The ACD Method
- Thread starter sbrowne126
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Go away for 1 week and come back to a month's worth of great posts on this thread!
Catching up and throwing in two cents this morning.
I think 10AM Eastern time corresponds to the 3PM London gold fixing which may help explain that spike. Mav and others have discussed various times for opening ranges in currencies etc. Maybe this fits. Another example might be the old grain open of 9:30 Central time which still can see a volume bump--maybe as cash traders in the west start their day? Additionally, grain data releases now happen at 11AM central time so another source of data mining similar to the Fed releases discussed recently.
On the discussion of High/Low distributions showing disproportionate occurrence of extremes in the first bar regardless of the time chosen: I would suggest this demonstrates trendiness in market data rather than a random walk. Any point in trendy data would have an outsized probability of being an extreme if it was truncated at that point. For example, a market is going up and I start at 11:07. Because it is trending, this proves to be the low in my data, but 11:06 and earlier would have had lower points. In the aggregate, if data is trendy, this should be reflected in extremes occurring at start and end points. This also speaks to the general formula of letting winners run against a fixed stop loss. Various studies have been done on market data using randomized entries with fixed risk (such as a coin flip) and shown a positive expectancy. While more nuanced, ACD seems to fall squarely in this category. I suspect the basic rules would probably still be profitable, just not to a degree that would make a blunt implementation worthwhile to a professional trader. One of the nuances that goes along with Robert's great post on price action was the factor of time based stops on trades which tend to not get discussed as much, (perhaps because this is harder to program and analyze?).
Catching up and throwing in two cents this morning.
I think 10AM Eastern time corresponds to the 3PM London gold fixing which may help explain that spike. Mav and others have discussed various times for opening ranges in currencies etc. Maybe this fits. Another example might be the old grain open of 9:30 Central time which still can see a volume bump--maybe as cash traders in the west start their day? Additionally, grain data releases now happen at 11AM central time so another source of data mining similar to the Fed releases discussed recently.
On the discussion of High/Low distributions showing disproportionate occurrence of extremes in the first bar regardless of the time chosen: I would suggest this demonstrates trendiness in market data rather than a random walk. Any point in trendy data would have an outsized probability of being an extreme if it was truncated at that point. For example, a market is going up and I start at 11:07. Because it is trending, this proves to be the low in my data, but 11:06 and earlier would have had lower points. In the aggregate, if data is trendy, this should be reflected in extremes occurring at start and end points. This also speaks to the general formula of letting winners run against a fixed stop loss. Various studies have been done on market data using randomized entries with fixed risk (such as a coin flip) and shown a positive expectancy. While more nuanced, ACD seems to fall squarely in this category. I suspect the basic rules would probably still be profitable, just not to a degree that would make a blunt implementation worthwhile to a professional trader. One of the nuances that goes along with Robert's great post on price action was the factor of time based stops on trades which tend to not get discussed as much, (perhaps because this is harder to program and analyze?).
An interesting study would be a comparison of the high/low distributions using traditional opening times against various secondary times or random times and determining if there is much difference. Might also be interesting to see if the importance of the traditional opens at setting highs/lows is diminishing over time relative to randomly selected start points. Like @justtrading, I can't code beyond Excel and it takes me forever to do studies like this so I am just throwing out food for thought.
On the impact of narrow opening ranges as a pre-condition for trendy days, maybe looking at the question from the opposite side would be helpful. That is, "Is there an upper cutoff for the OR as a percent of the 10day ATR above which it is not useful to look for trend days?"
On the impact of narrow opening ranges as a pre-condition for trendy days, maybe looking at the question from the opposite side would be helpful. That is, "Is there an upper cutoff for the OR as a percent of the 10day ATR above which it is not useful to look for trend days?"
Last monthly A down in SPX was in Oct, currently trying to confirm now. This would be pretty significant. Russell already blew through it and confirmed earlier this month.
Wait, stocks go down too?
Watch the Euro right now for the tell in risk assets. If we take out 1.10, katy bar the door.
EUR? why not USD/JPY? Just want to hear your thoughts on this.
USD/JPY has been weak for awhile. There is no tell there. But the Euro has not found a bid in a long time. I look for unusual things on a tell. This rally has been led by the dollar and rates. Now we have a flattening yield curve. The dollar's bid is softening and the Euro makes up 60% of the dollar basket. If the Euro breaks out, the yield curve will flatten more, the dollar will break down and equities will get smacked.
Mav you've given me some great book suggestions over the years. I've got a decent understanding of most asset classes now thanks to those books but that last post makes me realize I still don't really understand the interplay FX rates have with everything else. So...any book suggestions for a guy that doesn't understand the concepts in your last post?
To some guys that asked me some questions, sorry I am very busy with my real job right now and my computer time is mostly being spent on programming so I had to take a step back from playing with the data output until I reach some more programming goals. I'll get to them hopefully this weekend.
To some guys that asked me some questions, sorry I am very busy with my real job right now and my computer time is mostly being spent on programming so I had to take a step back from playing with the data output until I reach some more programming goals. I'll get to them hopefully this weekend.
One of the best books I recommend for this is:
I am amazed how many people have not read this book. This is a very easy to read book and honestly, might be the best book on global macro trading. This book talks about the various important historical periods for different currencies, talks about gold, the VIX, oil, interest rates and how all these things interact. Personally I think this guy is giving away the book at that price. You could spend 100k on a 4 year education and not get as much as what is in this book.