Howard,
I personally traded my account to 1 million dollars in equity employing
the phase of the moon...
Unfortunately,I started with 2 million...:)
----- Original
Message -----
From: Howard Bandy
Date: Sunday, September
3, 2006 1:40 pm
Subject: [amibroker] Moon Phase as a profitable
predictor
To: [EMAIL PROTECTED]ps.com
> Thanks to everyone
who has contributed code to compute the phase of
> the moon, and to the
discussion of whether the phase of the moon is
> profitably predictive
for common stock investing. I have done some
> testing and find that the
phase of the moon is Not a profitable
> predictor.
> I used the
code posted by OzFalcon (thanks), removed the extraneous
> information,
such as distance to the moon, and added code to compute
> two values:
the percentage close to close change for the day ahead
> and the
percentage of the phase of the moon relative to it being
> a
new
> moon. My in-sample test was performed on daily data using a
period
> from 1/1/1995 to 1/1/2005 -- ten years. Three indices were
> studied --
> the Russell 3000, the S&P 500, and the S&P
600 small cap. The
> individual backtest results from these AmiBroker
runs were exported,
> opened in Excel, and analyzed. It was relatively
easy to identify
> periods where the price change for the day ahead
consistently
> rose for
> some values of the phase of the moon,
and fell for some other values.
> The analysis was carried out using
several different levels of
> granularity for the phase of the moon --
from one percent "bins" to
> twenty-five percent bins -- and several
different levels of
> profitability -- from cherry picking the highest
long and highest
> short returns to "always in". Code was added to the
afl procedure
> that bought and sold accordingly, initially holding
exactly one
> day.
> No deduction was made for commission or
slippage.
>
> To test the in-sample performance, I ran individual
backtests against
> the 500 stocks in the S&P 500 and the 100 stocks
in the Nasdaq
> 100.
> No surprise -- the results were
spectacular. For example, using
> granularity that picked the best
twenty percent (about fifteen percent
> long and six percent short), so
the model is invested twenty percent
> of the time and flat eighty
percent of the time, the median RAR
> statistic for the S&P 500
stocks was about 80%, and the median RAR
> statistic for the Nasdaq 100
stocks was about 160%.
>
> To test the validity of the model, I
chose an out-of-sample period
> from 1/1/2005 through 9/1/2006 --
twenty-one months -- and reran the
> individual backtests. As expected,
the system is invested about
> twenty percent of the time. The median
RAR statistic for the
> S&P 500
> stocks was about -7% (minus
seven percent), and the median RAR
> statistic for the Nasdaq 100 stocks
was about 0% (zero).
>
> I tried several other combinations of
granularity of phase (various
> percentages, daily, always in, etc),
strength of signal (strongest
> only, average of the in-sample tests,
etc), length of holding period
> (one day, several day, stop and
reverse, etc). The results were
> almost always profitable for the
in-sample period and Never profitable
> for the out-of-sample period,
even with zero deduction for slippage
> and commission.
>
>
I may have missed something here, but I do not think so. I
> would
be
> happy to hear from forum members who have had success
(either
> profitable trading or profitable performance in out-of-sample
tests)
> using moon phase in their trading, and I will be happy to test
and
> report other reasonable suggestions for using moon phase as a
trading
> indicator.
>
> Thanks for listening,
>
Howard
>
>
>
>
>
>
>
