An implementation of layers 1 & 2 of ACD strategy of Mark Fisher, based on the book "The Logical Trader".
This implementation contains: - OR lines - A lines - C lines - Daily pivot range - N days pivot range - Customizable trading session
Strategy summary (This implementation):
There is 3 main concepts, each of which represented as two price levels.
1) OR (Opening Range) is the range of the first bar of the day. In other words, it's just "high - low" of the first resolution (usually 15min.) bar of the day. So, OR lines (Aqua color) visualize this range for each trading session.
As stated by Mark Fisher in his book, this range is meant to be a statistically significant range such that when price breaks the range in one direction, This is UNUSUAL to infiltrate it again AND break through the other side. So we can consider it as a potential enter signal (long or short).
2) A lines (Blue color) are drawn above and below OR lines with difference of 10% 0f 10 days ATR. The ATR period and the A multiplier (usually 10%) is customizable.
3) C lines (Gray color) are drawn above and below OR lines at 15% of 10 Days ATR difference. These lines help detecting AND confirming that UNUSUAL situation.
These concepts form the layer 1, which you can spot potential opportunities with it.
There is also two ranges to show support and resistance levels based on price action of previous days. Pivot ranges are rolling ranges that calculated and last for each day separately. They only differ in calculation period - the first one is daily (yellow color area) and the other one (red color area) is customizable, but is usually 3 or 5 days. Each range consists of two price levels, valid for the current trading session. One of theme is HL2 , and the other one is "HLC3 + abs(HLC3 - HL2 )".
These two ranges, "Daily pivot range" and "N days pivot range", form the layer 2, which you can see them as two dynamic support/resistance ranges - one for daily, and the other for N days. They help filtering opportunities spotted from layer 1.
There is 2 more layers in the ACD strategy, which is omitted in this free implementation.
Release Notes
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- Fix for setting OR time range. - Fix for drawing A and C lines.
Release Notes
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Release notes:
Making OR independent of chart timeframe: Now you can set the beginning time of OR and minutes used to calculate OR high/low
Adding a table to show indicator values and as a guide for line colors.
Adding plot titles (line names) to the Style tab, in order to customize them easily.
Fixed n-days pivot bug.
Making the session 24x7 and removing its check box.
Hello. Thanks for the study. Can you please tell me how to change OR for specific time zone? 30min OR regular trading hours for emini ES.
QuantCT
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@lv1075, Hi. There is a bug in this version according to setting OR. I'll fix and update it, soon.
lv1075
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@QuantCT, Hi there, thanks so much for updating the script. What time setting should I be using to show OR and A/C levels for emini ES futures contract on a "15 minute" bar chart? Also noticed the A/C levels that I calculate manually using the OR levels and 10day ATR don't match exactly with A/C levels from the study. Can you please advise? Many thanks.
To set OR levels as you mentioned, first change the chart timeframe to 15m. the set the start filed of "Market Session", to the opening time of the desired market (I don't know what's the market of that instrument you said).
Another matter you should mind, is the time zone of the chart. If you set the time zone of the chart to "UTC", then you should set the market session based on UTC clock time.
UnknownUnicorn6774437
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Very useful script! Thanks!
odshlomo
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I just came across Fisher's book and immediately saw an issue with opening range as far as my current understanding of crypto. Are you saying I can use this for crypto? If so please explain how...in the meantime I will keep studying Fisher's book
QuantCT
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@odshlomo, Yes AND no! Yes, because you actually CAN do that! Add it to the chart and optimize its settings according to your need. No, because I myself don't know any suitable parameter settings of this strategy for crypto, mainly because I'm not a fan of discretionary trading.
However, the YES answer is more sound. Because I heard some people are using this (and exactly this same implementation) in crypto trading.
haider_sheikh
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Firstly, thank you so much for putting this together. I use this daily! Is anyone else having any issue with this indicator? I don't see the lines for OR, A and C? All i see is the values on the right. Did something happen to the script?