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<DIV><FONT face="Courier New" size=2>I reported yesterday on a study using the
Moon effect to see</FONT></DIV>
<DIV><FONT face="Courier New" size=2>if there really was one.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Below are two items:</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>1. The statistics from running a
system I call </FONT></DIV>
<DIV><FONT face="Courier New" size=2>
C_Lee_UpDnCount+Moon</FONT></DIV>
<DIV><FONT face="Courier New" size=2>which is well explained in the second
item.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>2. Code for system used in the
following study.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Attached is an .ela file of the
system noted in 2. .</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>In order to make it simple for you (and me)
to do a study</FONT></DIV>
<DIV><FONT face="Courier New" size=2>of the effect of the moon I included a MODE
parameter which</FONT></DIV>
<DIV><FONT face="Courier New" size=2>for Mode=0 uses the "good" moon effect, for
Mode=1 uses the</FONT></DIV>
<DIV><FONT face="Courier New" size=2>"bad" moon effect, and for Mode=2 uses NO
moon effect at all.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Although the system yields 12% more total
profit, with no</FONT></DIV>
<DIV><FONT face="Courier New" size=2>moon effect specified, the </FONT><FONT
face="Courier New" size=2>drawdown for this mode is 69% </FONT></DIV>
<DIV><FONT face="Courier New" size=2>higher than the "good" (mode=0) moon
</FONT><FONT face="Courier New" size=2>mode.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>That alone is strong proof that the moon
has a very dramatic</FONT></DIV>
<DIV><FONT face="Courier New" size=2>effect on index values.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>However, the real proof is in switching to
the "bad" (mode=1)</FONT></DIV>
<DIV><FONT face="Courier New" size=2>moon mode and finding that the profit is
34% of that of the</FONT></DIV>
<DIV><FONT face="Courier New" size=2>"good" moon mode and that the drawdown for
this mode is 236%</FONT></DIV>
<DIV><FONT face="Courier New" size=2>higher than with the "good"
mode.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>This system works on 30 minute data but
does not do too well</FONT></DIV>
<DIV><FONT face="Courier New" size=2>on daily data in the few tests I
ran.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>This test is based on the SP cash index
(not the OEX previously</FONT></DIV>
<DIV><FONT face="Courier New" size=2>reported).</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>I really hope we get some interest in using
this technique</FONT></DIV>
<DIV><FONT face="Courier New" size=2>in other systems to see if it works
generally or just with</FONT></DIV>
<DIV><FONT face="Courier New" size=2>certain type systems.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>This study (on SP cash) illustrates that it
will work on more</FONT></DIV>
<DIV><FONT face="Courier New" size=2>than one index.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Clyde</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Test C_Lee_UpDnCount+Moon
</FONT></DIV>
<DIV><FONT face="Courier New" size=2><BR>Mode
NetPrft GrossP
GrossL ROA
MaxDD<BR>0 214990.00 548172.50
333182.50 1079.40 19917.50<BR>1
73812.50 445965.00 372152.50
156.51 47162.50<BR>2 241535.00
946465.00 704930.00 713.91
33832.50</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Mode #Trds
%Prft #WTrds #LTrds
BigWTrd BigLTrd<BR>0
423 29
126 297 30247.50
3797.50<BR>1
446 25
113 333 18955.00
8587.50<BR>2
968 31
305 663 18955.00
8587.50</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New"
size=2>
Avg Avg<BR>Mode AvgWTrd AvgLTrd Avg W/L AvgTrd MxW
MxL WBars LBars<BR>0 4350.58
1121.83 3.88 508.25 4
17 24 5<BR>1
3946.59 1117.58 3.53 165.50 4
17 25 5<BR>2
3103.16 1063.24 2.92 249.52 4
14 16 4<BR></FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2> </DIV></FONT>
<DIV><FONT face="Courier New" size=2>= = = = = = = = = code for system
follows = = = = = = = = = = = =</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>{ System:
C_Lee_UpDnCount+Moon</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2> Purpose:
Trading system for 30 minute bar data which enters
when<BR> a specified number of bars of rising/falling
prices has happened<BR> provided also that the MOON is in
the correct phase (which can
be<BR> specified).</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2> Exit on a T3Average
or on MoneyManagement stop or N Number bars<BR> in a
trade.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2> Can trade with
either (adjusted) moon phase or with no moon.</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>}</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>Input: EnterKnt (3),
{Level of Up/DnCount to Buy/Sell contract
}<BR> BarsDiff(2),
{Number bars between points to measure up/dn
}<BR> T3Leng(17),
{Number bars in T3Average for exit from trade }<BR>
WaitBars(0), {>0=Exit after
this number of bars in trade
}<BR> MonMStop(1000), {<50=%ATR
stop from Entry Price >50=Dollars
}<BR> MoonAdju(4),
{Number days to shift moon trade cycle -15->15 }<BR>
Mode(0);
{0=buy when moon passes full until new moon
}<BR>
{ sell when
moon passes new until full moon }
<BR>
{1=sell when moon passes full until new moon
}<BR>
{ buy when moon passes new until full moon
} <BR> {2=NO
MOON EFFECT AT
ALL
}<BR> <BR>Vars:
MP(0),
StartBar(CurrentBar);<BR>Vars: UpCount(0),
DnCount(0);<BR>Vars: PtsStopMM(MonMStop/BigPointValue);</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>MP
=MarketPosition;<BR>If MP<>MP[1] Then StartBar=CURRENTBAR;</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>{Use Money management stop if
desired}<BR>If MonMStop>0 then begin<BR> If MonMStop<50 then
PtsStopMM=AvgTrueRange(21)*MonMStop;<BR> If MP>0 then ExitLong at
EntryPrice-PtsStopMM Stop;<BR> If MP<0 then ExitShort at
EntryPrice+PtsStopMM Stop;<BR>End;</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>{Count number of bars close has been
Up/Down}<BR>If C>C[BarsDiff] then
begin<BR> UpCount=UpCount+1;<BR> DnCount=0;<BR>End;<BR>If
C<C[BarsDiff] then
begin<BR> DnCount=DnCount+1;<BR> UpCount=0;<BR>End;</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><BR><FONT face="Courier New" size=2>{Enter if UpCount/DnCount >=
EnterKnt and correct Moon Phase}<BR>Value4=mod(Moonday_V2+MoonAdju,29);<BR>If
Mode=0 then begin<BR> Condition1=UpCount>=EnterKnt and Value4>14.5
;<BR> Condition2=DnCount>=EnterKnt and Value4<14.5 ;<BR>End<BR>Else
If Mode=1 then begin<BR> Condition1=UpCount>=EnterKnt and
Value4<14.5 ;<BR> Condition2=DnCount>=EnterKnt and Value4>14.5
;<BR>End<BR>Else begin<BR> Condition1=UpCount>=EnterKnt ;<BR>
Condition2=DnCount>=EnterKnt ;<BR>End;</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>If MP<=0 then If Condition1 then
Buy ("enl") at Market;<BR>If MP>=0 then If Condition2 then Sell ("ens")
at Market;</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>{Exit on 3 bar T3Average above/below T3Leng
bar
T3Average}<BR>Value2=T3Average(C,T3Leng);<BR>Value3=T3Average(C,3);<BR>Value1=Value3-Value2;</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>If MP<0 then If Value1 Crosses
Over 0 then ExitShort;<BR>If MP>0 then If Value1 Crosses Under
0 then ExitLong;</FONT></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>{Exit after WaitBars number of bars if
set}<BR>If WaitBars>0 then begin<BR> If CurrentBar-StartBar>WaitBars
then begin<BR> ExitLong;<BR>
ExitShort;<BR> End;<BR>End;<BR></FONT></DIV>
<DIV><FONT face="Courier New" size=2>
<DIV><FONT face="Courier New" size=2>= = = = = = = = = code for system
above = = = = = = = = = = = = =</FONT></DIV>
<DIV> </DIV>
<DIV> </DIV></FONT></DIV>
<DIV><FONT face="Courier New" size=2> </DIV></FONT>
<DIV><FONT face="Courier New" size=2>- - - - - - - - - - - - - - - - - - - - - -
- - - - - - - -<BR>Clyde Lee
Chairman/CEO (Home of
SwingMachine)<BR>SYTECH
Corporation
email: <</FONT><A href="mailto:clydelee@xxxxxxx"><FONT
face="Courier New" size=2>clydelee@xxxxxxx</FONT></A><FONT face="Courier New"
size=2>> <BR>7910 Westglen, Suite 105
Work: (713) 783-9540<BR>Houston, TX
77063
Fax: (713) 783-1092 <BR>- - - - - - -
- - - - - - - - - - - - - - - - - - - - - - -<BR>- - - - - - - - - - - - - - - -
- - - - - - - - - - - - - -<BR>To subscribe / unsubscribe from SwingMachine
list<BR></FONT><A href="http://www.egroups.com/list/swingmachine/"><FONT
face="Courier New"
size=2>http://www.egroups.com/list/swingmachine/</FONT></A></DIV>
<DIV><FONT face="Courier New" size=2></FONT> </DIV>
<DIV><FONT face="Courier New" size=2>After joining list the freeware
SwingMachine program <BR>(DOS Version) is available in the VAULT
at:<BR></FONT><A href="http://www.egroups.com/list/swingmachine/"><FONT
face="Courier New"
size=2>http://www.egroups.com/list/swingmachine/</FONT></A><BR><FONT
face="Courier New" size=2>- - - - - - - - - - - - - - - - - - - - - - - - - - -
- - -<BR></FONT></DIV></BODY></HTML>
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