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feb2865

ACD Method

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hey bootstrap,

thanks for the reply. i see what u mean...to me using the opening range on the local market in which the base currency is used seems logic. do u count the whole 24hours as a session? i would think only the more volatile hours (or the major bank hours) in which that particular currency is traded should be used.

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Mikekcau I don't trade the currencies however I do trade the ES futures which are also a 24hr market. I am not sure if this is the response you were wanting me to give Chris but I'll give it a crack and hope I don't disappoint.

 

Using the opening range of the base currency is ideal. However that range can be developed from what Bootstrap already mentioned: pivot prices. For instance a high followed by a higher low and then a higher high can formulate your range. This then makes your range dependent upon your chart intervals you use instead of an arbitrary time range. I am presuming this is part of why Fish didn't put a hard number on the opening range time across all instruments as it is dependent upon the time frame one trades.

 

Once you have this range you then can calculate your A and C values from umpteen different ways. It could be from PA support and resistance levels, pivot points, Fibonacci numbers etc. I think what really is important is the reference points you develop in which to see market action. Like having a road map for your trading.

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Something to keep in mind about the ACD system is how much electronic trading has changed most commodity markets. Round the clock electronic trading has eliminated the importance of the pit, NYBOT futures don't even have a pit anymore, making a specific opening time rather fuzzy in most physical commodities. The best example is gold. Gold was a New York hours market when the book came out and activity was concentrated between 8:20 and 13:30. That has changed and now gold is more a London hours market. If you wait for 8:20 you've missed half of the day and by 12:00 the market is starting to get quiet on most days. Does anyone know how Fisher's traders have adapted?

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Not to beat a dead horse, and I'm feeling particulary winded today so I'll take a stab at this.

 

I like many trying to devise entry and exits using Fisher's ACD compared to systems related (e.g. Crable intraday, Connor's Double 7s and redacted intermediate &c.) came up short, until I was going through my notes unrelated and marked an undocumented general rule I jotted down after reading a discussion elsewhere that states ranges (mean pivot high-low) are four times the standard deviation of historical volatility (session close to session close), and that based on this rule the majority of data is found within 2 standard deviations of the mean.

 

Since ATRs are a range smoothing coefficient I'm led to assume that the exclusion of a factor of 5% with concern to Fisher's 20% of ATR generalization verses the 2 standard deviation curve accounts for both the elimination of noise and gaps in prices.

 

All very exciting to be sure, if you've been as interested as I've been trying to crack Fisher, but I'ld like to know precisely how he derived a 5% loss in data generally and/or finding a mean within variance day to day discretionary being prudent, and that variable can't be known unless heavily backtested comparing the standard deviation of historical volatility versus his assumption.

 

I'm almost certain the conclusion would be very interesting, and probably would end up being the crux of his and his company's whole philosophy, though in short I'm simply just not that interested.

 

A logical adaptation to Fisher's entries and exits would be to either multiply four to an ema of session close standard deviation percentages, or divide the ATR by 4 or 5 and experiment.

 

Either way, Fisher bases his formula on historical volatility and that because his rule for fluctuating percentages are both unkown and not a constant, affixing constants if interested in trading pure Fisher and noting differences in trade conditions seems ideal.

 

I don't know how anyone trading 10% in futures isn't like another person here alluded getting eaten alive by slippage on stop-outs.

Edited by Xuanxue

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