New method of closing at Points B and D as stop levels of the ACD system by Mark Fisher

Appendix

# 8. Closing method

According to the ACD system, stop loss closing at Points B and D occurs on the current day when a trade is opened.

But what if you close a trade using stop loss at points B or D on another day? Suppose that A up is established and the stop loss at point B is not activated on the current day. Then the trade remains open and is carried over to the next day. When the next day begins, we wait until the end of the opening range and see what happens. If the market breaks through the opening range in an undesirable direction, that is through the lower border of the opening range in our case, the trade is closed, otherwise we do nothing. Thus, the trade may not be closed on the opening day. Fig. 8.1 helps to understand all of the above. In the case of A dn, the trade is closed if the market breaks the upper border of the opening range on the current or any other day.

These considerations apply not only to point A, but also to Point C, if the trade from Point C is not stopped by Point D on the same day as the opening.

The test results in the case of a stop loss closure at points B and D on any day for SBER stocks are presented in Table A.9 in the Appendix. If you compare it with Table A.2 for closing at the end of the current trading day and Table A.8 for Points A and C through the pivot, you can make the following observations:

• Profit and p/l more than the other two strategies. Thus, "Closing at Points B and D on any day" strategy seems to be the best for SBER stocks.
• The number of trades and the average profitable trade is somewhere in the middle with respect to the other two strategies. The percentage of profitable trades is comparable to that in the case of closing at the end of the current trading day.
• The greatest profit is obtained for a different opening range time frame and breakout level than in the case of two other strategies.

Average profit and p/l for breakout levels from 0 to 100 ticks in case of closing at Points B and D on any day for different opening range time frames and securities are presented in Table A.11 in the Appendix (see the 8th row for each security).

Fig. 8.2 shows the accumulated profit by days in the case of a 20-minute opening range for three strategies: opening at Points A and C and closing at the end of the current trading day (Point A&C); opening at Points A and C through a 1-day pivot and closing at pivot (Point A&C+pivot); opening at Points A and C and closing by stop loss at Points B and D on any day (Point A&C+OR).The number of trades "n" and the average profit per trade "p" in ticks are indicated for each strategy.

Select symbol:  RI | Si | BR | ED | SR | GD | SBER | GAZP | LKOH | GMKN | ROSN | VTBR | MGNT

As can be seen from Figure 8.2, the strategy “Points A and C through the pivot” is the best for most futures, while the strategy “Close at points B and D on any day” shows the best results for most stocks. This proves once again that the opening range is an important tool. It is no coincidence that Mark Fisher puts a higher priority on the opening range than on the pivot. For Russian stocks traded on the Moscow exchange, the opening range is appropriate for the local market, while for some futures traded abroad it wouldn't apply. This probably explains the best results for stocks in the case of the strategy "Closing at points B and D on any day".

If you take into account transaction costs, then for some stocks, even the strategy “Closing at points B and D on any day” will lead to losses. Futures can bring more reliable profit, since transaction costs for futures are less than for stocks.