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these are not printing errors. In particular, the A value (2.0) and the C value (1.5) listed for ES in Appendix, Table A.5 are the same values as used for figures 1.14 and and 4.15 of the book. The calculations are coherent.
-> Further the book lists larger A than C values for ZC, ZS, ZW in Table A.5
-> The latest (2010) list from Mark Fisher has larger A than C values for the following contracts: ES, FESX, FGBL, FGBM, GC, NKD, NQ, R, SB, Z, ZC and ZW.
you could calculate some sort of daily theta BE off the ATM and plot that as a range?? also yrs ago i remeber using a STD band from BS using the front month ATM straddle vol... but it is very subjective and hard to program as an indicator...and prob similiar to bollinger bands?
That sounds too complicated. My problem with the Fisher method is that the breakout points seem to be set somewhat arbitrarily. Sometimes they are very close to the opening range and sometimes they are far away.
So I have settled for a different concept, based on failed breakouts. A failed breakout is the smaller move made by price as counted from the open:
Failure move = Mininum of (High - Open) and (Open - Low)
The smaller of these moves can be considered as noise produced by the market while it was in its typcial bipolar state of mind. From this I am calculating noise bands that define the levels beyond which a price move becomes meaning full. I have produced the noise bands indicator, and will in a nex step add standard deviation bands to the noise levels to get significance levels along with it.
Options implied volatity would be more interesting for adjusting daily range targets, but that is another story.
I subscribe to mark Fisher subscription service and trade crude Oil futures based off his ACD system. For 2011, for /ES A value is 3.5 points and C value=.5
Those are the values that I have used for my indicator. The chart shows ES price action for last Friday. The blue area is the pivot range, so ES made a good A Up against the pivot range. The A Down was not valid, as price did not stay below it for long enough, although this depends on the opening period selected.
Thanks for posting the chart. I am glad to find a fellow trader who uses ACD system. I trade primarily Crude oil intra day. When I trade /es, i use 9.30 to 9.50 ( Eastern time) as an OR and then wait for 10 minutes for confirmation of an A up and A down.
Look forward to learning about various refinements traders use to improve MF system.
Actually I do not use this system, I have just coded the indicator for comparison. All lines are plotted automatically, and the opening periods are adjusted to the opening period times used by Mark Fisher.
I prefer to use the SessionNoiseBands, as I have found that the breakout points indicated by them are more reliable as the ACD brekaout points. However, I do look at the pivot range as a trendfilter.
I am glad to hear that you are able to trade with a method which improves on MF system. I am not familiar with sessionNoise bands. Will look up today to see if I can find useful information about it. I will appreciate it if you can point me towards a link/source where I can read about them.
