Sheer Lunacy staring at the Heavens

The Sheer Lunacy staring at the Heavens study was released on July 7th 2010 by Royal Bank of Scotland Equity Research team

This paper presents a study of correlations between the moon phases and behaviour of financial markets, and suggests a medium-to-long term trading strategy, which can significantly increase profits. It also takes a quick look at planetary alignments and what could be significant in terms of timing for the coming weeks (really bad for stocks).

We considered trading twice per month, once on the new moon day, or on the next trading day if new moon falls into a non-trading day, and the other is on the full moon.

Download the study: http://xa.yimg.com/kq/groups/17324418/945690453/name/RBS+Moon+Phase.pdf

The results are incredible. This strategy outperformed all indexes by 645% in average, with S&P500 moon strategy trading outperforming the index by 2388%

it's worth looking at ...

Someone coded this for AB (new and full moon) - I'll see if I can replicate the results for the ASX.

ok well that didn't work on All Ords or the Dow. I tested buy = newmoon, sell = fullmoon. Both lost over a 10 year period. You sure this is legitimate?

Just found another formula, will check that now....

ok the second formula is hard to edit for buys/sells.

But the first formula which seems to match up with dates here: http://www.aussiesky.net/weather/weather3.html
is tested with buy = fullmoon and sell = newmoon.

Result over 10 years for All Ords:

Annual return : 7.29%

Not great, but at least it's positive.

Anyone else got Ab and want to test this?

Nice article Miro.
I have skimmed through it and it seems like there is some validity to it. I cut my teeth on Gann style analysis many years ago and have studied the astrological side of things in a fair bit of depth and I did notice certain patterns however not enough to give me an edge. I don’t look at anything to do with astrology now but it still interests me.

When I get some spare time I will test it in AB.

I have some friends that are nurses in mental institutes and nursing homes and it's a common thing for them not to want to work on full moons as patients are over active on those nights. Weird.

MetaStock code for "Lunar Cycle" indicator, may be of interest to some forum members.

As the VSTPro for MetaStock has the Lunar Cycle indicator built in I did a test on the ASX-XJO.

The best results came from using Entry=FM / Exit=NM.

Placed a few VSTPro charts on the VST charts blog.

The Lunar Cycle indicator was downloaded from Jose Silva, metastocktools.com

MetaStock -> Tools -> Indicator Builder -> New
-> copy & paste complete formula below.


============
Lunar cycles
============
---8<-----------------------------------------

{Full/New/Q1/Q3 Moon signals indicator Mk XV.

Plots:
+1 signal on Full Moon; -1 on New Moon;
+0.5 on first Quarter; -0.5 on last Quarter.
Accurate to within 2 hours every 19 years.

Signals that fall on holidays or weekends
are plotted on the next trading day.
Use the signal advance input to view
approaching signals.

Adj lunar signals to market's local Time Zone
(generally add 1hr for Daylight Saving Time):

New Zealand: +12hrs
Australia: +10
Japan: +9
SE Asia: +8
Thai/Indonesia: +7
India: +5.5
Dubai: +4
Moscow: +3
Europe: +1
UK & Portugal: 0
USA, NY: -5
Chicago: -6

http://www.travel.com.hk/region/timezone.htm

Copyright © 2001-2009 Jose Silva.
The grant of this license is for personal use
only - no resale or repackaging allowed.
All code remains the property of Jose Silva.
http://www.metastocktools.com }

{ User inputs }
TZ:=Input("Market's local Time Zone? [-12hrs to +12hrs]",-12,12,-5);
shift:=Input("Advance signal by x calendar days",-30,30,0);
plot:=Input("Plot Q1 and Q3 (half) signals? [1]Yes, [0]No",0,1,0);

{ Lunar cycle length in days (synodic month) }
LunarMonth:=29.53059;
offset:=4.86;

{ Calendar engine }
y:=Year()-(Month()<3);
leap:=Int(y/4)-Int(y/100)+Int(y/400);
mth:=Int((2+153*(Month()-3+12*(Month()<3)))/5);
dayNr:=DayOfMonth()+mth+y*365+leap-657382
-offset-TZ/24+shift;

{ New/Q1/Full/Q3 Moon cycles }
NM:=Frac((DayNr+LunarMonth/2)/LunarMonth);
Q1:=Frac((DayNr+LunarMonth/4)/LunarMonth);
FM:=Frac(DayNr/LunarMonth);
Q3:=Frac((DayNr-LunarMonth/4)/LunarMonth);

{ Lunar cycle signals }
cycle:=FM-NM;
FM:=cycle<0 AND Alert(cycle>0,2);
NM:=-(cycle>0 AND Alert(cycle<0,2));
cycle:=Q1-Q3;
Q1:=(cycle<0 AND Alert(cycle>0,2))*.5;
Q3:=(cycle>0 AND Alert(cycle<0,2))*-.5;
signals:=If(plot=1,NM+Q1+FM+Q3,NM+FM);

{ Plot Lunar signals in own window }
signals

---8<-----------------------------------------

I personally don't hold sway with any of the astronomy/astrology stuff but attending a ATAA meeting the other night there was a presentation by the creator of the Market Analyist Platform and he was showing some screenshots of their new release which won't be publicly available for a few months but has a comprehensive toolbox using lots of different Astronomy studies.Might be worth checking out if your interested in this stuff.

Hi Miro,
I started a similar thread back in Dec 2009, link below, and got comprehensively crunched by my fellow posters, as you will read. The basic claim was that days either side of the New Moon deliver best results.

Joe Blow, would it be an idea to merge these two threads.

https://www.aussiestockforums.com/forums/showthread.php?t=18301
Lunar cycle and market moves

I'm not advocating the theory or otherwise, it's just information.

The following is from The Australian - Business, on 23 Dec 2009, link: http://www.theaustralian.com.au/busi...-1225812989219

"Now, backed with decades of data and behaviour that can no longer be explained by purely rational analysis, the lunar theory has slipped into the mainstream.

In a piece of research that involved 14 of its senior analysts from across five leading financial centres scrutinising data from 32 leading indices over several decades, Macquarie Securities has arrived at a startling discovery: the two days on either side of the new lunar month represent most of the positive returns on equity markets for the next four weeks".

"Using data since 1988 for a wide variety of indices," the report concluded, "it is quite clear that a strong surge in returns can be seen leading into the turn of the (lunar) month."

Next New Moon: 15 Jan 2010.
Next Full Moon: 31 Dec 2009

Click to expand...

And Dracuu, I was told not to be so ridiculous about this either:

From Dracuu:
I have some friends that are nurses in mental institutes and nursing homes and it's a common thing for them not to want to work on full moons as patients are over active on those nights. Weird.

Click to expand...

New Moon is on Wed 8 Sept this week,

so by one version of the lunar theory (see Macquarie Securities research in post above), it ought to stimulate good returns for the week.

Logique said:

New Moon is on Wed 8 Sept this week,

so by one version of the lunar theory (see Macquarie Securities research in post above), it ought to stimulate good returns for the week.

Click to expand...

not exactly ... if we're in a bull market the returns are higher, if we're in a bear market the losses are lower

we could be in a bear market or a corrective phase of a bull market ... but looking at the charts it's not clear if we've hit the bottom yet

Hi folks,

We have the New Moon coming in tomorrow, just in time for the market's
reaction to the decision, about the next government and all the implications
that may need to be considered, by investors and traders.

By way of example, here's a few stocks, that may well be tuned to the
current lunar cycle, over the next couple of weeks:

WTF - GFF - CTX - CUS - APA - AGK - FMG

have a great day

paul



=====

G'day Trader Paul.

From my post above:

'...scrutinising data from 32 leading indices over several decades, Macquarie Securities has arrived at a startling discovery: the two days on either side of the new lunar month represent most of the positive returns on equity markets for the next four weeks...'

Click to expand...

I've been paying attention to this during the year, and during that time it's been quite a useful pointer to market moves. The most recent New Moon was Saturday 6th November, which worked very well.

So I'm continuing to monitor, and taking it into account for sure.