Re: [amibroker] Moon Phase as a profitable predictor

Mon, 04 Sep 2006 23:29:47 -0700

It appears to me that the moon phase does have some statistical bias that could be used.  I took one of the files posted by [EMAIL PROTECTED] and added trading code.  In the trading code I put optimize statements to buy at the full moon, or some day after that which varied from 1 to 28 and to hold for a fixed number of days from 1 to 10.  I then ran an AA Optimize for data since 12/1/88 and looked at the 3D graphs to see how the CAR varied depending on which day after the full moon the trade started.  I set the timezone to -5 to be U.S. Eastern.  I tested on Russell 2000, S&P500 and Nasdaq averages.

With that setup the days 5 to 7 after the full moon and 1 or 2 before the full moon produced considerably more return, on average, than other days.  In fact the best days produced about 80 to 90% of the average yearly return for the index, even though the system was only invested for less than half the month. 

The yearly return is not high enough for this to be a stand-alone system, but it could be combined with some other system to bias the amount bought if the other factors produced a buy signal in the good moon days.  For instance, you  might want to buy with some margin leverage if the other system produced a buy on the favorable moon days.

Dave H.

//From: "rhoemke" <[EMAIL PROTECTED]>
//Sender: [email protected]
//Mailing-List: list [email protected]; contact [EMAIL PROTECTED]
//Date: Sat, 02 Sep 2006 20:44:51 -0000

// Input your local time zone
TZ=Param("Your local Time Zone? [-12 to +12hrs]",-5, -12,12,1);

// Lunar cycle
LunarMonth=29.530589;
Offset=7.254621;

// Calendar }
leap=frac(Year()/4)==0 AND frac(Year()/100)!=0 OR frac(Year()/400)==0;
y=Year()*365+int(Year()/4)-int(Year()/100)+int(Year()/400);
m=
IIf(Month()==2,31-leap,
IIf(Month()==3,59,
IIf(Month()==4,90,
IIf(Month()==5,120,
IIf(Month()==6,151,
IIf(Month()==7,181,
IIf(Month()==8,212,
IIf(Month()==9,243,
IIf(Month()==10,273,
IIf(Month()==11,304,
IIf(Month()==12,334, -leap)))))))))));
CurrentDay=y+m+Day()-TZ/24-Offset;

// Full Moon }
FM=frac(CurrentDay/LunarMonth);
FM=PeakBars(FM, 1, 1)==0;

// New Moon }
NM=frac((CurrentDay+LunarMonth/2)/LunarMonth);
NM=PeakBars(NM, 1,1)==0;

//Plot Moon signals in own window }
Plot(FM-NM, "Moonphase, Red = New, Black = Full", IIf((FM-NM)> 0, colorBlack, colorRed), styleHistogram);



// ----------------------------------------------------------------------------
//  Set Delay
// ----------------------------------------------------------------------------

SetTradeDelays( 0, 0, 0, 0 );

Startoffset     = Optimize("startoffset",         0,     1,   28,   1);

Hold_days       = Optimize("hold_days",         4,     1,   10,   1);

MBuy = Ref(FM, -Startoffset) > 0.5;
MSell = Ref(FM, -Hold_days -startoffset ) > 0.5;

Buy        = DateNum() >= 881201 && (MBuy);
Sell       = DateNum() <= 881130 || (MSell);

Buy      = Flip(Buy, Sell);
Sell     = NOT Buy;
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