《The Logical Trader》

作者: Mark Fisher
出版: Wiley
出版时间: 2002-07-01

For short-term trading only, the first hour highs and lows give you an early indication of trending days.
The daily pivot range must engulf the high or the low made in the first hour.
At the end of the first hour, the market must have made an A up or an A down.

Further, at the end of the first hour, the market must be within 15 percent of one of the price extremes (the high or the low) set thus far for the trading day.
If these criteria are met, it’s a probable sign of a trending day.


If the market stays too long in the pivot range, that con- cept is invalidated for the day. When the market reaches a key price reference area, it must move-or else the price level is meaningless for that day.

Another pivot concept that can be employed is the three-day rolling pivot, which may be used by those who take intermediate- term positions, spanning several days or even, with profitable trades, weeks. As the name suggests, this pivot is based up three consecutive trading days. To calculate it, use the highest high and the lowest low of the three-day trading period, and the settlement of the third trading day. These three reference numbers are then plugged into the Pivot Range Formula (see “Computing the Daily Pivot Range,” earlier in this chapter) to calculate the three-day rolling pivot range.

Keep in mind that a pivot on a gap day lower remains as important resistance going forward for future trading.

Trading days that have a normal trading range but produce a very narrow daily pivot range for the following day usually indicate a larger price range the following day.

First, the underlying tone or sentiment of the market is revealed when you look at the close of the previous trading day compared with today’s pivot range. If the previous close was above today’s daily pivot range, that would be considered bullish for today’s trade. If it closed below the daily pivot range, it would be considered bearish.

To calculate the daily pivot range, you begin by calculating the daily pivot price. First, add the high, low, and close of the previous trading day and divide by three. Let’s say that Commodity X had a high of 21.00, a low of 20.00, and closed at 20.75. Those three numbers added together and divided by three would be 20.58 rounded to the nearest cent). That is the daily pivot number.
Now, add the high and the low and divide the sum by 2. In this example, adding the high of 21.00 and the low of 20.00, then dividing by 2 would give you 20.50. Then, figure the difference between 20.58 (the daily pivot number) and the second number you calculated (20.50). The result-8 ticks-is the daily pivot differential.
The daily pivot range is equal to the pivot number plus or minus the pivot differential. In this case, the pivot number would be 20.58 plus 8 and 20.58 minus 8, or 20.50 to 20.66.

Because the more time spent at a certain price level allows too many traders to do the same thing. Remem- ber, the masses are usually wrong, and when the trade is too easy to make, it generally doesn’t result in a profit. Therefore, if you hang on too long waiting for the desired outcome to materialize, then you run the risk of becoming what I call the retail bus people.

The following five ACD rules should greatly improve your trading.
1. Plot Point As and Cs as points of reference.
2. Lean against these reference points as you execute your trades.
3. Maximize your size when the trading scenario is favorable. At all times, minimize your risk.
4. Know where you are getting out if you’re wrong.
5. If you can answer 4, you will trade with confidence.

Once the A up or the A down is established, you retain a bullish bias above the opening range and a bearish one below. The decision to fade is based upon what you observe in the market. At all times, however, you know where your stop is.

A rubber band trade is made when the market approaches or just touches a target and snaps back. In that instance, you would go short just below the A up or go long just above the A down. Your stop on the trade would be the A up/down price point. Or, you’d exit the trade if the mar- ket didn’t move in the direction you anticipated within your time frame.

Establishing a short position on a failed A up or a long position on a failed A down provides the potential to make a profit that far outweighs the risk.

If the scenario you’ve envisioned doesn’t materialize within a certain time frame, then just move on and look for the next trade.
In trading, time is actually more important than price.
How do you factor time into your trades? Simple. You set the time parameters for a certain scenario to occur. As a minimum, the market must trade at a certain level for a time period equivalent to half the opening range. As a maximum, if the market has not acted the way you expected within a time frame equivalent to the opening range, then get out.

Just as with Point A, the stop for Point C coincides with the opening range. If you have a c down, the stop-known as Point D-would be 1 tick above the top of the opening range

Point C is the crossover point at which your bias shifts from bullish to bearish, or vice versa.

When you make a trade, you must know where your exit point is if the market turns against you, and how much you would stand to lose if that happened. That’s where the B level comes in. Once you have established an A-up or down-your stop for getting out of an unprofitable trade is B. The B level, where you would be bias neutral, is delineated by the opening range.

A points-up or down-are based upon a certain number of ticks above or below the opening range, if trading is sustained at these levels for a period of time equivalent to half the duration of the opening range that you have chosen.

The opening range is the statistically significant part of the trading day, marking the high or low for the day (in volatile markets) about 20 percent of the time.

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