Entry and exit in the ACD system by Mark Fisher
Logo
  1. Data for testing
  2. Point A
  3. Failed Point A
  4. Point C
  5. Pivot range
  6. W-pivot range -new
  7. Points A and C through the pivot
  8. Closing method -new
  9. Dynamics of Points A and C
  10. Significant time frames
  11. Entry and exit

Appendix

11. Entry and exit

Time factor

Mark Fisher emphasizes the time factor as more important than price (see page 19 of The Logical Trader) and offers to get out if the market goes nowhere within the time equivalent to the opening range time frame. I tried to check this concept by backtesting. The program analyzes the difference in price at the time of setting Point A and after a period of time equal to the duration of the opening range. If there is no profit, the position is closed. Although the lack of profit does not mean that the market is stalling and going nowhere. The market may be moving in an unfavorable direction, but Point B has not yet been reached.

The results of these calculations for SBER stocks are presented in Table A.3 in the Appendix. Comparing it with Table A.2, where the closure occurs at the end of the trading day, the following observations can be made for the use of the time factor for exit:

Since higher profits are more desirable than higher p/l, using the time factor to exit does not pay off.

The average profit and p/l for breakout levels from 0 to 100 ticks in the case of using time factor for exit for different opening range time frames and securities are presented in Table A.11 in the Appendix(see the 2nd row for each security).

No stop loss

What if you do not put a stop loss at Point B on the opposite side of the opening range? In this case profit and p/l behave differently depending on the security. Probably, this result is explained by the fact that the trade is closed at the end of the trading day in any case, and such a closure plays the role of a stop loss. If you put a stop loss near the same border of the opening range where the breakout occurred, then the profit will decrease significantly. Stop loss in the middle of the opening range does not change much compared to the stop loss at point B.

The average profit and p/l for breakout levels from 0 to 100 ticks in the absence of stop loss for different opening range time frames and securities are presented in Table A.11 in the Appendix (see the 3rd row for each security).

No waiting before opening a position

What if, when A value is reached, the position is opened immediately, without waiting for half the duration of the opening range? In this case, profit and p/l are reduced for most securities, especially for lower opening range time frames. Although for some securities, such an early opening brings more profit than a delay in opening for higher opening range time frames. The profit and p/l in case of early opening is maximum when the breakout level is 0 tick for some stocks, while in case of waiting for half the duration of the opening range this is not so.

Usually, before opening a position, it’s better to wait a time equal to half the opening range time frame.

It is worth noting that the difference between the number of trades in case of early opening and waiting increases for higher breakout levels and opening range time frames.

The average profit and p/l for breakout levels from 0 to 100 ticks in case of early opening for different opening range time frames and securities are presented in Table A.11 in the Appendix (see the 4th row for each security).