Re: [amibroker] Moon Phase as a profitable predictor

[Dave Howarter <dhowarter@xxxxxxxxx>]

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 robert@xxxxxxxxx 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" <robert@xxxxxxxxx>
//Sender: amibroker@xxxxxxxxxxxxxxx
//Mailing-List: list amibroker@xxxxxxxxxxxxxxx; contact 
amibroker-owner@xxxxxxxxxxxxxxx
//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;