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ACD trading By Mark Fisher
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ACD trading By Mark Fisher

  #111 (permalink)
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forrestang View Post
Just a note.... Pivot is above though, and the pivot is pretty wide, makes you think chop, but we've had some decent volatility since the open so far.

Retracing back to the A level after an A-Up.

PVR above, though wide, does not mean chop... but rather, downward bias ... what I have found is that a PVR in the middle of the range indicates chop... so is good for range trading it, with a tight stop, and using a KC with 1-1.5SD to determine extremes...

see pic from friday..

see pic from today...

chances are market will close lower.. there was selling into each HH... so we shall how today closes... maybe it will race to the PVR at the end of the day.. or it might make a C down to 1192...

btw, I am including part of the GRI report for yesterday, providing guidance for today... which is why I am a bit more downward bias myself... and to put it simply, I bought some puts at around 11AM.. not trading outrights today, working from the office...

Attached Thumbnails
ACD trading By Mark Fisher-today.png   ACD trading By Mark Fisher-friday2.png   ACD trading By Mark Fisher-gri2.png  

Last edited by sysot1t; November 1st, 2011 at 01:56 PM.
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  #112 (permalink)
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Fat Tails View Post
IMy question was serious. I just wanted to understand, where my indicators do not follow the original method. I am thinking that they do follow the method exactly, but maybe I am mistaken.

But, as you said that they don't, I am simply curious and would like to understand where I may have introduced involuntary changes. I really would appreciate, if you took the time to explain the differences.

ok, I missunderstood the question and your intentions then ...I will provide my point of view in more details later on... I think that is fair enough... at the end of the day, we are both trying to make money off the same basic concept..

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  #113 (permalink)
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sysot1t View Post
PVR above, though wide, does not mean chop... but rather, downward bias

... what I have found is that a PVR in the middle of the range indicates chop... so is good for range trading it, with a tight stop, and using a KC with 1-1.5SD to determine extremes...

Lemme clarify, the PVR comparative to the prior session or two, the narrowing or widening, I was thinking would give an indication of the type of day?

Since you mentioned it, I plan on posting some more pics where you can see the PVR closer to the OR, but not overlapping, and how price moves through it. It seems to be a very rare occurrence but with explosive directional moves. Here attached are two examples attached.

The bias as you mentioned, I was under the impression that the open in relation to the PVR was to give an idea of the general bias.

I.e. if we open RTH BELOW a pivot range, the bias is generally down. If we Open RTH ABOVE a PVR, general bias is up.

BTW, are you using the HLC/3 HL/2 for your PVR calculation?

Attached Thumbnails
ACD trading By Mark Fisher-prime2011-11-01_115913.jpg   ACD trading By Mark Fisher-prime2011-11-01_120009.jpg  
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  #114 (permalink)
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forrestang View Post
Lemme clarify, the PVR comparative to the prior session or two, the narrowing or widening, I was thinking would give an indication of the type of day?

Since you mentioned it, I plan on posting some more pics where you can see the PVR closer to the OR, but not overlapping, and how price moves through it. It seems to be a very rare occurrence but with explosive directional moves. Here attached are two examples attached.

The bias as you mentioned, I was under the impression that the open in relation to the PVR was to give an idea of the general bias.

I.e. if we open RTH BELOW a pivot range, the bias is generally down. If we Open RTH ABOVE a PVR, general bias is up.

BTW, are you using the HLC/3 HL/2 for your PVR calculation?


keep in mind, the whole ACD is layers... what I am yet to incorporate is the number line... but anyhow... PVR is always additional R/S... a very narrow one means trending day... a "wide" one.. chop... but the above and below the OR indicates bias... the whole thing about the C is that it will dictate to you when to change your bias even when all other things align per say...

what I have found, as I said above, is that real chop is found when we have the PVR inside the OR... those days, I reduce size and just go for a point or two... to be honest, I have issues with trading those days... I lose money most of the time if I stay on all day... which is why recognizing those days is critical and then changing the plan to a daily goal is ideal for those days...

if the OR engulfs the upper or lower range of the OR, those are different meanings...

if UpperOR inside PVR, and price bounces downward off that, I short with the stop above the PVR/OR.. whichever is lower... same rules about time apply for me btw... if it goes through, I go long with the stop at the edge of the PVR/OR... just as the rules state...

I use the formulas in the book, with the sessions in the book, I change absolutely nothing... I have added a few things... Delta Divergence and RSI signals.. footprint on the trading chart... along with a KC when ranging.. but that is it... I use the ACD method as it was meant originally..and I use to determine S/R mainly... my entries are confirmed off the FP charts telling me if volume is really coming in or not... that and also looking at other correlated markets to see if they hit a S/R level... you will be surprised how many times one stops because of the other market hit a level...

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  #115 (permalink)
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@sysot1t
I'm not to into that number line myself. Maybe eventually, but now it's just looking at the OR in conjunction with the PVR.

@EveryoneElse.....
What are you using to calculate the PVR? I am either doing it wrong somehow, or something. As I am NOT getting what I should be getting. Specifically, what formula are you using to calculate it? Also, are you guys using the entire day, or just the RTH session for calculations?

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forrestang View Post
@sysot1t
I'm not to into that number line myself. Maybe eventually, but now it's just looking at the OR in conjunction with the PVR.

@EveryoneElse.....
What are you using to calculate the PVR? I am either doing it wrong somehow, or something. As I am NOT getting what I should be getting. Specifically, what formula are you using to calculate it? Also, are you guys using the entire day, or just the RTH session for calculations?

the rules in the book state clearly it is calculated with the session hours as determined by the ACD systems...those are the hours I use for my custom session... in this case, for ES, they coincide with RTH.

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forrestang View Post
@sysot1t
I'm not to into that number line myself. Maybe eventually, but now it's just looking at the OR in conjunction with the PVR.

@EveryoneElse.....
What are you using to calculate the PVR? I am either doing it wrong somehow, or something. As I am NOT getting what I should be getting. Specifically, what formula are you using to calculate it? Also, are you guys using the entire day, or just the RTH session for calculations?

number line is for additional bias, the notion that history repeats itself... just another layer. the issue for me is calculating it with market delta is not all that simple, and I have to remember to login to the site and get the data.. the gri reports are delivered to my inbox, so that makes it easier to review.

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forrestang View Post

@EveryoneElse.....
What are you using to calculate the PVR?

Ignore this.

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  #119 (permalink)
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forrestang View Post
@EveryoneElse.....
What are you using to calculate the PVR? I am either doing it wrong somehow, or something. As I am NOT getting what I should be getting. Specifically, what formula are you using to calculate it? Also, are you guys using the entire day, or just the RTH session for calculations?

@forrestang: I am not even igoring this post....

For ES there is an end-of-month trap. As we have November 1, I just would like to mention it. This is the trap:

On normal working days the settlement price for ES is determined as the volume weighted average price of all trades between 3:14:15 PM CT and 3:15:00 PM CT, which is the last 30 seconds of the session. Therefore the close and the settlement price do not differ a lot. Maybe the close is 2 or 3 ticks off, this error is introduced to the pivot with a factor 1/3, so in the end the pivot calculated from the settlement price may be 1 tick of the pivot calculated from the close.

BUT

On the last day of the month the settlement price for index futures is calculated from the closing price of the cash market at 4:00 PM EST via a fair value procedure. So you can get a large difference, resulting from the differential between futures and fair value on the one hand and from a directional move of the market between 3:00 PM CT and 3:15 PM CT on the other hand.

And indeed yesterday was the last business day of the month. ES closed at 1246.50 while the settlement price was at 1249.25. I believe that the pivot should use the settlement price. If you calculate your pivot from intraday data (CalculateOnBarClose), the pivot for today is 1 point off. The same applies to the pivot range.

ES 12-11 Pivot PP calculated from settlement price: 1254.00
ES 12-11 Pivot PP calculated from close: 1253.00

I believe that 1254.00 is the correct value, which you can only obtain, if you calculate it from daily data (DailyBars), for example by using NinjaTrader Kinetick data.

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  #120 (permalink)
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Fat Tails View Post
@forrestang: I am not even igoring this post....

For ES there is an end-of-month trap. As we have November 1, I just would like to mention it. This is the trap:

On normal working days the settlement price for ES is determined as the volume weighted average price of all trades between 3:14:15 PM CT and 3:15:00 PM CT, which is the last 30 seconds of the session. Therefore the close and the settlement price do not differ a lot. Maybe the close is 2 or 3 ticks off, this error is introduced to the pivot with a factor 1/3, so in the end the pivot calculated from the settlement price may be 1 tick of the pivot calculated from the close.

BUT

On the last day of the month the settlement price for index futures is calculated from the closing price of the cash market at 4:00 PM EST via a fair value procedure. So you can get a large difference, resulting from the differential between futures and fair value on the one hand and from a directional move of the market between 3:00 PM CT and 3:15 PM CT on the other hand.

And indeed yesterday was the last business day of the month. ES closed at 1246.50 while the settlement price was at 1249.25. I believe that the pivot should use the settlement price. If you calculate your pivot from intraday data (CalculateOnBarClose), the pivot for today is 1 point off. The same applies to the pivot range.

ES 12-11 Pivot PP calculated from settlement price: 1254.00
ES 12-11 Pivot PP calculated from close: 1253.00

I believe that 1254.00 is the correct value, which you can only obtain, if you calculate it from daily data (DailyBars), for example by using NinjaTrader Kinetick data.

and this is what i mean by you not following the method in its true nature... what page in the book says to use the settlement price for calculating the PVR/OR for the first of the month? I might have missed it... and if I did, I would certainly like to know as I would have to re-evaluate everything without delay..

as an FYI... here are the values from the source(MBF subscribers site) that were to be used for today.. also, please keep in mind settlements for ES/NQ are derived from the full contracts, not using the emini...

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