The ACD Method

[Maverick74]

http://help.cqg.com/cqgic/17/#!Documents/markfisherindicatormbf.htm

 

[SteveM]

Anyone here use Fisher's 3-day rolling pivot range for S/R levels? Been helping tremendously to keep me on the right side of crude lately. Thinkscript below:



input timeFrame = {default DAY};
input showOnlyToday = no;

def day = getDay();
def lastDay = getLastDay();
def isToday = if(day >= lastDay, 1, 0);
def shouldPlot = if(showOnlyToday and isToday, 1, if(!showOnlyToday, 1, 0));

def HA = high(period = timeFrame)[1];
def HB = high(period = timeFrame)[2];
def HC = high(period = timeFrame)[3];
def LA = low(period = timeFrame)[1];
def LB = low(period = timeFrame)[2];
def LC = low(period = timeFrame)[3];
def C = close(period = timeFrame)[1];

def H3 = Max(Max(HA, HB), HC);
def L3 = Min(Min(LA, LB), LC);

def calc_PP = (H3 + L3 + C) / 3;
def calc_MP = (H3 + L3) / 2;
def calc_PR = AbsValue(calc_PP - calc_mp);
def calc_PH = Calc_PP + calc_PR;
def calc_PL = Calc_PP - calc_PR;

plot PH =if (shouldPlot , calc_PH, double.nan);
plot PL = if (shouldPlot , calc_PL, double.nan);

PH.setStyle(curve.POINTS);
PL.setStyle(curve.POINTS);

PH.SetDefaultColor(color.cyan);
PL.SetDefaultColor(color.yellow);

PH.SetStyle(Curve.POINTS);
PL.SetStyle(Curve.POINTS);

 

[copyplus]

Volume weighted 30NL.

Ah, I remember you mentioning that idea back in the winter. It's something I've been working on but haven't been happy with any results of it yet. Sometimes it gives a better read than the standard scoring, but other times it gives a worse read.

I'm wondering... are you using the total volume for the day or are you going through the intraday data and looking at the volume specifically when it makes A ups/downs?

 

[hoop121]

That was freaking gold

 

[Maverick74]

View attachment 167270

That was freaking gold

Hoop, the moves in HJ have been even nicer. Getting nicer convexity on the move. But flat price continues to stay well bid. I just don't like the risk/reward in flat price as much as the spread. This will probably change as we get deeper into winter and HJ gets pricier. But for now, HJ is the cheapest convexity anywhere in the markets.

 

[hoop121]

idk, HJ looks like a chop fest

 

[hoop121]

Jan $5 calls bid at .04

 

[Maverick74]

idk, HJ looks like a chop fest

Convexity deals with the non linear aspect of the change. When HJ is trading between .22 and .24 the return you are getting on these pops is much more attractive then the move in nat gas. What visually looks like chop is simply a function of the bounded risk profile. Or put simply, there is a floor. With front month nat gas you are making a binary bet. No saying there is anything wrong with that, but all the trades I do in my account involve convexity in one form or another. Lower risk, higher payoffs and more optionality.

 

[Maverick74]

If any of you guys are lost on this topic, if I have some time this weekend I'll build a convexity curve in nat gas and visually show you what I'm referring to. Once you see it, a light bulb will go off and it will make much more intuitive sense. I'm not trying to talk fancy here, trying to describe convexity is a lot harder then just saying the word. LOL.

 

[Maverick74]

Actually...I want to see more participation in this thread. I'll build the convexity curve if 3 people post on here they want to see it. I have to re-build one of my oil models this weekend and this convexity curve is going to be a little bit of work so if no one wants to see it I won't waste the time. LOL. I keep forgetting I don't get paid to post here. So if you guys want to see it, let me know. Otherwise I have plenty of other work to do.