The ACD Method

justrading said:
Mav, a question about the OR. No, don't faint, you know I've read this thread and made notes. I don't recall this particular question being asked.

Context- I didn't get any responses to my question about the DAX and FTSE futures or CFDs. That hasn't stopped me watching them.

Now the DAX futures start at 0200 EST, but volume and vol don't pick up until the London open (so much for Paris or Frankfurt replacing London on Brexit).

Using a 10 minute bar (because it is not a 5 or 15 that the whole world trades), the first bar in a 30 minute OR basically sets the OR. The 2nd and 3rd bars don't add much, mostly nothing.

Might it be a reasonable assumption that the huge vol on the open is resting orders being executed?

Have you, or anyone else here, excluded the 1st bar from the OR?

Yes, if you are wondering, I'm looking to day trade. I've been open about being a crappy day trader, but just like people jump out of a plane with a bag of cloth strapped to their backs, I'm giving it another shot. It's a Euro a point for the CFDs, so it's beer money. The nice thing is if it works, it is eminently scalable; the mini Eurex futures contract is 5 Euros a point and the full sized is 25 Euros a point, so it just needs switching to scale up.

Any and all words of advice from day traders or those in the know welcome.

As an FYI, I exchanged messages with a world famous trader, who doesn't day trade. I was surprised to get a response, but he essentially said all the successful day traders he knows FADE the market.

Thoughts?
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I will chirp in here as this is something I also gave a lot of thought.

Since ACD is a lens in which to view both price action and relative analysis the opening range really should not matter. The way that ACD shines is being able to view how one instrument trades, relative to others, thats why its important to use the same settings for similar asset classes. Now that could be bonds vs stocks, gold vs silver, oil vs canadian dollar etc.

Whats important to grasp is the way that you think about what an A level is. When I look at my A levels in the indices, I think that for example my aup on the SPY is at the same level as an aup on the DIA or IWM etc, for relative value this is amazing. In essence what you are doing is superimposing relative price levels in accordance with volatility and time giving you the ability to view the these products on a relative, normalised scale.

Hope this makes sense its actually quite difficult to explain and I will be interested to see what Mav has to say.
 
redbaron1981 said:
I will chirp in here as this is something I also gave a lot of thought.

Since ACD is a lens in which to view both price action and relative analysis the opening range really should not matter. The way that ACD shines is being able to view how one instrument trades, relative to others, thats why its important to use the same settings for similar asset classes. Now that could be bonds vs stocks, gold vs silver, oil vs canadian dollar etc.

Whats important to grasp is the way that you think about what an A level is. When I look at my A levels in the indices, I think that for example my aup on the SPY is at the same level as an aup on the DIA or IWM etc, for relative value this is amazing. In essence what you are doing is superimposing relative price levels in accordance with volatility and time giving you the ability to view the these products on a relative, normalised scale.

Hope this makes sense its actually quite difficult to explain and I will be interested to see what Mav has to say.
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It does make sense, I do try to keep relativity in mind, so I have windows open for related instruments. Indeed for FX, I take advantage of the Quote Spreadsheet in Sierra Charts to group all the base currencies together. Lost count how many times it's saved me from taking a great signal which would have been a bad trade. You are absolutely right about not looking at things in isolation. Indeed, in the quest for consistency in maintaining relative movements, I abandoned Fisher's concept of domicile time ORs. Aussie, Yen, whatever, all get set to the London open. As the past two BIS triennial reports have shown, the largest slice of the pie is in London anyway.

The thing that's throwing me off with the DAX is that first bar is almost always the widest range bar for the day. Think of it, no matter what happens after, it is the widest bar, exceptions being a huge data miss or some political or Central Bank development. That sort of throws me off, because I don't see the same behaviour in the US Indices. Well, truth be told before now I haven't bothered too much with individual intraday bars. My entry signals are off daily charts, then I look for levels on hourly and 4 hourly charts.

Since that first bar is so unrepresentative of what happens after, I was wondering about excluding it.
 
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BTW, a piece on the mini DAX I came across.

I never knew CFDs were so popular, seems to be a European thing, not sure if Americans can trade them. I have a CFD data feed on Sierra Charts provided by FXCM. I added them on my IB account, data out of IB UK. At any given time, there are minor differences in pricing between the 2, not substantial really as they otherwise move in tandem, but if you are trading levels you might not like it.

To resolve it all, I've added the market data subs for Eurex to my IB account. Now IB data is frustrating if you are watching it, because of the 5 second update. You can add real time bid-ask bars that trot up and down the candlestick, but it's all mildly ridiculous if you are trying to trade intraday. Just a reality check on the CFDs really, if one trades the futures contract there is a reasonably priced Barcharts data option in Sierra Charts, real time tick data I believe.

http://www.eurexchange.com/blob/224...979285/data/presentation_mini-dax-futures.pdf
 
justrading said:
It does make sense, I do try to keep relativity in mind, so I have windows open for related instruments. Indeed for FX, I take advantage of the Quote Spreadsheet in Sierra Charts to group all the base currencies together. Lost count how many times it's saved me from taking a great signal which would have been a bad trade. You are absolutely right about not looking at things in isolation. Indeed, in the quest for consistency in maintaining relative movements, I abandoned Fisher's concept of domicile time ORs. Aussie, Yen, whatever, all get set to the London open. As the past two BIS triennial reports have shown, the largest slice of the pie is in London anyway.

The thing that's throwing me off with the DAX is that first bar is almost always the widest range bar for the day. Think of it, no matter what happens after, it is the widest bar, exceptions being a huge data miss or some political or Central Bank development. That sort of throws me off, because I don't see the same behaviour in the US Indices. Well, truth be told before now I haven't bothered too much with individual intraday bars. My entry signals are off daily charts, then I look for levels on hourly and 4 hourly charts.

Since that first bar is so unrepresentative of what happens after, I was wondering about excluding it.
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Have a read of the last paragraph in this post. Mav kind of agrees with what I said in my previous post.

I would say that excluding it would be just fine, or you could also take into account the extra vol on the first bar by using a small % of atr for the value.

The most important thing to consider, would be what you would also watch, that could give you a heads up as to whats going on. You probably could add German bonds, a few commodities along with a few European and U.K equity indexes. This should really give you a good idea of what the mood is.
 
redbaron1981 said:
Have a read of the last paragraph in this post. Mav kind of agrees with what I said in my previous post.

I would say that excluding it would be just fine, or you could also take into account the extra vol on the first bar by using a small % of atr for the value.

The most important thing to consider, would be what you would also watch, that could give you a heads up as to whats going on. You probably could add German bonds, a few commodities along with a few European and U.K equity indexes. This should really give you a good idea of what the mood is.
More...
Thanks for the refresher link. Some very good thoughts in your post. Generalising, the Nikkei sort of gives a heads up on the European indices. It seems to be inversely correlated to USDJPY in the same way the FTSE seems to be inversely correlated to GBP strength; I seem to recall most of the companies on the FTSE main index are export oriented. Euro Stoxx 50 also seems to move like the DAX. So a few windows open concurrently and numbers in the Quote Spreadsheet would be the way to go.

And if anyone is wondering why that opening bar is bugging me, I put a True Range study at the bottom of the chart, and every day that first bar sticks out like a sore thumb. Indeed, it compresses the scale so you don't really appreciate the movement of every subsequent bar. If there were a way to exclude it from the study, the relative movement of every subsequent bar would be easier to gauge.
 
There are times when you just have to trust ACD, even when you can see no reason to.

Then there are times you have to ignore ACD, like this shocker.

I'm long NZDJPY, and it's been good. Still a wide stop. But, you have to wonder. NZ has never had problems with continuity from leadership succession, in recent times at least. And still a resignation prompts a dip?
 
Well, I've been running NLs on the CFD, OR 0300-0330 EST. I'll run NLs on the DAX Futures with an OR from 0310-0330 EST concurrently and I'll see how it pans out and post some info here.

I should have a handle on the 5D NL and derivatives in a few weeks, and the 30D NL by January. Looking at how the index is moving, I think the 5D is actually more important for short term trading right now.
 
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