ACD Method, as interpreted by "amg
The ACD Method was developed by Mark Fisher, founder of MBF Clearing Corp, the largest clearing firm on the NYMEX. His book, The Logical Trader, delves more completely into the method and strategies.
This summary is intended only as an introduction and "quick start", based on materials available on the web. It is not intended to be all inclusive, it may differ from what Fisher currently uses, and nor do I claim to be an expert in the method. For further background, the following links are recommended reading:
MBF Corp Education Articles, written by Matt Blackman, include the key concepts and illustrations of just what an "ACD" looks like.
NYMEX Symposium, a series of six webcasts wherein Mark Fisher condenses his ideas, methods, and strategies, including a "real life" prep and trading session. Highly recommended for all traders is the first webcast.
Hint: the webcasts will open as a page in your browser, which you will not be able to pause or rewind. Fisher talks extremely fast, with loads of content easily missed. The best way to view these is to copy the following link into your Windows Media Player, changing the number from 1 to 2, 3, 4, 5, and 6: http://www.clicklive.com/NYMEX/symposium_2003/fisher1.asx
Main ACD Concepts
The opening range (OR), typically anywhere from 10m to 60m,
depending on the instrument being traded, forms the core of the method. The HL
of the range are the "B" and "D" of the strategies.
The OR is extended by a factor based on a percentage of the
Average True Range of the past 3 to 30 days, again depending on your goals and
the instrument traded. Fisher mentions A being 22% of the 30d ATR for the ES,
in 2003. These extensions form the basis of the "A" and "C" in the strategies.
The Daily Pivot is an integral part of the method and consists
of the typical HLC/3 extended by the difference between it and the HL/2 Pivot,
making a Pivot Zone.
Fisher mentions the Market Profile method and at the time the
book and symposium were current, maintained that his Pivot Range is
comparable. My own study shows this is not necessarily true, but with the
inclusion of Ensign's Price Histogram in the template, this issue becomes moot
as you can use both.
In the NYMEX symposium, Fisher describes various ACD strategies, which are beyond the scope of this article.
Template
The chart shown below (link to template at end of this section) is created using several DYOS (Design Your Own Study) alerts. Feel free to change the presets (eg, colors, OR time from 15m to 10m or 60m, Price Histogram from Volume to Price, uncheck showing gap, etc). Its key preset features are
15m OR with A1, A2, and A3 range extensions of 3.5, 5.5, and 8,
Larry Pesavento SPX harmonics.
The user is encouraged to run ATR studies on past data and
determine if they want to change the A1, A2, and A3 values.
Pivot Zone as described above
Price Histogram based on volume.
Opening Gap
Download the template (right-click and save to your Templates folder): amgACD.dat
Download the template description: amgACD.doc
Enjoy!
"amg"
