I hate to quote myself, but I think I answered this question, at least for me. I've been doing a decent job of being on the right side of the market using NLs. The part I have been missing is getting generally good prices for my trades. I've written some script since posting that question to test various filters and limits based on weekly monthly etc levels and I think it is the next step in improving what I am doing. I'm sure Mav has posted it before but fading a shorter term level while in the direction of the longer term bias seems to be where its at. I guess my next coding project is to write something that will give me a good approximation of the ideal fade level for each product/timeframe.
The ACD Method
- Thread starter sbrowne126
- Start date
I hate to quote myself, but I think I answered this question, at least for me. I've been doing a decent job of being on the right side of the market using NLs. The part I have been missing is getting generally good prices for my trades. I've written some script since posting that question to test various filters and limits based on weekly monthly etc levels and I think it is the next step in improving what I am doing. I'm sure Mav has posted it before but fading a shorter term level while in the direction of the longer term bias seems to be where its at. I guess my next coding project is to write something that will give me a good approximation of the ideal fade level for each product/timeframe.
This is advice for the ages. Every newbie struggling and flailing about looking for an edge should keep this in mind.
A good piece. It remains to be seen how open they will be about disclosing progress of the talks, also how May's minority government will fare. I'm inclined to think GBP risk is very much to the downside, any sudden negative development could send the pound plummeting. Until there is more clarity I'm inclined to keep any long GBP positions small enough that a crash isn't going to hurt my account.
https://www.bloomberg.com/politics/...-organic&utm_source=twitter&utm_medium=social
https://www.bloomberg.com/politics/...-organic&utm_source=twitter&utm_medium=social
He makes a good point. We all play to our strengths, but sometimes they aren't a fit for the instrument right now and the best position is on the sidelines.
http://traderfeed.blogspot.com/2017/06/when-discipline-works-and-when-it-doesnt.html
http://traderfeed.blogspot.com/2017/06/when-discipline-works-and-when-it-doesnt.html
Hello Mav,I see I'm being summoned to this thread. The 30NLs still matter. In fact, they make up 98% of my trading. The NLs do far more then just give you bias, they also describe the type of market environment you are in and provide relative value information. As has been said countless times, they are not signals. Can they used for daytrading? Absolutely. But they are used as a filter, not as a signal. For example, if the ES is confirmed long, I would only look to enter failed A downs. I would NOT be shorting the market. Two, the 30NLs tell you where to focus. Say bonds are confirmed long and Gold is confirmed short. Then why the hell would you daytrade the ES? LOL. Buy dips in bond and fade rallies in Gold. No secret sauce here.The purpose of the NLs is to find markets that are "acting well" or "acting poorly". Any other controversies?
Using only daily OHLC data is it possible to calculate the necessary lines/values to effectively use ACD? I.e., no opening range information. If yes, what constraints would be imposed by this?
Thanks
You could generate monthly, quarterly levels but you can't generate NLs. If you want NLs without putting in the effort your only option is to subscribe to MF's service http://www.mbfcc.com/trialsubscription.html
You could simply use the opening price in lieu of a discrete timed range or maybe add a symmetrical volatility band around the Open price as your range. Just know that it is a shortcut that will sacrifice the data contained in accurate opening ranges where the initial opening price is skewed to one side or the other.
Recently, a kind helpful gentleman suggested I read Van Thorp’s “Trade your way to Financial Freedom” and I am enjoying it.
So …. that led me to Van Thorp’s web page and his newsletter ….. and that further led me to his many posts on “Market Type”. I particularly liked the Market Type discussions and how his thinking evolved on that subject. And … when he stated that the Market Type was proprietary …. well I had to see if I could steal it.
Van Thorp breaks markets down into either 1: Strong Bull, 2: Bull, 3: Neutral, 4: Bear or 5: Strong Bear. And then those descriptions are categorized by volatility as either 1: Very Volatile, 2: Volatile, 3: Normal or 4: Quite. Van Thorp does describe how he classified volatility and a good post on that subject is here:
http://www.iitm.com/Weekly_update/Weekly_425_May_27_2009.htm
So, I gathered the SP500 data from 1962 to present, and he used 1969 to 2009. There are some minor differences but we are very close. I decided to follow his standard deviation breakdown but …. to let the stats change every day depending on the averages and standard deviation. (That is, no static data of “This today” based on “Non changing Past”.
Of note: You can see in his article that the average ATR as a percentage of the close was 1.47 with a standard deviation of .72 on May of 2009. If he had gone back to 1962 it would have been 1.53 and .69 respectively. Currently, it’s 1.47 and .68 with the lowest “Quite” classification you could imagine.
It was very enlightening for me to see how the various volatility classifications shake out. You can see in the referenced article the largest ATR as a percent of close graph and it hasn’t changed much. But, the smallest have changed some and I have attached least 40 or so and you can see that 2017 (and June) are showing their quite stuff.
Also, he provided a few tables in the referenced article so I’ve updated them on the 2nd attachment.
I will now be tracking this and I have a new appreciation of SP500 volatility. (I’ve started trying to crack his market type and it’s challenging for this slow witted government worker.)
Of note, for fun I started by creating a Sharpe Ratio using a SP500 63 day look back and the 3 month Fed rate. It spits out a close Strong Bull, Bull etc. to his.
So …. that led me to Van Thorp’s web page and his newsletter ….. and that further led me to his many posts on “Market Type”. I particularly liked the Market Type discussions and how his thinking evolved on that subject. And … when he stated that the Market Type was proprietary …. well I had to see if I could steal it.
Van Thorp breaks markets down into either 1: Strong Bull, 2: Bull, 3: Neutral, 4: Bear or 5: Strong Bear. And then those descriptions are categorized by volatility as either 1: Very Volatile, 2: Volatile, 3: Normal or 4: Quite. Van Thorp does describe how he classified volatility and a good post on that subject is here:
http://www.iitm.com/Weekly_update/Weekly_425_May_27_2009.htm
So, I gathered the SP500 data from 1962 to present, and he used 1969 to 2009. There are some minor differences but we are very close. I decided to follow his standard deviation breakdown but …. to let the stats change every day depending on the averages and standard deviation. (That is, no static data of “This today” based on “Non changing Past”.
Of note: You can see in his article that the average ATR as a percentage of the close was 1.47 with a standard deviation of .72 on May of 2009. If he had gone back to 1962 it would have been 1.53 and .69 respectively. Currently, it’s 1.47 and .68 with the lowest “Quite” classification you could imagine.
It was very enlightening for me to see how the various volatility classifications shake out. You can see in the referenced article the largest ATR as a percent of close graph and it hasn’t changed much. But, the smallest have changed some and I have attached least 40 or so and you can see that 2017 (and June) are showing their quite stuff.
Also, he provided a few tables in the referenced article so I’ve updated them on the 2nd attachment.
I will now be tracking this and I have a new appreciation of SP500 volatility. (I’ve started trying to crack his market type and it’s challenging for this slow witted government worker.)
Of note, for fun I started by creating a Sharpe Ratio using a SP500 63 day look back and the 3 month Fed rate. It spits out a close Strong Bull, Bull etc. to his.
Recently, a kind helpful gentleman suggested I read Van Thorp’s “Trade your way to Financial Freedom” and I am enjoying it.
So …. that led me to Van Thorp’s web page and his newsletter ….. and that further led me to his many posts on “Market Type”. I particularly liked the Market Type discussions and how his thinking evolved on that subject. And … when he stated that the Market Type was proprietary …. well I had to see if I could steal it.
Van Thorp breaks markets down into either 1: Strong Bull, 2: Bull, 3: Neutral, 4: Bear or 5: Strong Bear. And then those descriptions are categorized by volatility as either 1: Very Volatile, 2: Volatile, 3: Normal or 4: Quite. Van Thorp does describe how he classified volatility and a good post on that subject is here:
http://www.iitm.com/Weekly_update/Weekly_425_May_27_2009.htm
So, I gathered the SP500 data from 1962 to present, and he used 1969 to 2009. There are some minor differences but we are very close. I decided to follow his standard deviation breakdown but …. to let the stats change every day depending on the averages and standard deviation. (That is, no static data of “This today” based on “Non changing Past”.
Of note: You can see in his article that the average ATR as a percentage of the close was 1.47 with a standard deviation of .72 on May of 2009. If he had gone back to 1962 it would have been 1.53 and .69 respectively. Currently, it’s 1.47 and .68 with the lowest “Quite” classification you could imagine.
It was very enlightening for me to see how the various volatility classifications shake out. You can see in the referenced article the largest ATR as a percent of close graph and it hasn’t changed much. But, the smallest have changed some and I have attached least 40 or so and you can see that 2017 (and June) are showing their quite stuff.
Also, he provided a few tables in the referenced article so I’ve updated them on the 2nd attachment.
I will now be tracking this and I have a new appreciation of SP500 volatility. (I’ve started trying to crack his market type and it’s challenging for this slow witted government worker.)
Of note, for fun I started by creating a Sharpe Ratio using a SP500 63 day look back and the 3 month Fed rate. It spits out a close Strong Bull, Bull etc. to his.
It's almost like your charts are suggesting that we're in the period of the mid 90s...strong bull market with low to quiet volatility.
Recently, a kind helpful gentleman suggested I read Van Thorp’s “Trade your way to Financial Freedom” and I am enjoying it.
So …. that led me to Van Thorp’s web page and his newsletter ….. and that further led me to his many posts on “Market Type”. I particularly liked the Market Type discussions and how his thinking evolved on that subject. And … when he stated that the Market Type was proprietary …. well I had to see if I could steal it.
Van Thorp breaks markets down into either 1: Strong Bull, 2: Bull, 3: Neutral, 4: Bear or 5: Strong Bear. And then those descriptions are categorized by volatility as either 1: Very Volatile, 2: Volatile, 3: Normal or 4: Quite. Van Thorp does describe how he classified volatility and a good post on that subject is here:
http://www.iitm.com/Weekly_update/Weekly_425_May_27_2009.htm
So, I gathered the SP500 data from 1962 to present, and he used 1969 to 2009. There are some minor differences but we are very close. I decided to follow his standard deviation breakdown but …. to let the stats change every day depending on the averages and standard deviation. (That is, no static data of “This today” based on “Non changing Past”.
Of note: You can see in his article that the average ATR as a percentage of the close was 1.47 with a standard deviation of .72 on May of 2009. If he had gone back to 1962 it would have been 1.53 and .69 respectively. Currently, it’s 1.47 and .68 with the lowest “Quite” classification you could imagine.
It was very enlightening for me to see how the various volatility classifications shake out. You can see in the referenced article the largest ATR as a percent of close graph and it hasn’t changed much. But, the smallest have changed some and I have attached least 40 or so and you can see that 2017 (and June) are showing their quite stuff.
Also, he provided a few tables in the referenced article so I’ve updated them on the 2nd attachment.
I will now be tracking this and I have a new appreciation of SP500 volatility. (I’ve started trying to crack his market type and it’s challenging for this slow witted government worker.)
Of note, for fun I started by creating a Sharpe Ratio using a SP500 63 day look back and the 3 month Fed rate. It spits out a close Strong Bull, Bull etc. to his.
Recently, a kind helpful gentleman suggested I read Van Thorp’s “Trade your way to Financial Freedom” and I am enjoying it.
So …. that led me to Van Thorp’s web page and his newsletter ….. and that further led me to his many posts on “Market Type”. I particularly liked the Market Type discussions and how his thinking evolved on that subject. And … when he stated that the Market Type was proprietary …. well I had to see if I could steal it.
Van Thorp breaks markets down into either 1: Strong Bull, 2: Bull, 3: Neutral, 4: Bear or 5: Strong Bear. And then those descriptions are categorized by volatility as either 1: Very Volatile, 2: Volatile, 3: Normal or 4: Quite. Van Thorp does describe how he classified volatility and a good post on that subject is here:
http://www.iitm.com/Weekly_update/Weekly_425_May_27_2009.htm
So, I gathered the SP500 data from 1962 to present, and he used 1969 to 2009. There are some minor differences but we are very close. I decided to follow his standard deviation breakdown but …. to let the stats change every day depending on the averages and standard deviation. (That is, no static data of “This today” based on “Non changing Past”.
Of note: You can see in his article that the average ATR as a percentage of the close was 1.47 with a standard deviation of .72 on May of 2009. If he had gone back to 1962 it would have been 1.53 and .69 respectively. Currently, it’s 1.47 and .68 with the lowest “Quite” classification you could imagine.
It was very enlightening for me to see how the various volatility classifications shake out. You can see in the referenced article the largest ATR as a percent of close graph and it hasn’t changed much. But, the smallest have changed some and I have attached least 40 or so and you can see that 2017 (and June) are showing their quite stuff.
Also, he provided a few tables in the referenced article so I’ve updated them on the 2nd attachment.
I will now be tracking this and I have a new appreciation of SP500 volatility. (I’ve started trying to crack his market type and it’s challenging for this slow witted government worker.)
Of note, for fun I started by creating a Sharpe Ratio using a SP500 63 day look back and the 3 month Fed rate. It spits out a close Strong Bull, Bull etc. to his.
Yes, I'm aware who this "kind gentleman" is. I'll have to shore up internal security procedures to keep leaks from getting out.