If it were about 10% fewer market days it would be at least roughly the same length as the well known 40 week or 9 month cycle
--- In [email protected], "Mr. Valley" <[EMAIL PROTECTED]> wrote: > > We know your just joking. > > Has / can anyone code the statistical significance of 30 degree angle > Venus - Uranus cycle?... > No I'm not kidding... it's a 225 day market cycle, since the statistical > probability of it > occuring by chance is the topic of discussion. Is it still 78.6% > +/-accurate on EOD? > > Mr. Valley > > -----Original Message----- > From: [email protected] [mailto:[EMAIL PROTECTED] On > Behalf Of [EMAIL PROTECTED] > Sent: Sunday, September 03, 2006 12:57 PM > To: [email protected] > Subject: Re: [amibroker] Moon Phase as a profitable predictor > > > > 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] > > > 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 > > > > > > > > > > > > > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
