Optimization of Intraday Trading Strategy Based on ACD Rules and Pivot Point System in Chinese Market

Various trading strategies are applied in intraday high-frequency market to provide investors with reference signals to be on the right side of market at the right time. In this paper, we apply a trading strategy based on the combination of ACD rules and pivot points system, which is first proposed by Mark B. Fisher, into Chinese market. This strategy has been used by millions of traders to achieve substantial profits in the last two decades, however, discussions concerning on the methods of calculating specific entry point in this trading strategy are rare, which is crucial to this strategy. We suggest an improvement to this popular strategy, providing the calculating and optimizing methods in detail to verify its effectiveness in recent Chinese futures market. Because of the high liquidity and low commissions in stock index futures market, this trading strategy achieves substantial profits. However, given the less liquidity in commodity futures market, profits decrease and even be neutralized by the relatively high commissions.