, you can't even really participate with regular certainty.
The only market in my opinion worth day trading now is Crude Oil. Counting fees CL can be cheaper to trade than stocks even factoring a liquidity rebate! To get a $10 per tick value with a stock then you need 1000 shares. Do the math factoring in commissions and fees with routes and add/take liquidity and the CL beats it on both fronts. CL even gives you guaranteed volatility every Wednesday at 9:30AM CST. Where else can you get regular and predictable volatility intraday with that frequency?
When Mav mentioned GBP/JPY I took that advice without any doubts. Something I wish I did long ago for the ES. When a veteran successful prop guy like Mav is against it then that should have been my clue. If I could give any newbie one take away from this long post it would be to view markets intraday through the lens of how much will the Bid/Ask fit into the range of what ever time frame you are using? With the ES it is a low number. Unless you are using a really wide stop then try dancing around that without getting sliced and diced in the long run.
You could take a longer time frame approach (read non-intraday) with ES and I don't have any problem with that, have at it. My opinions are purely for day trading.
Low intraday margins and a tight bid ask spread should not be the only considerations when selecting a market to trade. Don't let your bankroll choose your markets for you. The ES is just too dang efficient. You are going to get chopped up regardless of your strategy in the long run.
My main way to judge a market for opportunity is to look at it by calculating Avg_Bar(High-Low)/Avg(Ask-Bid). The higher the number the more opportunity there is. Take any intraday time frame you want, how much does the Bid Ask Spread fit into the average Bar Range as a ratio? If you are hitting Bids and lifting Offers with Market Orders then profits are flying out of the window. You will miss opportunities if you nurse Limit Orders all of the time. You could be screwed either way.
If you are going to trade the ES then the only edge to be found is in the first few minutes on the Open. Not counting the last 10 Minutes of the Cash Close if you break the day into 10 Minute Segments just like Mark Fisher then you will find that 90% of the time the greatest range is in the first 10 Minutes. You will also see 96% more volume in the first 10 Minutes versus other time segments. The ES retains a tight Bid Ask spread while stocks and even the SPY can be wide as hell on the Open. This means that you can actually participate in the range with the ES whereas the tape is painted on many stocks on the open since it is so wide, you can't even really participate with regular certainty.
The only market in my opinion worth day trading now is Crude Oil. Counting fees CL can be cheaper to trade than stocks even factoring a liquidity rebate! To get a $10 per tick value with a stock then you need 1000 shares. Do the math factoring in commissions and fees with routes and add/take liquidity and the CL beats it on both fronts. CL even gives you guaranteed volatility every Wednesday at 9:30AM CST. Where else can you get regular and predictable volatility intraday with that frequency?
When Mav mentioned GBP/JPY I took that advice without any doubts. Something I wish I did long ago for the ES. When a veteran successful prop guy like Mav is against it then that should have been my clue. If I could give any newbie one take away from this long post it would be to view markets intraday through the lens of how much will the Bid/Ask fit into the range of what ever time frame you are using? With the ES it is a low number. Unless you are using a really wide stop then try dancing around that without getting sliced and diced in the long run.
Last edited:
Just my opinion here, but I think traders in general focus too much time on things that are immaterial to the actual trade itself. I think you should trade whatever product itself is providing the edge at that given moment in time. For example, if you want to short the equity indices and the Russell is the weakest index why would one short the ES? Maybe the better trade is in the currency space. Or maybe it's simply buying vol. Even as a daytrader, one should focus on where the edge is, not on falling in love with a single product. Just one man's opinion.
Monthly A up in the ES around 2200. Nice round number. Market internals are breaking into a thousand pieces though.
What do you mean by market internals breaking down? Could you elaborate a bit on that. Thanks mav.
ACD internals......thousands of stocks.....negative number lines, etc.
ISEE at 31.