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I've been accused of never contributing anything so here's my two
bits.:-)
Clyde has shown us that the moon cycle appears to exist. The question
then becomes how strong is it? Is it big enough to trade or just another
one of those interesting but not too useful bits of information?
The 29.5 calendar day moon cycle is about 21.5 trading days. So, I
applied a 21.5 day, narrow bandwidth, bandpass filter to the close of
the daily S&P 500. I divided the output by the average daily range over
the same 21.5 day period. 20 years of results are plotted on the gif.
Bottom line, the strength of the cycle is about the same as the daily
range. It might be useful information to know where you are in the moon
cycle but, IMHO, it's too weak to trade by itself. As to whether the
moon is the "cause," you can apply filters shorter or longer than 21.5
trading days and get about the same results so I don't put a lot of
faith in it. I'd be more inclined to look at days before or after
options expiration as the real trigger for these somewhat close to
monthly cycles.
--
Dennis
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