Most may want to skip this post. It is long. It is involved.
I could not find what I was looking for on lunar effects at the site so I had to dig into the e-mail.
"@@@@" was placed wherever the name of the discussion member existed.
~~~~~~~~~~~~~~
Subject:
ÿÿÿÿÿÿÿÿÿÿÿÿ MKT - MOON EFFECT as seen by others (and me)
ÿÿÿÿÿÿÿ Date:
ÿÿÿÿÿÿÿÿÿÿÿÿ Thu, 13 Nov 1997 11:03:23 -0600
ÿÿÿÿÿÿ From:
ÿÿÿÿÿÿÿÿÿÿÿÿ @@@@
ÿOrganization:
ÿÿÿÿÿÿÿÿÿÿÿÿ @@@@
ÿÿÿÿÿÿÿÿ To:
ÿÿÿÿÿÿÿÿÿÿÿÿ RealTraders Discussion Group <realtraders@listserver.com>
ÿ
ÿ
ÿ
I watch the information on the following link like a hawk.
ÿhttp://www.programtrading.com/hlc.htm
Yesterday they posted the following:
SPECIAL REPORT:
You may have heard of the old commodity trading saying, "buy the new
moon and sell the full". It may be good advise for
some commodities like beans and greens and corn bread, but for trading
S&P's or OEX options this year, it hasn't been
worth a flip. Why? Because so far this year any trading day that also
happened to be the full moon, has closed Positive 83%
of the time. So much for old commodity trading sayings, huh? Well, not
really. Like most things in the markets there is another
side of the story. So we asked our computers to give us some additional
information on trading during a full moon. Here are
the results.
So far this year we have had 10 full moons. Only two fell on a weekend
so we used the following Monday as the "full moon
day". We asked the computers to look for any patterns on the 3 trading
days before a full moon day, and (since everyone
wants to buy an option, hold it for a week, and hit a home run) on the 5
trading days after a full moon day. What we found is
very interesting.
As you learned above, full moon days close up 83% of the time. AND that
is the worst day to be short, as the average drop
on a full moon day is only 20.10 points on the Dow. BUT, shorting before
the full moon does much better. The average
cumulative drop during the three days BEFORE a full moon trading day is
90.40 points. That's the equivalent of over 10
points on the OEX. AND, the best day of the three to be short, or in
puts, is the day BEFORE the full moon, which averages
dropping 35.20 points.
BUT, if you really want to go for a big lick in puts, study this. The
average cumulative drop in the week (5 trading days) after
a full moon is 168.80 points. That's 19 points on the OEX and not bad
for a weeks work. The best day to be short is the
THIRD day after the full moon trading day, which averages dropping 72.50
points. The second best day to be short is the
FIRST day after the full moon trading day, which averages dropping 35.60
points.
Now before you start thinking that this full moon stuff is a bunch of
bull, tell us how much and on what day was the biggest
one day drop in 1996 (so far). We'll even give you a hint. Elaine
Garzarelli had nothing to do with it. While your at it, tell us
how much and on what day was the biggest one, and two day drops in 1995.
Give up?ÿ The biggest one day drop in 1996 was -216 points on March 8.
It was the THIRD day after the full moon. The
biggest one day drop in 1995 was -133 points on July 19. It was the
fifth day after the full moon. The biggest two day drop
was that day and the day before, the fourth day after the full moon when
the Dow dropped -58 for a total two day drop of
-191 points.
Of the 15 biggest one day drops in 1996 so far, 11 of them were within
the time frames examined by our computers during
the full moon each month. Ten of them fell in the "week" after the full
moon. If we ignore the Garzarelli selloff days that means
that only 2 of the biggest drops this year have NOT been during a full
moon. Making 10 out of 13 of the biggest drops hitting
after the full moon. All other things equal, we know of no better time
to be holding puts.
Only once in the past year has holding puts right after a full moon not
worked very well. That full moon was also a "Blue
Moon", proving once again that that old saying of "once in a Blue Moon"
really is something unusual.
ÿ
....H. L.Camp, October 1, 1996
ÿ
ÿ
Now to see if such a "blue moon" phenomena still workedÿ I took
Gary's moontrader program and added an exit after some selected
number of days.
For this study I made it 3 days.
The results -- using OFFSET to define the day relative to the new/full
moon at which to buy/sell and the OEX cash market as the basis the
following table covers results.
EVEN IN A MARKET WITH VERY STRONG POSITIVE BIAS
IT IS APPARENT THAT SELLING RELATIVE TO THE FULL
MOON CAN GIVE MUCH BETTER RESULTS THAN BUYING
IN THE SAME PERIOD.
THE MOON STILL WORKS IT'S MAGIC.
@@@@
ÿÿÿÿÿÿÿ OFFSETÿÿÿÿ NetPrftÿÿÿÿÿ L:NetPrftÿÿÿÿÿ S:NetPrft
ÿÿÿÿ 1ÿ -14.00ÿÿÿ -10926.00ÿÿÿÿÿÿÿ 2980.00ÿÿÿÿÿ -13906.00
ÿÿÿÿ 2ÿ -13.00ÿÿÿÿ -1575.00ÿÿÿÿÿÿÿ 6086.00ÿÿÿÿÿÿ -7661.00
ÿÿÿÿ 3ÿ -12.00ÿÿÿÿ -5605.00ÿÿÿÿÿÿÿ 3038.00ÿÿÿÿÿÿ -8643.00
ÿÿÿÿ 4ÿ -11.00ÿÿÿ -10524.00ÿÿÿÿÿÿÿ 3615.00ÿÿÿÿÿ -14139.00
ÿÿÿÿ 5ÿ -10.00ÿÿÿÿ -4409.00ÿÿÿÿÿÿÿ 3999.00ÿÿÿÿÿÿ -8408.00
ÿÿÿÿ 6ÿÿ -9.00ÿÿÿÿ -2559.00ÿÿÿÿÿÿÿ 3106.00ÿÿÿÿÿÿ -5665.00
ÿÿÿÿ 7ÿÿ -8.00ÿÿÿÿ -4402.00ÿÿÿÿÿÿÿ 3657.00ÿÿÿÿÿÿ -8059.00
ÿÿÿÿ 8ÿÿ -7.00ÿÿÿÿÿÿ 651.00ÿÿÿÿÿÿÿ 3293.00ÿÿÿÿÿÿ -2642.00
ÿÿÿÿ 9ÿÿ -6.00ÿÿÿÿÿ 3918.00ÿÿÿÿÿÿÿ 4589.00ÿÿÿÿÿÿÿ -671.00
ÿÿÿÿ 10ÿ -5.00ÿÿÿÿ 16860.00ÿÿÿÿÿÿÿ 6982.00ÿÿÿÿÿÿ [9878.00]
ÿÿÿÿ 11ÿ -4.00ÿÿÿÿ 11164.00ÿÿÿÿÿÿÿ 4592.00ÿÿÿÿÿÿÿ 6572.00
ÿÿÿÿ 12ÿ -3.00ÿÿÿÿÿ 5846.00ÿÿÿÿÿÿÿ 2091.00ÿÿÿÿÿÿÿ 3755.00
ÿÿÿÿ 13ÿ -2.00ÿÿÿÿÿ 8069.00ÿÿÿÿÿÿÿ 3527.00ÿÿÿÿÿÿÿ 4542.00
ÿÿÿÿ 14ÿ -1.00ÿÿÿÿÿ 5493.00ÿÿÿÿÿÿÿ 4340.00ÿÿÿÿÿÿÿ 1153.00
ÿÿÿÿ 15ÿÿ 0.00ÿÿÿÿÿ 4094.00ÿÿÿÿÿÿÿ 5603.00ÿÿÿÿÿÿ -1509.00
ÿÿÿÿ 16ÿ +1.00ÿÿÿÿÿ 4957.00ÿÿÿÿÿÿÿ 9617.00ÿÿÿÿÿÿ -4660.00
ÿÿÿÿ 17ÿ +2.00ÿÿÿÿÿ 1519.00ÿÿÿÿÿÿÿ 9285.00ÿÿÿÿÿÿ -7766.00
ÿÿÿÿ 18ÿ +3.00ÿÿÿÿÿ 5345.00ÿÿÿÿÿÿ 10063.00ÿÿÿÿÿÿ -4718.00
ÿÿÿÿ 19ÿ +4.00ÿÿÿÿÿ 8541.00ÿÿÿÿÿ [13836.00]ÿÿÿÿÿ -5295.00
ÿÿÿÿ 20ÿ +5.00ÿÿÿÿÿ 1256.00ÿÿÿÿÿÿÿ 6935.00ÿÿÿÿÿÿ -5679.00
ÿÿÿÿ 21ÿ +6.00ÿÿÿÿÿ 1752.00ÿÿÿÿÿÿÿ 6538.00ÿÿÿÿÿÿ -4786.00
ÿÿÿÿ 22ÿ +7.00ÿÿÿÿÿ 1099.00ÿÿÿÿÿÿÿ 6436.ÿÿÿÿÿÿÿÿ -5337.00
ÿÿÿÿ 23ÿ +8.00ÿÿÿÿ -6512.00ÿÿÿÿÿÿ -1539.00ÿÿÿÿÿÿ -4973.00
ÿÿÿÿ 24ÿ +9.00ÿÿÿ -12194.00ÿÿÿÿÿÿ -6065.00ÿÿÿÿÿÿ -6129.00
ÿÿÿÿ 25 +10.00ÿÿÿ -24934.00ÿÿÿÿÿ -16272.00ÿÿÿÿÿÿ -8662.00
ÿÿÿÿ 26 +11.00ÿÿÿ -12454.00ÿÿÿÿÿÿ -6182.00ÿÿÿÿÿÿ -6272.00
ÿÿÿÿ 27 +12.00ÿÿÿ -11774.00ÿÿÿÿÿÿ -8003.00ÿÿÿÿÿÿ -3771.00
ÿÿÿÿ 28 +13.00ÿÿÿ -11111.00ÿÿÿÿÿÿ -5904.00ÿÿÿÿÿÿ -5207.00
ÿÿÿÿ 29 +14.00ÿÿÿÿ -9195.00ÿÿÿÿÿÿ -3175.00ÿÿÿÿÿÿ -6020.00
ÿ
ÿ
ÿ
ÿ@@@@
ÿ
ÿ
ÿ
ÿ
ÿ
ÿ
ÿ
ÿ
ÿ
ÿ
ÿ
ÿ
ÿ
Subject:
ÿÿÿÿÿÿÿÿÿÿÿÿ MOON STUDY
ÿÿÿÿÿÿÿ Date:
ÿÿÿÿÿÿÿÿÿÿÿÿ Tue, 29 Jul 1997 11:04:21 -0500
ÿÿÿÿÿÿ From:
ÿÿÿÿÿÿÿÿÿÿÿÿ @@@@
ÿOrganization:
ÿÿÿÿÿÿÿÿÿÿÿÿ @@@@
ÿÿÿÿÿÿÿÿ To:
ÿÿÿÿÿÿÿÿÿÿÿÿ Norman Niwinski
ÿ
ÿ
ÿ
ÿ
ÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿÿ Sheet1
ÿAÿÿ Bÿÿÿÿ Cÿÿ Dÿÿ Fÿÿ G
Symbÿÿÿ Off@0ÿÿÿ Off@14ÿÿÿ NoMoonÿÿÿÿÿÿ minÿÿÿÿÿ maxÿÿÿÿ Ttest-fg
BPÿÿÿÿÿÿ 41.6ÿÿÿÿ 149.9ÿÿÿÿÿ 74.7ÿÿÿÿÿ 41.6ÿÿÿ 149.9ÿÿÿÿ 0.000823
Cÿÿÿÿÿÿÿ 57.4ÿÿÿÿÿ 64.1ÿÿÿÿÿ 61.7ÿÿÿÿÿ 57.4ÿÿÿÿ 64.1
CCÿÿÿÿÿ -82.5ÿÿÿÿ -54.1ÿÿÿÿ -83.0ÿÿÿÿ -82.5ÿÿÿ -54.1
CLÿÿÿÿÿ -26.5ÿÿÿÿÿ 36.2ÿÿÿÿÿ 30.5ÿÿÿÿ -26.5ÿÿÿÿ 36.2ÿÿÿÿ Ttest-fd
CTÿÿÿÿÿÿ 24.3ÿÿÿÿ 150.0ÿÿÿÿ 200.5ÿÿÿÿÿ 24.3ÿÿÿ 150.0ÿÿÿÿ 0.196403
DMÿÿÿÿÿ -61.8ÿÿÿÿÿ 27.7ÿÿÿÿÿ 11.5ÿÿÿÿ -61.8ÿÿÿÿ 27.7
DXÿÿÿÿÿ 139.6ÿÿÿÿ -22.4ÿÿÿÿ -38.4ÿÿÿÿ -22.4ÿÿÿ 139.6
EDÿÿÿÿÿ 264.8ÿÿÿÿÿÿ 3.8ÿÿÿÿ 467.3ÿÿÿÿÿÿ 3.8ÿÿÿ 264.8ÿÿÿÿ Ttest-gd
GCÿÿÿÿÿÿ -3.1ÿÿÿÿ -81.5ÿÿÿÿ -20.8ÿÿÿÿ -81.5ÿÿÿÿ -3.1ÿÿÿÿÿ 0.01555
HGÿÿÿÿÿÿ 54.5ÿÿÿÿ -82.3ÿÿÿÿ -73.2ÿÿÿÿ -82.3ÿÿÿÿ 54.5
HOÿÿÿÿÿ -27.1ÿÿÿÿÿ -1.6ÿÿÿÿ -71.5ÿÿÿÿ -27.1ÿÿÿÿ -1.6
JYÿÿÿÿÿ 196.4ÿÿÿÿ 435.3ÿÿÿÿ 155.6ÿÿÿÿ 196.4ÿÿÿ 435.3
KCÿÿÿÿÿÿ 15.1ÿÿÿÿ 157.6ÿÿÿÿÿ 41.9ÿÿÿÿÿ 15.1ÿÿÿ 157.6ÿÿÿÿ ftest-fg
Oÿÿÿÿÿÿÿ 50.9ÿÿÿÿÿ -7.0ÿÿÿÿ -72.8ÿÿÿÿÿ -7.0ÿÿÿÿ 50.9ÿÿÿÿ 1.35E-05
Sÿÿÿÿÿÿÿ 38.2ÿÿÿÿ -74.4ÿÿÿÿ -63.2ÿÿÿÿ -74.4ÿÿÿÿ 38.2
SBÿÿÿÿÿÿ 66.1ÿÿÿÿÿ 46.0ÿÿÿÿ -44.6ÿÿÿÿÿ 46.0ÿÿÿÿ 66.1
SFÿÿÿÿÿ -77.5ÿÿÿÿ 178.8ÿÿÿÿÿ 29.3ÿÿÿÿ -77.5ÿÿÿ 178.8ÿÿÿÿ ftest-fg
SIÿÿÿÿÿ -30.6ÿÿÿÿ -55.0ÿÿÿÿ -59.4ÿÿÿÿ -55.0ÿÿÿ -30.6ÿÿÿÿÿ 0.00759
SPÿÿÿÿÿ 251.0ÿÿÿÿ -78.6ÿÿÿÿ -80.1ÿÿÿÿ -78.6ÿÿÿ 251.0
TBÿÿÿÿÿÿ 97.1ÿÿÿÿ -65.0ÿÿÿÿÿÿ 4.8ÿÿÿÿ -65.0ÿÿÿÿ 97.1
USÿÿÿÿÿ 374.5ÿÿÿÿÿ 51.2ÿÿÿÿ -25.6ÿÿÿÿÿ 51.2ÿÿÿ 374.5ÿÿÿÿ ftest-fg
Wÿÿÿÿÿÿ -63.6ÿÿÿÿ 800.8ÿÿÿÿÿ 68.3ÿÿÿÿ -63.6ÿÿÿ 800.8ÿÿÿÿ 0.055827
Above:ÿÿÿ Column A is futures symbol.
ÿÿÿÿÿÿÿÿÿ Column D is the ROR (rate of return) on the Rainbow XAverage
ÿÿÿÿÿÿÿÿÿ system using values determined by optimization of
ÿÿÿÿÿÿÿÿÿ parameters for the BP commodity in the time period
ÿÿÿÿÿÿÿÿÿ 10/16/89ÿ andÿ 06/2/96.
ÿÿÿÿÿÿÿÿÿ Column B is the ROR on above system but only buying on
ÿÿÿÿÿÿÿÿÿ new moon and exiting on full moon if system is
ÿÿÿÿÿÿÿÿÿ buying or selling on full moon and buying
ÿÿÿÿÿÿÿÿÿ on new moon if Rainbow XAverage system s short.
ÿÿÿÿÿÿÿÿÿ Column C is the ROR with full/new-new/full action.
Since some commodities may trade best at NewMoon and others at Full
Moon.ÿ In columns F and G we have arranged items such that minimum
return is in F and maximum in G.
Note:ÿÿ ROR is defined as Profit/Loss divided by MaxDaily Drawdown.
ÿ
T and F test statistics are shown in column I.ÿ It seems to me that the
relationship of the phase of the moon to the performance of the trading
system is well defined!!!!!!!!!!!!!!!!!!!!
ALL TESTS WERE STRICTLY ON NEW MOON AND FULL MOON AND NO ADJUSTMENTS
TO OPTIMIZE RESULTS WAS MADE. |
