Came across this series of 6 sessions in a webcast seminar resented by Mark Fisher on his ACD Method of trading. Details of this method are found in his book The Logical Trader. 

http://www.nymex.com/jsp/education/sym_webcast.jsp#5 

http://www.investopedia.com/articles/trading/

The Basics 

Fisher describes his ACD system and how it works in a book entitled The Logical Trader. Unlike many in the business of helping traders, he is quite happy to share the system he uses because he believes the more people there are using it, the more effective it will be. 

Basically, his system provides A and C points for entry of a trade, and B and D points as exits--hence the name. It is a breakout strategy that works best in volatile or trending markets with a special group of stocks and commodities (those with high volatility work best). He frequently uses natural gas and crude oil as examples in his book, but he also mentions commodities like sugar and a host of stocks. These references are good tip-offs on the kind of markets for which it is good to use the ACD.

A New System is Born

While working on a system to trade as a graduate student at the Wharton School of Business in the early 1980s, Fisher observed the importance that the opening range held in setting the tone for the trading day. In the case of crude oil (where the opening range at the time was 10 minutes), the opening range was the high or the low of the day between 17% and 23% of the time. If markets were truly random, and since there are 32 ten-minute periods in the trading day, one would expect the opening range to be the high or the low 1/16 (or 6.25%) of the time (1/32 for high and 1/32 for low). Put another way, the likelihood that the opening range will be either high or low for the day is more than three times what one would expect if market movements were truly random, as has been postulated by the random walk theory. Fisher is not the only person to have discovered this fact. A number of trading systems in use today rely on an opening range for providing clues to directional bias.

Here is how a trader uses the ACD system on a given day. First, he or she monitors world markets about an hour or so before the market opens. This helps him or her get a feel for what traders around the world are doing. Next, it is important to read commodity reports. What reports are coming out today that could have a strong influence on the trader's market? A crude oil trader, for example, would follow OPEC (Organization for Petroleum Exporting Countries) meetings for any signs of a cutback or increase in production quotas, weather reports affecting oil consumption, the weekly oil inventory report, as well as the weekly natural gas storage figures. 
Once the market opens, the S&P 500 index trader, for example, follows the first 15 minutes of the market, which is the opening range (OR) used in the above example, marking high and low horizontal lines on his or her chart for the day. This trader then waits for an A up or an A down to occur. In this case, the index moves above the OR and rises a further three points putting in an A up. 

The trader places a stop order and buys the index at the A up. A stop loss would be set below the low value of the OR (B-exit) so that if the market moved in the undesired direction for more than this amount once the trader is in the trade, he or she would get out--best to keep the money to trade another day. If the trade continued in the desired direction for the day trader, he or she would exit the trade near the end of the day. 

AC down occurs if the A up signal is generated, but then the index trades down below the opening range. Using the lower limit of the OR (B exit), the trader would exit when this line is penetrated and reverse his or her position (sell short) when a C down was put in. AC down (or C up) moves are far rarer. They are interesting because the later in the day they occur, the more intense the move: the less time traders have to exit a trade on a reversal, the more urgent it becomes and hence the greater the volatility. According to Fisher, this is one instance in which staying in a trade overnight might be a good idea, as markets often experience gaps at the open of the following day.

AC down occurs if the A up signal is generated, but then the index trades down below the opening range. Using the lower limit of the OR (B exit), the trader would exit when this line is penetrated and reverse his or her position (sell short) when a C down was put in. C down (or C up) moves are far rarer. They are interesting because the later in the day they occur, the more intense the move: the less time traders have to exit a trade on a reversal, the more urgent it becomes and hence the greater the volatility. According to Fisher, this is one instance in which staying in a trade overnight might be a good idea, as markets often experience gaps at the open of the following day.
Choose Your Time Frame 

The beauty of the ACD system is that it works in almost any time frame. A day trader might use a five-minute period as his or her basis for trading, while a longer-term trader might use daily data. 

For a longer perspective, Fisher describes the macro ACD. This still requires reference to intraday data to determine opening range and A up or down, etc. The difference is that now the longer-term trader keeps a tally of the score each day in a running total. Fisher assigns daily values based on market action. For example, if the equity puts in an A up early in the day and never trades below the opening range, the day would earn a score of +2. If it puts in an A down and never closes above OR, he gives it a 2. His daily scale ranges from +4 to 4. A total is kept and each day the new daily value is added while the oldest score 30 days ago is removed. On a day in which the running tally is increasing, the longer-term trader would consider this bullish. The more rapidly the value is increasing or decreasing, the more bullish or bearish the signal. 

A full discussion of this strategy is beyond the scope of this article, but suffice it to say that Fisher has found it to work very well in providing his traders with a macro look at the market in which they trade. Those interested in learning more are advised to obtain a copy of The Logical Trader or go to Fisher's website. He offers a subscription service to those who would like to get regular information on the values of A and C points on various equities and commodities, as well as details on how to best use his system. 

Conclusion - Tip of the Iceberg

The principles discussed here are just a glimpse of how the ACD system works, so before using it, make sure you do more reading and homework. The system is also not a plug-and-play trading strategy that can be used on any equity. Those equities that work best for ACD are highly volatile, very liquid (lots of daily trading volume), and subject to long trends--currencies tend to work very well with the ACD system. Keep in mind that, although we used the S&P 500 index in the above example, Fisher did say in a telephone interview that it does not work particularly well and that he believes there are far better candidates to trade with the ACD. It is also important to note that it does not work very well on low volatility equities stuck in a trading range.

If you're looking for new and interesting trading ideas to pursue and you aren't afraid to do some work, the ACD system offers another way to look at markets and a method of taking advantage of the daily volatility and trends of stocks, commodities and currencies.

http://www.thelogicaltrader.net/


I watched a seminar that Mark Fisher did (on the web).

I then took out a trial subscription to his web site where he gives all the A and C values and a lot of very useful information.
The cost is $1625 per year. I am not sure I will take out an actual paying subscription though.

He gives A for cable as 26 and C as 58. I think that is too high (hes the guru and I am questioning him!) as I only want 200 pips a week, and I think these levels leave too much behind.

I have thus worked out the daily ATR, and look at the last 10 days and 30 days. The reason I do that is in case there are large divergences between recent volatility and longer volatility.

Currrently they are both 140, and so at 10% of ATR A = 14. I stress that these are my numbers not his, and so I suppose I am not following his A and C values.

He did mention in the seminar that the A and C values are based on the 10 and 30 day ATRs, and looking at cable it probably is 20% (he mentioned 22% for the Euro)

These are the A and C values for the pairs you are trading as of 12-24-04
Euro : 10 and 12.5
CAD : 7 and 7
Chf : 11 and 22
Jpy : 8 and 15

Opening Range: between 07:30 and 08:00 hrs London Time.

Mark Fisher has researched and sampled many financial instruments, and based upon his research the 2.30-3.00am est is the best opening range for the Euro.

The web site has CHF opening range the same as Euro and GBP (2.30am - 3.00am EST), which makes sense as the domicile market is Europe.

Opening range High = 1.3275
Opening Range Low = 1.3263

A = 10% of ATR
C = 15% of ATR

B = Opening range low if A long is filled and opening range high if A low is filled. 

C is secondary entry after A is filled and price goes past B.

Once an A has been made the next probable entry point in the ACD system is Point C. Point Cs are calculated (just like As) based upon a certain number of ticks above or below the opening range.

Point C is the crossover point at which your bias shifts from bullish to bearish, or vice versa. * * * If you establish a short position below Point C, whats the first thing you must ask yourself: Where will you get out if you are wrong? Just as with the Point A, the stop for Point C coincides with the opening range. If you have a C down, the stop  known as Point D  would be one tick above the top of the opening range.

If its an A down the top of the open range is the stop, reverse Aup stop is bottom of open range

my A's are at present 10% of the 10day atr.
my C's are 15% of the 10day average tru range

Long at 1.3275 + A (0.0013) on Stop Limit.
Currently long (entry at 1.3288)
Exit Long at (1.3263 -0.0001) on Stop.

To Go Short at 1.3263 -  A (0.0010) = 1.3253 on Stop Limit.
To Exit Short at (1.3275 + 0.0001) on Stop.

Exit all Positions at 20:00 hrs London Time.

The above plan includes clear entries and exits.
Please let me know if something is not clear.

Following Mark Fisher acd method. You may like to keep a eye on this method of a trailing stop as it is quite good in my opinion,

5pips below each 5min low as per attached chart.  Move stop to higher retracement.




Entry Orders are Stop Limits and Exit Orders are Stop Market orders as seen on Mark Fisher webinars.


"It gets down to this, price has an explosive breakout, up or down, from a center point. That is what sets"									
"or establishes the trend. Thus we have two problems; first, what do we mean by an explosive breakout (how"									
"much of an up or down move), and second, from what point do we measure this expansion in price?"
									
I BELIEVE THAT THE Boll Bands are as good as one needs to define a breakout(coupled with a few filters)	
								
I think explosive breakout is explained in the ADTMF system (re understanding boll bands)
									
To measure volatitily as a percentage is also achieviable through understanding bol bands.									
to measure vol =upper band minus lower band /by boll moving average *100 
                     									
"It is really as simple as that, a pickup in range, substantially greater than yesterday's range implies a"									
change in the current market direction.	
								
"Market profile is a way of obtaining the above,but is quite complicated and time consuming,however this simple sum can "									
"achieve Market profile results more than 90% of the time,(high +low+close)/3,Thence (high+low/2).Thence the difference of the two sums"									
"can be added to and subtracted from the (high+low+close)/3,to give you a Range,this range is Market Profile,over 90%of the time"									

"Of all the trend entry approaches I am aware, from moving averages to trendlines, oscillators to Ouija"									
"boards, and fancy math to simple charts; I have never seen a more consistently profitable mechanical entry"									
"technique than volatility breakouts. It is the most consistent of all entries I have ever traded, researched or"									
seen. Now let's look at some ways of using this basic concept.
									
"I agree with the above ,whether you use a opening range ,or boll band,type breakout,they are the easiest to spot and the most reliable."									
The question is when can you define the Fx market 					as open so as to be able to add a % of yesterdays range to the open as a filter?				
"I find it hard to go past Mark Fisher's idea of a domicle market for each pair,and that is what I use,plus 10% of the 10 to 30 day average daily range.for "									
my A's and 15% for my C's. I am finding that the Boll band breakout is giving earlier entries than ACD entries.


ACD is a system ,which claims the domicle market ,opening range,and time stops for entry and exits as the edge that is needed to win.
,also the pivot range is a very big part of that edge.

ADTMF on the other hand says the boll bands ,moving averages, measureing volatitily ,horizontal and vertical analysis ,tripple screen,and sar,are the edges it uses to over come the odds.

when you have such a wide range of information that these two systems have ,and put it together ,and both say go,I feel that the odds will be in your favour.

what do both systems have in common ? they both claim that they will work on any time frame,intraday,day,month,ect, also they are robust enough to work on anything that has volatitliy, they are both breakout systems, they both have a means of taking a intrday trade and extending it into a few days.

both systems have been proven over many years,and refined to allow the trader to trade in todays markets. both authors are still using these system today


Trading ACD is not a mechanical exercise, and cannot be mechanised. There is no formula that says "if this happens, do that" It gives a framework for the day, and if the market is above the opening range and above the pivot, the day looks bullish.

There is an argument to say that when the market is ranging (with pivot ma's pointing in different directions) one should look to fade the A's , but this is not always the case.

I had become a bit confused with the number of failed A's lately, that I stopped trading and just observed. 

I now wait for the A level to be breached, and then see how the market reacts around that point before I take action. I have been looking at using pivots (camarilla) to help me identify if the A is likely to be rejected or not.
Currently, fading the A's are more profitable than taking them.