@baggerlord taking a position now in a semiconductor company could be a bit speculative as all of them are about to publish their quarterly results. Quite often does this result in price volatility of the reporting company.
The ACD Method
- Thread starter sbrowne126
- Start date
Yeah all the positions I'm in are publishing in the next week or two. I've adjusted my position size accordingly.
I feel that MSCC is weak but it has not been able to move lower on weakness and the last few sessions have been pretty bullish. I'd not long it but would not short this either.
Finally managed to get it done. Given it has been some time, a little refresher.
I posted a piece by Steenbarger about 3 diligent traders, only one profitable, the one who analysed the market and adapted to it. It resonated because 2017 has been a sometimes frustrating year for me, due to my trading style. I track daily ranges in deciles, as well as volatility, so I knew we were in the lower end for both, but how it was impacting me was not something I analysed yet.
My bread and butter trade is entries off the 5D NL Derivatives for a trade that can last anywhere from overnight to weeks if I catch the turns. I don't have profit targets, I trail the stop, the more explosive the move the looser the stop. This year there has been a heck of a lot of price hardly getting going before it comes back. Too much money left on the table so I started taking partial profits when price stalled, or at 1R. Not a very scientific way of doing it, the market doesn't give a toss about my 1R. I know others who use pattern heights, or waves and such to set targets, I haven't got into all that.
Then Robert Yanks posted a piece on how Van Tharp classifies the markets, and I resolved to do something about it, as in analysing further.
Two files attached, AUD.USD and CAD.JPY. Data from 2013, no significance other than these are my daily working files so I don't want them too large, take forever to load.
I have analysed daily ranges by decile, H-L as a percentage of yesterday's Close. I also analysed trailing 3 day, 5 day and 10 day ranges, again H-L for the period as a percentage of the close immediately before the period.
Page 2 of each file has 2 tables.
On the left is the average decile for each month for daily as well as the periods. Simple average, quick and dirty. On the right I grouped the deciles into 1st-3rd, 4th-6th, 7th-9th, and 10th, (you could say low, medium, high and extreme ranges), then did a count of how many trading days each month for each group.
If you look at both pairs, not only are the averages lower this year, the number of days in the 1st-3rd decile is high for AUD.USD and the 1st-6th decile for CAD.JPY.
If you look at Page 1, there are two tables also. On the left, for 2017 only, I have averaged the number of pips for each decile for daily as well as 3, 5 and 10 day periods. On the right I used the 5th decile as the index value, and computed the average for each decile as a proportion of 1. So for AUD.USD, daily, the 1st decile was about half the range of the 5th decile, and the 9th decile more than 3 times the 1st decile.
That pattern holds for the various periods, so if you have been trading AUD.USD this year, you basically had a lot less leeway.
I have always believed trade management is key to profits. An overly wide stop and you reduce your position size for any given risk percentage, and if you take profits too early, you either leave money on the table on the short term move, or cut your trade short and deny yourself the opportunity for a longer term move for hundreds of pips.
I analyse every trade for MAE and MFE. If I have a 50 pip stop and an MAE of 7 pips, I had a great entry but a lousy stop. A 20 pip stop there would have meant a trade size 2.4 times bigger and a pip value similarly larger. If the MFE is 200 pips and you get 120 pips because you scaled out too soon or just closed too early or too late (when it was heading back to your entry) then you have left 40% of the trade on the table.
For someone like me who doesn't day trade, the really good trades don't come my way daily, so wasting those opportunities with poor trade management is inexcusable.
Not handing over the keys to the castle, let's just say I will be doing data analysis on my full data set to try and establish a statistical basis to setting targets under conditions of lower volatility. When things move better, I'll just stick to trailing stops.
I posted a piece by Steenbarger about 3 diligent traders, only one profitable, the one who analysed the market and adapted to it. It resonated because 2017 has been a sometimes frustrating year for me, due to my trading style. I track daily ranges in deciles, as well as volatility, so I knew we were in the lower end for both, but how it was impacting me was not something I analysed yet.
My bread and butter trade is entries off the 5D NL Derivatives for a trade that can last anywhere from overnight to weeks if I catch the turns. I don't have profit targets, I trail the stop, the more explosive the move the looser the stop. This year there has been a heck of a lot of price hardly getting going before it comes back. Too much money left on the table so I started taking partial profits when price stalled, or at 1R. Not a very scientific way of doing it, the market doesn't give a toss about my 1R. I know others who use pattern heights, or waves and such to set targets, I haven't got into all that.
Then Robert Yanks posted a piece on how Van Tharp classifies the markets, and I resolved to do something about it, as in analysing further.
Two files attached, AUD.USD and CAD.JPY. Data from 2013, no significance other than these are my daily working files so I don't want them too large, take forever to load.
I have analysed daily ranges by decile, H-L as a percentage of yesterday's Close. I also analysed trailing 3 day, 5 day and 10 day ranges, again H-L for the period as a percentage of the close immediately before the period.
Page 2 of each file has 2 tables.
On the left is the average decile for each month for daily as well as the periods. Simple average, quick and dirty. On the right I grouped the deciles into 1st-3rd, 4th-6th, 7th-9th, and 10th, (you could say low, medium, high and extreme ranges), then did a count of how many trading days each month for each group.
If you look at both pairs, not only are the averages lower this year, the number of days in the 1st-3rd decile is high for AUD.USD and the 1st-6th decile for CAD.JPY.
If you look at Page 1, there are two tables also. On the left, for 2017 only, I have averaged the number of pips for each decile for daily as well as 3, 5 and 10 day periods. On the right I used the 5th decile as the index value, and computed the average for each decile as a proportion of 1. So for AUD.USD, daily, the 1st decile was about half the range of the 5th decile, and the 9th decile more than 3 times the 1st decile.
That pattern holds for the various periods, so if you have been trading AUD.USD this year, you basically had a lot less leeway.
I have always believed trade management is key to profits. An overly wide stop and you reduce your position size for any given risk percentage, and if you take profits too early, you either leave money on the table on the short term move, or cut your trade short and deny yourself the opportunity for a longer term move for hundreds of pips.
I analyse every trade for MAE and MFE. If I have a 50 pip stop and an MAE of 7 pips, I had a great entry but a lousy stop. A 20 pip stop there would have meant a trade size 2.4 times bigger and a pip value similarly larger. If the MFE is 200 pips and you get 120 pips because you scaled out too soon or just closed too early or too late (when it was heading back to your entry) then you have left 40% of the trade on the table.
For someone like me who doesn't day trade, the really good trades don't come my way daily, so wasting those opportunities with poor trade management is inexcusable.
Not handing over the keys to the castle, let's just say I will be doing data analysis on my full data set to try and establish a statistical basis to setting targets under conditions of lower volatility. When things move better, I'll just stick to trailing stops.
I did a lot of testing of various trade management schemes based on % movement, volatility, some indicators, and pure price targets and stops. I found that all I was doing was shifting around the distribution of my returns without adding any expectation. In most data sets I found that even having a stop loss was very bad for the signals I was testing. I hope you can do better of course. For now I am happy to let various conditions get me in to trades and keep them as long as those conditions are met. One of them is an acd derived price level, which provides me with an estimate of max loss barring a big gap, which will of course happen from time to time. But I at least have an estimate of a "typical" full loss. I have found that generally my ACD stuff gets me out of bad trades long before price reaches that stop loss level, and I have a positive skew which I should since I am basically trend following. So the R:R is there by nature of the methodology without any arbitrary ratio being implemented by me directly. I think you are on the right track with volatility being a factor in your management. Of course this is the ACD thread so we should all be using volatility in our decision making. 
It ended up as my semiconductor choice because i have some non-ACD factors that come in to play when it comes down to final trade choice and timing. I agree with your sentiment on not wanting to be in it either way in the short term, but my 30 day looks very nice for a short, confirming on 7/7.
Well I closed my trades yesterday. Things look to be shifting and I was positioned wrong. Moved into some value plays because I'm going to be offline for a while due work, hopefully when I'm back I can post screenshots of a badass acd gui I hope to create while offline.
As of July 2017, is there ACD software for Ninja trader? Can't find any.
All’s very “Quite” on the SP-500 front. (If interested, see my recent post about Van Thorp’s volatility calculation and classification.)
As if you didn’t already know it, today and last Wednesday are the smallest 20 day ATR as percent of close since 1962 (.44%). Additionally, 7 days in July were a part of the lowest numbers recorded.
The historic returns based on nothing more that a simple volatility classification is ......... interesting.
As if you didn’t already know it, today and last Wednesday are the smallest 20 day ATR as percent of close since 1962 (.44%). Additionally, 7 days in July were a part of the lowest numbers recorded.
The historic returns based on nothing more that a simple volatility classification is ......... interesting.
You guys might want to watch the Yen....just sayin...