The ACD Method

[tonysoprano]

Ideally you want to track things that are highly correlated and move together

Highly correlated and move together and, getting back to the idea of the original post, ideally which of a) neither are trending b) one is trending and one is not? Thanks Mav.

 

[test_user]

Highly correlated and move together and, getting back to the idea of the original post, ideally which of a) neither are trending b) one is trending and one is not? Thanks Mav.

I'm going through the thread from its beginning and taking notes. I think this quote should answer your question:

I mentioned before that going forward I'm going to try to point out these spreads as they come up and I'll attach the charts for them for all to follow. What I am simply doing here with these is using what I call an anchor on the spread. The anchor is the ACD signal. In a perfect world, both markets would give you signals but that is not going to happen often with correlated assets. So you choose the anchor and then pick a lagging product to spread it against. We are not playing for mean reversion here, we actually want exposure in the direction of the ACD signal.

 

[tonysoprano]

I'm going through the thread from its beginning and taking notes. I think this quote should answer your question:

I do believe that it answers my question ... thanks. Not sure how I missed that paragraph of the commentary.

 

[test_user]

I do believe that it answers my question ... thanks. Not sure how I missed that paragraph of the commentary.

By the way, the quote is from 2011. Not sure if anything has changed since then. I'm only at page 320 out of 1400.

 

[Maverick74]

See, you guys don't even need me here. Just refer to the bible.

 

[test_user]

See, you guys don't even need me here. Just refer to the bible.

I knew it! I knew ACD is a religious sect!

 

[tonysoprano]

I trade entirely off ACD derivatives so the raw score is not as important now vs the relative values.

Hello Mav,
In this context does the term derivative refer to the calculus meaning (2nd, 3rd, etc) or some sort of other derivation. In an earlier post, I remember you referring to derivatives in the calculus sense but not sure if it was with respect to number lines. Thanks

 

[Maverick74]

Hello Mav,
In this context does the term derivative refer to the calculus meaning (2nd, 3rd, etc) or some sort of other derivation. In an earlier post, I remember you referring to derivatives in the calculus sense but not sure if it was with respect to number lines. Thanks

Yes, the change in one NL with respect to change in another NL.

 

[test_user]

I'm at page 480 at the moment and have seen a few posts in which Maverick74 says he is watching the markets for 60 hours a week. Many other posts indicate short-term trading: multiple posts per day about short term price movements happening during the day.

I'm wondering though if a similar approach is possible for long-term trading: analyzing data at EOD, making decisions on weekly time frames, etc. What would the sacrifice/trade-off be? Longer and deeper drawdowns? Lower percentage of winning months?

 

[Maverick74]

I'm at page 480 at the moment and have seen a few posts in which Maverick74 says he is watching the markets for 60 hours a week. Many other posts indicate short-term trading: multiple posts per day about short term price movements happening during the day.

I'm wondering though if a similar approach is possible for long-term trading: analyzing data at EOD, making decisions on weekly time frames, etc. What would the sacrifice/trade-off be? Longer and deeper drawdowns? Lower percentage of winning months?

All my trading is intermediate to long term. You still have to put in the time.