Wow, obviously touched a nerve there, I got the bold type and capitals treatment with a threat to be ignored from Mr 90% himself.
"I will tell you what. You prove that God does not exist, and I will consider your request."
That was precisely my point, re-read my post, it CAN’T be PROVED or DISPROVED, therefore it’s a BELIEF, yet in recent posts this week you have been talking about your need for scientific evidence and just 7 hours ago you said:-
"We don’t believe in things. We don’t accept things as true"
yet YOU clearly DO because you believe in God. Now before the whole God squad jump all over me there’s nothing wrong with that, but I’m just pointing out how that is TOTALLY inconsistent with claiming to require scientific evidence for everything.
Why not? You wanted to consider the method, so it doesn’t matter who wrote it.
Good, but not what I was looking for. We’re talking about the stock market, which, I postulate, has little or no correlation with the lunar cycle until someone proves this statement wrong with proof in the form of a link.
Well, I mentioned it only in a "BTW", and I said that it was about violence or traffic accidents, which is not the same as stock markets, so there was no need to ask me references then.
But if a relation of lunar cycle with violence and traffic accidents would really exist and be proven, then this could point to tendency of risk taking behavior and then a relation with stock markets would be more plausible.
Forgot to write this: If you postulate that there is no such correlation, then the burden of proof is on you.
If I said that such a correlation exists, then the burden of proof would be on me. But I didn’t say that.
Moon phases system:
Open position at full moon when correlation between moon phases and open price is greater 0
Close position when moon is new
—
backtest
3% of trading capital per position
recent 3 years
—
Net Profit % 69.26%
Annualized Gain % 19.19%
Exposure 94.06%
Number of Trades 2,311
Avg Profit/Loss % 0.87%
Avg Bars Held 10.17
Winning Trades 1,288
Winning % 55.73%
Avg Profit % 5.41%
Avg Bars Held 10.13
Max Consecutive 18
Losing Trades 1,023
Losing % 44.27%
Avg Loss % -4.86%
Avg Bars Held 10.21
Max Consecutive 20
Max Drawdown % -30.00%
Max Drawdown Date 3/28/2008
Profit Factor 1.31
Recovery Factor 1.05
Payoff Ratio 1.11
Sharpe Ratio 1.06
Pessimistic Rate of Return 1.32
------
tradeable 
Eu
Amusing.
But what’s the APD??
test message only
APD ~0.17
However, I prefer to compare long term return to peak-to-valley DD.
annual return is
Year/Return % / DD%
2005 13.41 8.62
2006 27.25 15.87
2007 35.41 16.99
2008 -13.39 22.83
As you can see yearly risk/return is in acceptable range before Jan 2008, but 2008 isn’t over yet.
The point is that even we don’t know how moon/any events affects the market we can trade it without the knowledge if it seems profitable.
Eu
"The point is that even we don’t know how moon/any events affects the market we can trade it without the knowledge if it seems profitable. "
I agree. The question is, however, whether the performance that you reported is not a matter of luck. Is it better than a simple hold & hope strategy?
Is it better than a simple hold & hope strategy?
you knew… you knew…
nope. hold&hope for the same set of stocks and period shows:
Net Profit % 108.33
Annualized Gain % 27.75
Winning % 61.62
Max Drawdown % 34.38
so even the moon system looks promising it’s random.
Eu
Thanks for the stats.
Are Investors Moonstruck? - Lunar Phases and Stock Returns
Abstract:
This paper investigates the relation between lunar phases and stock market returns of 48 countries. The findings indicate that stock returns are lower on the days around a full moon than on the days around a new moon. The magnitude of the return difference is 3% to 5% per annum based on analyses of two global portfolios: one equal-weighted and the other value-weighted. The return difference is not due to changes in stock market volatility or trading volumes. The data show that the lunar effect is not explained away by announcements of macroeconomic indicators, nor is it driven by major global shocks. Moreover, the lunar effect is independent of other calendar-related anomalies such as the January effect, the day-of-week effect, the calendar month effect, and the holiday effect (including lunar holidays).
The paper can be found at
…
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=283156
I glanced through the full text pdf of 2001, and I must admit that it looks like a serious article. It was even published:
Are investors moonstruck? Lunar phases and stock returns
Journal of Empirical Finance, Volume 13, Issue 1, January 2006, Pages 1-23
Kathy Yuan, Lu Zheng and Qiaoqiao Zhu
