Backtesting the ACD system allowed me to draw the following conclusions:
- Profit does not have a sharp maximum for Points A and C compared to other breakout levels. Point C is much less common than Point A. The number of trades from Point C drops faster for higher opening range time frames and breakout levels compared to that from Point A. Points A and C are not the same for stocks and differ for different securities.
- It makes sense to use along with Point A and C their range like 0-10, 5-15, etc, which smoothes out random deviations of A and C values. Points A and C and their range change sharply on some days. If calculated for short time intervals, Points A and C vary greatly from day to day. To evaluate them, at least a 1000-day history should be used, which leads to more stable values of A and C and average daily profit. It is enough to update Points A and C in six months.
- Points A and C and even their range vary quite unpredictably depending on the duration of the opening range, although they are generally reduced for higher opening range time frames. Optimal opening range time frame in terms of profit tends to be higher. Basically a 4-minute opening range yields noticeably lower returns.
- Points A and C, calculated on the basis of maximum profit, do not have an explicit correlation with volatility.
- The “Mirror pivot” approach has confirmed that the pivot range is indeed support or resistance, although not strong enough, because the market breaks through the pivot only slightly less often than the "mirror pivot". Pivot strength by this criterion varies for different securities.
- Good trading results when using Point A and C through the pivot and exit using the pivot confirm importance of the pivot in the sense that once it is broken through, significant movement is very likely. This approach provides higher returns than Points A and C without the pivot. Adding pivot usually brings maximum profit at lower values for Points A and C. Even a 4-minute opening range provides returns comparable to that for higher opening range time frames. For most stocks and futures, a 1-day pivot generates the most profit.
- Using the time factor to exit, that is, if there is no profit for a time equal to the duration of the opening range, then the time has come to exit, does not increase profit, but rather reduces it, for most securities.
- The absence of stop loss at Point B brings more or less profit depending upon the security. Since the trade is closed at the end of the trading day, this closure plays the role of a stop loss, which probably compensates for the stop loss at Point B.
- Waiting for a time equal to half the opening range time frame before opening a trade is better in terms of profit than opening a trade immediately after reaching A or C value, for most securities.
- The opening range is statistically significant, being the high or the low during a trading day from 3 to 20 times more often than in the case of random walk theory. The less the opening range time frame, the more often the opening range is the high or the low compared to random walk theory, that is, 3 and 20 times correspond to 40- and 4-minute opening range respectively.
- The 1st day of a month is statistically significant being the high or the low within a month about 3 times more often than in the case of random walk theory.
- The 30-day trading cycle for plus and minus days is not obvious and a trading cycle with any other number of days provides almost the same repetition rate of plus and minus days. This repetition rate is slightly higher than the appearance of plus and minus days in relation to the total number of days. For the 1-day trading cycle, plus and minus days are repeated much less frequently.