- Data for testing
- Point A
- Failed Point A
- Point C
- Pivot range
- W-pivot range -new
- Points A and C through the pivot
- Closing method -new
- Dynamics of Points A and C
- Significant time frames
- Entry and exit

Appendix

Testing, research and upgrade of Mark Fisher's ACD system, trading programs

- Data for testing
- Point A
- Failed Point A
- Point C
- Pivot range
- W-pivot range -new
- Points A and C through the pivot
- Closing method -new
- Dynamics of Points A and C
- Significant time frames
- Entry and exit

Appendix

Similar testing of Points C as Points A was carried out for the same securities using a different computer program. The program sequentially iterates over the breakout level values for potential Point C from 0 to 100 ticks. Point C is calculated based on Point A obtained earlier, as described in Chapter 2. Point C is established if the market reaches an appropriate breakout level (from 0 to 100 ticks) on the opposite side of the opening range to point A and remains there for half the duration of the opening range. C value may differ from A value.

If Point C is established and the market breaks through the opposite side of the opening range by 1 tick, then stop loss at Point D is activated. For point C, the same conditions are fulfilled as for point A, namely, during the trading day, only one point C is allowed, and it can be set up to the penultimate minute of the trading day. Trades generated from points A are not taken into account in profit, p/l and other indicators, which are calculated only for Points C. As in the case of Point A, Point C corresponds to the level of breakout, which brings maximum profit for the whole history or part of it.

The test results for Point C for SBER stocks are presented in Table A.5 in the Appendix. If we compare it with Table A.2 for Point A, we can make the following observations:

- The number of trades generated from Points C is much smaller and decreases faster with higher breakout levels and the opening range time frames.
- Profit and p/l are reduced for higher breakout levels. The average profit and p/l from points C is less.

These observations are true for most other securities.

Point C and its range (it is better to consider the range of C values, such as 0-10,5-15, etc., to avoid random deviations of Point C), for which profit is maximum for different opening range time frames and securities, are presented in Table A.10 in the Appendix. As can be seen from the table, point C does not always lie in the range due to random deviations. Not only C value, but also its range varies quite unpredictably depending on the duration of the opening range.

Average profit and p/l for breakout levels from 0 to N ticks for different opening range time frames and securities are presented in Table A.11 in the Appendix (see the 6th row for each security). Here N is chosen so that the number of trades exceeds 30, otherwise the results would not be statistically reliable. Usually N is less than 100, especially for higher opening range time frames. I chose the threshold of 30 trades because Van Tharp in his book “Supertrader: make consistent profits in good and bad markets” calls this number sufficient for sampling.

The accumulated profit by days from Point A, failed Point A and Point C for different securities can be seen in Fig. 4.1. 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 the figure, the main profit is generated from Point A, and Point C often leads to losses. The profit from failed Point A is small due to small number of trades, although the profit per trade may be quite high.

The results for some securities, for example, for the futures BR, ED and GD, are not impressive. These futures are traded abroad, where trading hours are different from Russian ones. According to The Logical Trader, the opening range is set for the local market (see page 11), which explains the low profit per trade “p” and p/l received for securities traded abroad. Poor results help determine which securities should be excluded from trading under the ACD system.