Nothing wrong with doing an OEX write as long as you have the
wherewithal and sense...
From the archives....I do so have a hard time keeping up with my
e-mail...a note from someone who plotted out the lunacy theory
last year.
For General Interest only, I am only the messenger....
~~~~~~~~~~~
Traders,
Recently the MOON question has raised it's head. I thought I
had pretty well proved that the moon does have an influence on
the market about 10 months ago but I guess we all forget.
In my opinion there are TWO major astronomical patterns that have
great influence in market behavior.
These two are the SUN and the MOON. The moon cycles from full to
full in approximately 29 calendar days. The sun cycle is one full
year in length.
For the moon we may consider market behavior to be related to the
new or the full moon.
For the sun we must consider market behavior to be influenced in
one direction or the other for six months and then in the opposite
direction the next six months.
I am not asking you the believe what I write, I simply wish that
you consider the following information.
I have written a system which I call MOONTEST. In its simplest
form this system buys on the new moon and sells on the full moon.
Or, by setting the BUYONNU parameter to a negative on we can
have the system sell on the new moon and buy on the full moon.
The following results cover the SP for the period 1983 to 1998.
When we try to sell on the new moon and buy on the full we end
up with a whopping LOSS of $176,580.00. But, when we buy on the
new moon and sell on the full we have a PROFIT of $122,960.00 .
Don't give me any bull about a long bull market -- either way
would have taken care of that. How can you explain a swing
of $299,540 between taking one side versus the other ? ? ? ?
I will guarantee you that if you pay attention to the moon
in trading the SP you will make more money with any system
that you choose.
BUYONNU YRSTART NetPrft L:NetPrft S:NetPrft ROA MaxDD
-1.00 0.00 -176580.00 67190.00 -243770.00 -74.48 -237090.00
+1.00 0.00 122960.00 217030.00 -94070.00 117.17 -104940.00
BUYONNU MaxL %Prf AvgWTrd AvgTrd AvgLTrd #WTr AvWB #LTr
AvLB
-1.00 7 49 3749.97 -461.04 -4520.90 188 9 195 9
+1.00 8 50 4498.55 321.04 -3791.53 190 9 193 9
Now let us take the SUN as an influence on top of this. Using the
moon in the above position, we trade the SUN beginning with January
(YRSTART=1) thru June as months which follow the moon and July thru
December in which we trade opposite to the moon. If we have a year
start of 7 (july) with a sell on new moon condition as prime
consideration or a year start of 1 (January) with buy on new moon
then we should have the same results except that there are a few
differences because of when the moon cycles.
In both cases we get profits of $211/$218 thousands and ROA's in
the 200+ range. Not using the sun in the above moon only study we
achieved profits of about 1/2 this amount and ROA was about 1/2.
If this does not show that the SUN has a major influence I don't
know what does.
Following the tables is the listing of the program which I used.
I have also attached an .ela file for the SC users.
I don't want to put the argument to bed about the influence of
astrological bodies I just want some more HARD EVIDENCE of what
and how such influences are felt.
Clyde Lee
BUYONNU YRSTART NetPrft L:NetPrft S:NetPrft ROA MaxDD
-1.00 1.00 -263055.00 31720.00 -294775.00 -73.87 -356125.00
-1.00 2.00 -79605.00 119225.00 -198830.00 -52.51 -151600.00
-1.00 3.00 56095.00 183025.00 -126930.00 57.72 -97180.00
-1.00 4.00 119290.00 214030.00 -94740.00 139.85 -85300.00
-1.00 5.00 9390.00 166695.00 -157305.00 9.26 -101360.00
-1.00 6.00 121960.00 224225.00 -102265.00 165.34 -73765.00
-1.00 7.00 218225.00 267565.00 -49340.00 298.98 -72990.00
+1.00 1.00 211535.00 268875.00 -57340.00 215.48 -98170.00
+1.00 2.00 28085.00 173070.00 -144985.00 17.93 -156610.00
+1.00 3.00 -107615.00 101170.00 -208785.00 -45.75 -235215.00
+1.00 4.00 -170670.00 69260.00 -239930.00 -63.91 -267040.00
+1.00 5.00 -60770.00 131545.00 -192315.00 -35.96 -168995.00
+1.00 6.00 -173340.00 76785.00 -250125.00 -71.72 -241690.00
+1.00 7.00 -269605.00 23720.00 -293325.00 -79.51 -339075.00
BUYONNU MaxL %Prf AvgWTrd AvgTrd AvgLTrd #WTr AvWB #LTr
AvLB
-1.00 6 45 3902.47 -714.82 -4509.23 166 10 202 10
-1.00 8 49 4276.68 -216.32 -4471.59 179 10 189 10
-1.00 7 48 4764.17 152.43 -4029.20 175 10 193 10
-1.00 7 50 4624.15 325.04 -3950.71 183 10 184 10
-1.00 8 51 4194.68 25.59 -4258.67 186 10 181 10
-1.00 7 53 4346.88 332.32 -4169.57 194 10 173 10
-1.00 7 53 4552.90 594.62 -3795.89 193 10 174 10
+1.00 7 54 4436.53 574.82 -3972.40 199 10 169 10
+1.00 5 50 4427.43 76.32 -4322.35 185 10 183 10
+1.00 7 51 3995.29 -292.43 -4770.72 188 10 180 10
+1.00 7 49 3942.64 -465.04 -4616.19 178 10 189 10
+1.00 8 48 4263.14 -165.59 -4202.19 175 10 192 10
+1.00 8 46 4152.17 -472.32 -4376.41 168 10 199 10
+1.00 9 46 3811.92 -734.62 -4530.98 167 10 200 10
{
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
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.
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 to
track 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 begin
value 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, clydelee@futuresmagic.com, Copyright 1/24/98
clydelee@hic.net
* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * *
* *
}
input: BuyOnNu(1), {If -1 then buy on full moon & sell new
}
{If +1 then buy on new moon & sell full
}
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. Schaefer
Calculate illumination (synodic) phase
This program helps anyone who needs to know the Moon's
phase (age), distance, and position along the ecliptic on
any date within several thousand years in the past or future.
To illustrate its application, Bradley Schaefer applied it
to a number of famous events influenced by the Moon in
World War II. His article appeared in Sky & Telescope for
April 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;
End
Else 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 ;
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;</p> |
