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ACD trading By Mark Fisher
Started:November 17th, 2010 (09:46 PM) by incometrade Views / Replies:110,930 / 519
Last Reply:December 1st, 2016 (02:55 PM) Attachments:163

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ACD trading By Mark Fisher

Old   #461 (permalink)
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CL "Optimal" OR period

Hello everyone,

In his book, Mark Fisher states that five-minute opening range is actually the high or the low of the day for crude oil about 15-18% of the time, and the ten-minute opening range is actually the high or the low of the day about 17-23% of the time. Naturally, the longer the OR period is the higher the probability of it representing the high and the low of the session is, all the way up to 100%. I would like to find the OR for CL that gives the higher occurrence in the shortest period of time.

I was thinking about using excel to do this but I am not sure if the appropriate CL data would be available, does anyone know?.

Cheers
Carlos

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Old   #462 (permalink)
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Fat Tails View Post
I have today updated the opening range indicator. The new version is more adapted to the ACD method.

-> The opening range can be shifted away from the start of the regular session (Mark Fisher suggests to start the opening period at 8:30 AM EST.
-> The new indicator loads a secondary bar series of 1-minute data, which allows to calculate the exact high and low of the opening range. The values will also be exact on charts built from ticks, such as tick, volume, range or renko charts.
-> The indicator can also be used to detect the opening range of the regular session on charts that use an undivided ETH session template. In that case the first (and only) intraday session should be selected and the offset should be set to the time difference between the start of the regular session and the start of the trading day (15:00 hours for CL).
-> Alternatively the regular open or the 1-minute range (range of the first minute of trading) can be displayed.

Below is a chart that shows both the opening range and the pivot range for CL 01-14. The indicator is a preversion, which can be used for testing purposes. Any feedback is welcome.

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The indicator attached to post #457 still had a few minor bugs. Please follow the link below for the final versions in the download section of the forum.

https://futures.io/elite-circle/25791-toolbox-2013-trading-session-21.html#post373951

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Old   #463 (permalink)
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i used ACD system 3 years ago for FX.i'm not using it anymore.
the point i should mention is that , i set the ACD time for gold in the time that's trading in india session.(changed from usa session to india session ) and it had a better results .

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Old   #464 (permalink)
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cnat View Post
Hello everyone,

In his book, Mark Fisher states that five-minute opening range is actually the high or the low of the day for crude oil about 15-18% of the time, and the ten-minute opening range is actually the high or the low of the day about 17-23% of the time. Naturally, the longer the OR period is the higher the probability of it representing the high and the low of the session is, all the way up to 100%. I would like to find the OR for CL that gives the higher occurrence in the shortest period of time.

I was thinking about using excel to do this but I am not sure if the appropriate CL data would be available, does anyone know?.

Cheers
Carlos

I realize all I really need to know is that, at least for CL, the ACD method seems to have an statistical edge. I don't understand why a method like this that will draw two breakout,s/r,line in the sand,what? lines on unknown places of future price action would work, but it does

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Old   #465 (permalink)
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day trading oil futures without indicators

Futures Edge on FIO

Which products do you trade?

 

cnat View Post
I realize all I really need to know is that, at least for CL, the ACD method seems to have an statistical edge. I don't understand why a method like this that will draw two breakout,s/r,line in the sand,what? lines on unknown places of future price action would work, but it does

ACD works on all Volatile instruments. Not very good for indices like E-mini etc.

Just using A up and A down does not give meaningful edge/context. When other layers of ACD get combined with OR

then there is trade able edge.

I am reversion to the mean trader so use wide 45 minutes OR. Breakout trader use smaller time frame OR like 5

minutes.

Here is a link where another user of ACD provides some thoughts

ACD Method Intro

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Old   #466 (permalink)
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mfbreakout View Post
ACD works on all Volatile instruments. Not very good for indices like E-mini etc.

Just using A up and A down does not give meaningful edge/context. When other layers of ACD get combined with OR

then there is trade able edge.

I am reversion to the mean trader so use wide 45 minutes OR. Breakout trader use smaller time frame OR like 5

minutes.

Here is a link where another user of ACD provides some thoughts

ACD Method Intro

Thank you mfbreakout. Could you please expand a little bit on what you said "I am reversion to the mean trader so use wide 45 minutes OR", that would be very helpful I think.

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Old   #467 (permalink)
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daytarding


cnat View Post
Thank you mfbreakout. Could you please expand a little bit on what you said "I am reversion to the mean trader so use wide 45 minutes OR", that would be very helpful I think.

Google it for more details. Reversion to mean traders like to fade the moves.

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Old   #468 (permalink)
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Please try these direct file links instead of the folder link above
ACD Method.pdf - 4shared.com - document sharing - download
fisher-1.wmv - 4shared.com - file sharing - download movie file
fisher-2.wmv - 4shared.com - file sharing - download movie file
fisher-3.wmv - 4shared.com - file sharing - download movie file
fisher-4.wmv - 4shared.com - file sharing - download movie file
fisher-5.wmv - 4shared.com - file sharing - download movie file
fisher-6.wmv - 4shared.com - file sharing - download movie file
intro-Nov-2003.wmv - 4shared.com - file sharing - download movie file
intronew-May2005.wmv - 4shared.com - file sharing - download movie file
live_trading(1).wmv - 4shared.com - file sharing - download movie fileh
rapup-May 2005.wmv - 4shared.com - file sharing - download movie file


hey fellas
Are theire any other educational materials available for Fisher method?

Thanks
Amir

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Old   #469 (permalink)
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Fat Tails View Post
The indicator attached to post #457 still had a few minor bugs. Please follow the link below for the final versions in the download section of the forum.

Hi FT,

I wanted to send you a PM but couldn't due to the 5 posts rule here.

I found this site (and more specifically this post) when I was looking for info on ACD Trading by Mark Fisher.
I read the book and has done some trading according to that method for a while.

I am currently in Shanghai (and other reasons...) so I trade the SH Index Futures (SHIF) on a daily basis.
My habit is not to hold any inventory overnight.

Anyhow, I have been testing your Noise Band method using the last 40 trading days data and has found a roughly 70% win rate on a daily basis. I will look into this deeper as the data is most likely insufficient.

I just wanted to check with you on my observations:

1. I found that when the noise bands are very narrow, the results are particularly poor. By narrow I mean when the band is less than 0.5 pts (1 tick on the SHIF is 0.2 pts and the index closed at 2143.2 last friday).

2. The noise band width is less than or equal to 0.5pts for 9 out of the the last 40 trading days. On those days, there tend to be more false breakout and I end up having to stop losses more frequently.

3. so far, I have seen the noise bands range from 0 ~ 3pts. There are days when the 10d average and 20d average of min(High - Low) and (Open - Low) are exactly the same.

Q1. Have you seen anything like that when you used your method ? Perhaps the noise bands were never that narrow for what you trade ?

Q2. The target bands do not work at all for the SHIF. I think I have found it to be effective in only 1 of the trading days I studied.

Much Appreciated if you may shed some light on the above.

Thanks.

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Old   #470 (permalink)
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amirrh View Post
Please try these direct file links instead of the folder link above
ACD Method.pdf - 4shared.com - document sharing - download
fisher-1.wmv - 4shared.com - file sharing - download movie file
fisher-2.wmv - 4shared.com - file sharing - download movie file
fisher-3.wmv - 4shared.com - file sharing - download movie file
fisher-4.wmv - 4shared.com - file sharing - download movie file
fisher-5.wmv - 4shared.com - file sharing - download movie file
fisher-6.wmv - 4shared.com - file sharing - download movie file
intro-Nov-2003.wmv - 4shared.com - file sharing - download movie file
intronew-May2005.wmv - 4shared.com - file sharing - download movie file
live_trading(1).wmv - 4shared.com - file sharing - download movie fileh
rapup-May 2005.wmv - 4shared.com - file sharing - download movie file


hey fellas
Are theire any other educational materials available for Fisher method?

Thanks
Amir

@amirrh

welcome to these threads, we can only imagine (based on your location) what its like...

please re-post those downloads, nothing came through, nor is available,
preview your post, before, or edit this one, and correct, what you meant to attach...

thanks in advance

from all of us!

welcome!

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