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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: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On
Behalf Of allansn@xxxxxxxxxxxxx
Sent: Sunday, September 03, 2006 12:57 PM
To: amibroker@xxxxxxxxxxxxxxx
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: amibroker@xxxxxxxxxxxxxxx
> 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
>
>
>
>
>
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