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The simulations said that for 1/2 of year you bought on new and
sold on full and the other half you reversed this procedure.
The study was purely acedemic and simply traded on new and full
moon days. Tests showed that it was probably better to trade a
couple of days after new/full.
The conclusions were conclusive that there was a moon effect. The
fact is that in this market you were a lot better going long and
exiting -- no shorts.
Examine the following and you will see that all things are NOT equal
and some do better on new than full.
The following is a tabulation of the study results:
Results: 10 Year period ending 2/98 -- BUY on NEW MOON, SELL on FULL
SYM NetPrft :NetPrft :NetPrft %Prft AvgWTrd AvgLTrd #WTrds
#LTrds
CC -402.00 -841.00 439.00 48 52.33 -50.98 118 129
PL -364.50 -195.90 -168.60 50 10.29 -13.15 123 124
W_ -321.50 -201.50 -120.00 51 11.30 -14.42 126 121
S_ -182.00 -104.50 -77.50 53 18.03 -21.93 131 116
C_ -154.25 -97.00 -57.25 55 7.01 -9.98 136 111
SM -101.30 -9.30 -92.00 50 6.26 -7.13 124 123
KC -99.90 -25.57 -74.33 47 7.16 -7.11 116 131
HU -84.57 2.14 -86.71 49 2.39 -2.92 120 127
HO -62.35 -13.08 -49.27 45 2.47 -2.51 112 135
SF -42.34 -20.26 -22.08 46 1.31 -1.42 113 134
JY -33.50 -27.94 -5.56 45 1.43 -1.41 111 136
GC -29.30 -163.90 134.60 51 6.18 -6.79 127 120
CL -18.23 3.86 -22.09 47 0.88 -0.92 116 131
BP -18.23 17.12 -35.35 50 2.50 -2.63 123 124
CT -16.49 21.92 -38.41 46 2.18 -2.00 114 133
CR -11.05 -3.15 -7.90 52 2.80 -3.10 128 119
SB -7.29 2.09 -9.38 49 0.44 -0.48 121 126
BO -6.11 -7.96 1.85 50 0.73 -0.78 124 123
FF -0.24 2.35 -2.59 56 0.05 -0.07 125 98
US 0.32 26.26 -25.93 52 1.35 -1.45 128 119
TB 1.58 2.20 -0.63 53 0.14 -0.15 130 117
ED 1.64 3.91 -2.27 55 0.14 -0.16 137 110
UA 6.56 30.25 -23.69 53 1.32 -1.46 132 115
TY 6.66 22.16 -15.50 53 0.93 -0.97 130 117
AD 7.68 15.62 -7.94 49 1.03 -0.93 121 126
FB 9.23 19.70 -10.47 53 0.67 -0.67 119 104
TA 9.85 23.97 -14.12 54 0.91 -0.99 134 113
LH 10.32 23.72 -13.40 53 1.46 -1.56 131 116
PA 13.40 46.30 -32.90 52 4.28 -4.56 129 118
MB 18.78 36.85 -18.06 52 1.22 -1.15 128 119
DX 25.17 4.56 20.61 53 1.23 -1.19 132 115
LC 28.20 28.62 -0.43 55 1.32 -1.39 137 110
KB 38.50 270.30 -231.80 53 7.68 -8.20 130 117
YX 41.50 176.85 -135.35 52 4.46 -4.52 129 118
MV 49.30 274.90 -225.60 53 7.71 -8.15 130 117
KW 50.80 -43.25 94.05 51 11.90 -11.74 100 97
FC 54.15 42.90 11.25 59 1.38 -1.46 146 101
SI 60.60 -133.90 194.50 51 16.75 -16.94 126 121
SP 81.10 320.35 -239.25 52 8.64 -8.62 128 119
JO 92.10 55.10 37.00 52 5.52 -5.16 128 119
PB 130.20 34.60 95.60 54 3.26 -2.66 133 114
CD 230.00 1810.00 -1580.00 47 618.52 -537.12 115 132
HG 238.30 132.90 105.40 59 4.09 -3.32 132 91
LB 301.20 221.40 79.80 54 14.05 -14.00 134 113
NR 1075.00 203.50 871.50 51 33.59 -26.59 127 120
Results: 10 Year period ending 2/98 -- SELL on NEW MOON, BUY on FULL
SYM NetPrft L:NetPrf S:NetPrf %Prft AvgWTrd AvgLTrd #WTrds
#LTrds
CC 402.00 -439.00 841.00 53 50.59 -52.78 130 117
PL 364.50 168.60 195.90 50 13.15 -10.29 124 123
W_ 321.50 120.00 201.50 50 14.07 -11.57 124 123
S_ 182.00 77.50 104.50 47 21.75 -18.17 117 130
C_ 154.25 57.25 97.00 46 9.80 -7.12 113 134
SM 101.30 92.00 9.30 51 6.96 -6.41 126 121
KC 99.90 74.33 25.57 53 7.11 -7.16 131 116
HU 84.57 86.71 -2.14 52 2.90 -2.41 128 119
HO 62.35 49.27 13.08 55 2.51 -2.47 135 112
SF 42.34 22.08 20.26 54 1.42 -1.31 134 113
JY 33.50 5.56 27.94 55 1.40 -1.44 137 110
GC 29.30 -134.60 163.90 49 6.73 -6.23 121 126
CL 18.23 22.09 -3.86 54 0.90 -0.89 133 114
BP 18.23 35.35 -17.12 50 2.63 -2.50 124 123
CT 16.49 38.41 -21.92 54 2.00 -2.18 133 114
CR 11.05 7.90 3.15 48 3.10 -2.80 119 128
SB 7.29 9.38 -2.09 53 0.47 -0.46 130 117
BO 6.11 -1.85 7.96 50 0.78 -0.73 123 124
FF 0.24 2.59 -2.35 55 0.05 -0.06 123 100
US -0.32 25.93 -26.26 49 1.44 -1.36 120 127
TB -1.58 0.63 -2.20 50 0.14 -0.15 123 124
ED -1.64 2.27 -3.91 47 0.15 -0.15 117 130
UA -6.56 23.69 -30.25 47 1.44 -1.34 117 130
TY -6.66 15.50 -22.16 49 0.94 -0.96 121 126
AD -7.68 7.94 -15.62 51 0.92 -1.04 127 120
FB -9.23 10.47 -19.70 47 0.67 -0.67 104 119
TA -9.85 14.12 -23.97 46 0.98 -0.92 114 133
LH -10.32 13.40 -23.72 47 1.55 -1.47 117 130
PA -13.40 32.90 -46.30 49 4.49 -4.34 120 127
MB -18.78 18.06 -36.85 49 1.14 -1.23 120 127
DX -25.17 -20.61 -4.56 47 1.19 -1.23 115 132
LC -28.20 0.43 -28.62 45 1.38 -1.33 111 136
KB -38.50 231.80 -270.30 48 8.13 -7.74 118 129
YX -41.50 135.35 -176.85 48 4.48 -4.49 119 128
MV -49.30 225.60 -274.90 47 8.15 -7.71 117 130
KW -50.80 -94.05 43.25 50 11.62 -12.02 98 99
FC -54.15 -11.25 -42.90 42 1.44 -1.40 103 144
SI -60.60 -194.50 133.90 49 16.80 -16.89 122 125
SP -81.10 239.25 -320.35 49 8.54 -8.71 120 127
JO -92.10 -37.00 -55.10 48 5.16 -5.52 119 128
PB -130.20 -95.60 -34.60 47 2.64 -3.29 115 132
CD -230.00 1580.00 -1819.00 54 529.10 -629.47 134 113
HG -238.30 -105.40 -132.90 41 3.28 -4.13 92 131
LB -301.20 -79.80 -221.40 47 13.75 -14.26 115 132
NR -1075.00 -871.50 -203.50 49 26.37 -33.86 121 126
Clyde
S&P 500 wrote:
>
> Clyde
> What were your conclusions on the New moons and buying and selling the
> S&P???
>
> How did you decide when to buy and sell??
>
> Thanks again
> Rob
>
> ----- Original Message -----
> From: clydelee <clydelee@xxxxxxx>
> Cc: <realtraders@xxxxxxxxxxxx>
> Sent: Wednesday, July 14, 1999 11:47 PM
> Subject: Re: GEN: DUCKS, ASTROLOGY, ETC......
>
> > Sorry About That!!!!
> >
> >
> > What follows was contributed by Gary Funk a long time ago.
> >
> > Indicator was modified somewhat to my liking.
> >
> > Don't forget. There is a function and there is an indicator!!!!
> >
> > Have at it and see what goes. I did a very large study a couple
> > years ago an published it here that ABSOLUTELY CONCLUSIVELY AND
> > WITHOUT A DOUBT showed that there was a correlation between the
> > moon's phase and the profitability of a simple buy/sell on opposite
> > phases of the moon.
> >
> > Clyde Lee
> >
> >
> > {+ + + + + + + function follows + + + + + + + + + + + + + +}
> >
> >
> >
> > {
> > Function Moondays returns the number of days since a new moon.
> > The values returned range between 0 and 29.
> > (0 = new, and 15 is a full moon to +/- 2 day accuracy.)
> >
> > Author: Gary Funck, gary@xxxxxxxxxxxx, 7/15/97
> > No restrictions on use/copying. No warranties, expressed/implied.
> >
> > This code uses an approximation described in the the "Astro FAQ";
> > summarized below:
> >
> > Subject: C.11 How do I calculate the phase of the moon?
> > Author: Bill Jefferys <bill@xxxxxxxxxxxxxxxxxxx>
> >
> > John Horton Conway (the Princeton mathematician who is responsible for
> > "the Game of Life") wrote a book with Guy and Berlekamp, _Winning
> > Ways_, that describes in Volume 2 a number of useful calendrical
> > rules. One of these is an easy "in your head" algorithm for
> > calculating the phase of the Moon, good to a day or better depending
> > on whether you use his refinements or not.
> >
> > In the 20th century, calculate the remainder upon dividing the
> > last two digits of the year by 19; if greater than 9, subtract
> > 19 from this to get a number between -9 and 9.
> >
> > Multiply the result by 11 and reduce modulo 30 to obtain a
> > number between -29 and +29.
> >
> > Add the day of the month and the number of the month (except
> > for Jan and Feb use 3 and 4 for the month number instead of
> > 1 and 2).
> >
> > Subtract 4.
> >
> > Reduce modulo 30 to get a number between 0 and 29. This is
> > the age of the Moon.
> >
> > Example: What was the phase of the Moon on D-Day (June 6,
> > 1944)?
> >
> > Answer: 44/19=2 remainder 6.
> >
> > 6*11=66, reduce modulo 30 to get 6.
> >
> > Add 6+6 to this and subtract 4: 6+6+6-4=14; the Moon was (nearly)
> > full. I understand that the planners of D-day did care about the phase
> > of the Moon, either because of illumination or because of tides. I
> > think that Don Olsen recently discussed this in _Sky and Telescope_
> > (within the past several years).
> >
> > In the 21st century use -8.3 days instead of -4 for the last number.
> >
> > Conway also gives refinements for the leap year cycle and also
> > for the slight variations in the lengths of months; what I have
> > given should be good to +/- a day or so.
> > }
> > inputs: dt(numericsimple);
> > variables: x1(0), x2(0), x3(0), x4(0),DT1(0);
> > DT1=JulianToDate(DateToJulian(DT+1));
> > x1 = Modulus(year(DT1), 19);
> > if x1 > 9 then x1 = x1 - 19;
> > x2 = Modulus(x1 * 11, 30);
> > x3 = month(DT1);
> > if month(DT1) < 3 then x3 = x3 + 2;
> > x4 = x2 + dayofmonth(DT1) + x3 - 4;
> > Moondays = Modulus(x4, 30);
> >
> >
> >
> >
> >
> >
> >
> > {+ + + + + + + indicator below + + + + + + + + + + + + + +}
> >
> >
> >
> >
>
> > Indicator Moonphase, returns a value between 0..100, that
> > indicates (approximately) the fullness of the moon, where
> > 0 is a new moon, and 100 is a full moon. This indicator
> > calls the Moondays function, and is accurate to +/- 2 days.
> >
> > Accepts an input, offset, which should be in the range -14..14.
> > Generally, you will not need to change the offset value, unless
> > for example, you want the display to agree with the offset
> > value used by Moontrade.
> >
> > Author: Gary Funck, gary@xxxxxxxxxxxx, 7/15/97
> > No restrictions on use/copying. No warranties, expressed/implied.
> >
> > }
> > input: offset(0);
> > variables: dt(0), phase(0), mday(0),mphase(0);
> > dt = juliantodate(datetojulian(date) + offset);
> > mday = Moondays(dt);
> > phase = 100*( mday /(29.530588853/2));
> >
> > If (phase>100 and phase[1]<=100) then Value2=-1;
> > Value2=Value2+1;
> > If Value2=0 then Value5=100 else Value5=0;
> > Plot2(Value5,"vl");
> > if phase > 100 then mphase = 200 - phase else mphase=phase;
> > plot1(mphase, "moon phase");
> >
> >
> > Larry Muir wrote:
> > >
> > > There was an article in The Technical Analysis of Stocks and Commodities
> > > magazine about trading one of the agricultural commodities with
> astrology.
> > > It said in the article that this market went up on the full moon and
> down on
> > > the new moon. It would be interesting to mark the new and full moons on
> an
> > > SP500 chart and see what it looked like.
> > >
> > > >From: JCDuffy@xxxxxxx
> > > >To: mseflin@xxxxxxxxxxxxx, chmeyer@xxxxxxxx
> > > >CC: realtraders@xxxxxxxxxxxx, info@xxxxxxxxxxxxxxxxxxxxx,
> boggio@xxxxxxxxx
> > > >Subject: Re: GEN: DUCKS, ASTROLOGY, ETC......
> > > >Date: Thu, 8 Jul 1999 21:35:44 EDT
> > > >
> > > >In a message dated 99-07-08 00:28:15 EDT, mseflin@xxxxxxxxxxxxx writes:
> > > >
> > > ><< please...this
> > > > conversation is not useful to the majority of participants >>
> > > >
> > > >
> > > >I do not use astrology to trade, nor do I know much about it. That is
> why I
> > > >found it precisely interesting. How do you what the "majority" of other
> > > >people think about a discussion, or whether or not it is useful to
> them?
> > >
> > > ______________________________________________________
> > > Get Your Private, Free Email at http://www.hotmail.com
> >
> > --
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > Clyde Lee Chairman/CEO (Home of SwingMachine)
> > SYTECH Corporation email: <clydelee@xxxxxxx>
> > 7910 Westglen, Suite 105 Work: (713) 783-9540
> > Houston, TX 77063 Fax: (713) 783-1092
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
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> > To subscribe / unsubscribe from SwingMachine list
> > http://www.egroups.com/list/swingmachine/
> >
> > After joining list the freeware SwingMachine program
> > (DOS Version) is available in the VAULT at:
> > http://www.egroups.com/list/swingmachine/
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
>
> ----------------------------------------------------------------------------
> ----
--
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: <clydelee@xxxxxxx>
7910 Westglen, Suite 105 Work: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
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After joining list the freeware SwingMachine program
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