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Yup, here we go again.
Every few months someone makes the sudden
discovery that by
shifting the time of entry and exit of
trading from the new/full
moon a few days suddenly there is a
significant "moon effect".
And just about as often I publish the
following program which
anyone with TS4 or TS2000 can test this on
their own. It is not
an elegant program but it does allow one to
measure the moon effect
by simulation of trading.
The attached .gif files are
pictures created by running this
program on DJIA data from 1921 up until
now.
Junk1.gif is a chart of the "profit" by
starting a trade of the
DJIA on the nth day after the beginning of
a moon cycle. It seems
that 6 days after commencement of cycle is
optimum.
Junk2.gif is a table of "optimization" data
for number of days that
a position is held from entry on the 6th
day. A zero represents
holding the trade for the full 1/2 cycle of
a moon period.
Junk3.gif is a TS Performance Report of
these trades.
Junk4.gif is a picture of a optimization
table in which we only
keep the short trades and the long
trades. Since short trades
only yielded 105 points and
long trades yielded 7100 points
I cannot help but wonder if the "moon
effect" is much more than
the long term upward bias of the
market.
Note that only 53% of trades were
profitable -- with no cost of
trading.
So maybe the "moon effect" ain't all it is
claimed to be.
However, look at Junk1.gif -- if you
decided to trade the same
direction as you traded on the 6th day
after beginning of cycle
on the 20th day then suddenly you have a
LOSS of about 7000 points
versus a gain of about 7000 points SO I
GUESS THAT THERE REALLY
IS A GOOD REASON TO ENTER TRADES AT THE
RIGHT TIME OF THE MOON ! !
Clyde
{ System MoonTest - buy the
new moon, and sell the full
moon or vice
versa. Additionally one may
trade with or
against the selected moon
phenomena for
half yearly periods -- yearly
cycle in
addition to moon cycle.
Accepts an input:
BuyOnNU +n = buy on new
& sell on full -n
= sell on new & buy on
full abs(n)= offset
relative to new/full
<FONT face="Courier New"
size=2> System buys/sells on the
open following the new/full
moon or n number of days
after new/full moon. System
exits on the close of the
new/full moon or n number of
days after new/full
moon. Days are calendar days!
YrStart = 1,..,12
specifies the month in
which the "yearly"
cycle is to begin. Go long/short only
during month YrStart and 5
months following &
including month YrStart.
For the rest of cycle go
opposite to what the
selected moon phenomena says to do.
<FONT face="Courier New"
size=2> 0 = don't use year
cycle.
LengHHLL = buy only if low is above the
average of the Highest High
and Lowest High for the
selected period if moon
conditions are met. Sell only if
high is below average of
Highest Low and Lowest Low
for selected period.
Something similar to one of the
'FEAR' definitions that Walt
Downs came up with.
For testing purposes:
BegYr, EndYr, (set to 0,99
normally)BegMon, EndMon, (set to 1,12
normally) parametes are implemented.
A negative value for End... will cause it totrack the Beg... value in
the following manner.A zero (0) will make end exactly the same as
begin.A negative value will set end equal to the beginvalue plus the
absolute value of end.
A Direction parameter is provided. This can be used to
evaluate performance in either long (+1) or short (-1)or both
direction(s).
Normally this is set to zero (0) to trade both directions.
Author: Clyde Lee, Copyright
1/24/98 <A
href="mailto:clydelee@xxxxxxxxxxxx";>clydelee@xxxxxxxxxxxx* * * * * * * *
* * * * * * * * * * * * * * * * * * * * * * * * * * * *}
input: BuyOnNu(1), {If -1 then buy on full moon & sell
new
}
{If +1 then buy on new moon & sell full
} HoldDays(0), {Number of days to
hold trade. Zero =
hold}
{from full to new or vice
versa.
} YrStart(0), {Month of year
in which to start long cycle}
LengHHLL(0), {Length for computation of highest high
and}
{Lowest low to determine trade direction
}
{Currently uses Average HH+LL of H & L
} BegYr(00),
EndYr(99), {study only included years
} BegMon(1),
EndMon(12), {study only included months
} Direct(0);
{Direction for
trades
}
{0=Long&Short +1=Long only -1=Short only }
vars: HHigh(H),
LLow(L), new_moon(true),
full_moon(false),
longflg(0),
shortflg(0), BegYr1(BegYr),
EndYr1(EndYr),
BegMon1(BegMon),EndMon1(EndMon),Init(0);Vars: VV(0), J(0), IP(0),
mday(0);
If Init=0 then begin Init=1; If EndYr<=0 and
BegYr>0 then begin EndYr1=BegYr-EndYr;
End; If EndMon<=0 and BegMon>0 then begin
EndMon1=BegMon-EndMon; If EndMon1>12 then
EndMon1=EndMon1-12; End;End;
{Simplified 'FEAR' (Walt Downs) Function}If LengHHLL<>0 then
begin HHigh = (Highest(H, AbsValue(LengHHLL))
+ Lowest (H,
AbsValue(LengHHLL))) * 0.5 ; LLow = (Highest(L,
AbsValue(LengHHLL))
+ Lowest (L, AbsValue(LengHHLL))) * 0.5 ;End;
{MOON EFFECTS by Bradley E. SchaeferCalculate illumination
(synodic) phase
This program helps anyone who needs to know the Moon'sphase (age),
distance, and position along the ecliptic onany date within several thousand
years in the past or future.To illustrate its application, Bradley Schaefer
applied itto a number of famous events influenced by the Moon inWorld
War II. His article appeared in Sky & Telescope forApril 1994,
page 86.}
J = DateToJulian(Date)+AbsValue(BuyOnNu) ;VV = (J + 7.5 -
2451550.1) / 29.530588853; {7.5 to adjust to reality}VV = VV -
IntPortion(VV);
{probably due to Omega}IF VV < 0 THEN VV = VV +
1; {DTJ
function.}Mday = VV *
29.53;
{ Moon's age in days }
full_moon = mday >= 15;new_moon = mday >= 0 and
full_moon = False ;If full_moon = true and full_moon[1] = false then
begin Shortflg=0;Longflg=0; If BuyOnNu>=0 then shortflg=1
Else longflg=1;EndElse If new_moon = true and new_moon[1] = false then
begin Shortflg=0;Longflg=0; If BuyOnNu>=0 then longflg=1
Else shortflg=1;End;
If MarketPosition<>0 then begin If Shortflg>0 then
ExitLong ("lnex") on close ; If Longflg >0 then
ExitShort ("shex") on close ; If HoldDays>0 then
begin If BarsSinceEntry>=HoldDays then
begin If MarketPosition>0 then
ExitLong ("lnexd") on close; If
MarketPosition<0 then ExitShort ("shexd") on close; End;
End;End;
If Year(Date)>=BegYr1 and Year(Date)<=EndYr1 then begin
Value1=Month(date); If YrStart <> 0 then
begin Value2 = YrStart + 5; If
Value1 < YrStart then Value3 =
Value1 + 12 else Value3 =
Value1; If Value3 > Value2 then
begin Value3 =
Shortflg; Shortflg =
Longflg; Longflg =
Value3; End; End;
If BegMon1>EndMon1 then
Condition1=Value1>=BegMon1 or Value1<=EndMon1
else Condition1=Value1>=BegMon1 and
Value1<=EndMon1;
Condition2=(L>HHigh) or (LengHHLL=0);
Condition3=(H<LLow ) or (LengHHLL=0);
If Condition1 then begin If longflg=1
and Direct>=0 and Condition2 then begin buy
("nmen") at market ; longflg=0;
shortflg=0; End; If shortflg=1 and
Direct<=0 and Condition3 then begin
sell("fmen") at market ; shortflg=0;
longflg=0; End; End;
End;
- - - - - - - - - - - - - - - - - - - - - - - - - - - -Clyde
Lee
Chairman/CEO (Home of
SwingMachine)SYTECH
Corporation email: <A
href="mailto:clydelee@xxxxxxxxxxxx";>clydelee@xxxxxxxxxxxx 7910
Westglen, Suite 105
Office: (713) 783-9540Houston, TX
77063
Fax: (713) 783-1092Details
at:
www.theswingmachine.com- - - -
- - - - - - - - - - - - - - - - - - - - - - - -
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
<A title=catapult@xxxxxxxxxxxxxxxxxx
href="mailto:catapult@xxxxxxxxxxxxxxxxxx";>DH
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Saturday, April 21, 2001
21:26
Subject: Re: [RT] Does the moon affect
stock prices?
> I think if you scaled this lunar cycle chart to a
percentage> basis, you would see that the DJIA oscillates over
a> +0.1% to -0.12% range. That ain't much at all.Yup. The
Dow has an average daily range of 2% or so, and an averagemonthly range of
10% or so. That 0.2%, 29-calendar-day cycle, assumingit was accurately
measured (a very big assumption), is most likely justrandom noise.
Certainly way too small to trade, even if it's real.--
DennisTo
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