# Lunar cycle and market moves



## Logique (23 December 2009)

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/bus...e-lunatic-fringe/story-e6frg91o-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


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## SmellyTerror (26 December 2009)

Ah "many", my favourite weasel word. How many is many, exactly? Are we talking many-number, or many-proportion?

And "higher than average" is always good for a run. About half of most ranges are higher than average. Of all the days of every month, about half are slightly above average in temperature, too. Welcome to stats.



> "Of the 32 markets we examined, all showed *higher than average *returns around the turn of the (lunar) month ... and for *many* of the markets, the average return for the rest of the month was below, or close to, zero."




...so they'll quote the exact number of markets (32) but not the number with the dramatic result (just "many").



> "In *many* markets, a very clear increase in average returns can be seen leading into the lunar new month."




So how much is that increase?



> The results, the analysis said, showed that without exception every market showed *a very slight increase* in the average return over the new moon period.




Yeah, surprise me. And, way to go news media, this "very slight increase" was earlier described as a "strong surge".

We know there are folk who trade on silly stuff like lunar cycles. Seems to me that this is plenty to explain a "very slight" effect on averages. That, I can believe. Claims of a statistically significant "surge" would need some real numbers to back them up.


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## Sdajii (26 December 2009)

SmellyTerror said:


> Ah "many", my favourite weasel word. How many is many, exactly? Are we talking many-number, or many-proportion?
> 
> And "higher than average" is always good for a run. About half of most ranges are higher than average. Of all the days of every month, about half are slightly above average in temperature, too. Welcome to stats.
> 
> ...




99% of people who claim that statistics can be used to mislead people have either murdered, tortured, dismembered, severely harmed or mildly harmed their very own parents.

Do you honestly want to be a part of that group? Shame on you.


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## nulla nulla (26 December 2009)

Sdajii said:


> 99% of people who claim that statistics can be used to mislead people have either murdered, tortured, dismembered, severely harmed or mildly harmed their very own parents.
> 
> Do you honestly want to be a part of that group? Shame on you.




"mildly harmed their very own parents" would just about cover everyone that  put their mother through a nine month gestation period, give or take a month for the early or late arivals. Then of course there would be the torture a parent goes through trying to deal with teenagers.


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## Synergy (26 December 2009)

The funny thing about markets is that if enough people start believing things like this they will actually become true.


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## Putty7 (26 December 2009)

Sdajii said:


> 99% of people who claim that statistics can be used to mislead people have either murdered, tortured, dismembered, severely harmed or mildly harmed their very own parents.
> 
> Do you honestly want to be a part of that group? Shame on you.




So when Jim Garrison disproved the magic bullet theory used by the Warren Commission in the murder of JFK that was proven by statistsics and tests, he had either murdered, tortured, dismembered, severly harmed or mildly harmed his own parents.


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## Trader Paul (26 December 2009)

Logique said:


> 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/bus...e-lunatic-fringe/story-e6frg91o-1225812989219
> 
> ...





=====



Hi Logique,

Lunar cycles sometimes trigger other planetary aspects, that may mark
a trend reversal or a significant breakout in particular markets, as well ... 

If the new moon is deemed positive, then the full moon may be seen as
POTENTIALLY negative ..... marking the end of a positive move, started
around the new moon, for example. 

Sometimes, such negativity is shortlived, as the lunar cycle moves quickly
and any weakness at this time, may be seen as a buying opportunity in
some stocks.

For example, some stocks to watch for weakness this week, going into the
full moon may be:-  GER, TPI, TGR, BYR, GWR, III, IRI, CIR ... to name a few.

More later ... with some stocks to watch, at the next new moon, too ... 

happy trading

  paul



=====


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## Garpal Gumnut (26 December 2009)

To paraphrase the American Declaration of Independence.

The Lunar effect on all creatures on earth, and its effect on behaviour....



> We hold these truths to be self-evident




Chartists have been aware of this for centuries and Paul's comments should be well heeded by the funnymentalists on this forum.

gg


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## GoodCall (27 December 2009)

Trader Paul said:


> =====
> 
> 
> If the new moon is deemed positive, then the full moon may be seen as
> ...




What deems a new moon positive?


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## Wysiwyg (27 December 2009)

GoodCall said:


> What deems a new moon positive?




May, could, if the market moves up.


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## MRC & Co (27 December 2009)

GoodCall said:


> What deems a new moon positive?




Good call.


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## ThingyMajiggy (27 December 2009)

GoodCall said:


> What deems a new moon positive?




Well...I'd say if they forgot to wipe, its a negative new moon.  So therefore...


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## howardbandy (28 December 2009)

Greetings all --

In my book, "Quantitative Trading Systems", pages 159 through 164, I explore the phase of the moon as a market indicator and give the AmiBroker code you can use to test the relationship yourself. 

Assume the new moon occurs at 0 and again at 100 on a clock that runs from 0 to 100.  That means a full moon will occur at 50, and so forth.

I used 1/1/1995 through 1/1/2005 as the in-sample period, and found there is a reasonably strong seasonality over the in-sample period.  The system buys the market (each of 513 active securities) about the time of the moon's third quarter, reverses to short at about full moon, reverses back to long at the next third quarter, and so forth -- two trades each lunar month.  In terms of the 0 to 100 clock, the system is long when the moon is anywhere in the 79 to 59 range (wrapping around zero), and short when the moon is in the 60 to 78 range.  The median annual gain was about 20%.

As with all trading systems, the proof is in the out-of-sample results.  Using 1/1/2005 through 1/1/2007 as out-of-sample, the relationship completely fell apart.  About 80 of the 100 time slots reversed.  Keeping the same system as was discovered using the in-sample data, the out-of-sample results were a median annual gain of about -11% (a loss of 11% per year).

As always, do your own research.  

Thanks for listening,
Howard


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## Garpal Gumnut (28 December 2009)

Lunar cycles are an obvious trading tool.

Women are lunar, they vary in their temperament and reaction to males on a daily basis, predictable though on a monthly chart.

The trade in DNA is the oldest market going, so I fail to see how anyone can argue that it doesn't apply to stocks.

That is why I am a long term trader and eschew minute or thirty second entires, now that I am more mature in my data collection.

gg


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## Sdajii (28 December 2009)

nulla nulla said:


> "mildly harmed their very own parents" would just about cover everyone that  put their mother through a nine month gestation period, give or take a month for the early or late arivals. Then of course there would be the torture a parent goes through trying to deal with teenagers.




Yeah, which is what made my statement true... although analysing it any further than the point where you see the joke kills the humour.


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## Logique (28 December 2009)

Healthy scepticism is fine by me.
Law enforcement authorities and hospital casualty departments could tell a story on the effects of a full moon on human psychology. So it's not such a big stretch to believe that it could affect the psychology of market players.

BTW New Years Eve is a blue moon this year (second full moon in a calendar month). Won't happen again on a New Years Eve until 2028. Take care out there folks.


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## SmellyTerror (1 January 2010)

> Law enforcement authorities and hospital casualty departments could tell a story on the effects of a full moon on human psychology.




It's a myth.

Quite apart from my own experience (I'm in emergency management) which satisfies me that there is no correlation, there are plenty of debunkings all over the net. For example, near the top of a google search for "lunar effect": http://www.skepdic.com/fullmoon.html - note especially the references at the end.


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## Timmy (1 January 2010)

SmellyTerror said:


> It's a myth.
> 
> Quite apart from my own experience (I'm in emergency management) which satisfies me that there is no correlation, there are plenty of debunkings all over the net. For example, near the top of a google search for "lunar effect": http://www.skepdic.com/fullmoon.html - note especially the references at the end.




Nice reference thanks SmellyT.


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## Whiskers (5 January 2010)

howardbandy said:


> As with all trading systems, the proof is in the out-of-sample results.  Using 1/1/2005 through 1/1/2007 as out-of-sample, the relationship completely fell apart.  About 80 of the 100 time slots reversed.  Keeping the same system as was discovered using the in-sample data, the out-of-sample results were a median annual gain of about -11% (a loss of 11% per year).
> 
> As always, do your own research.
> 
> ...




Hi Howard, I have not read your book, but based on your post your in-sample period was 10 yrs and your out-of-sample was only 2yrs. 

I'd be interested to see the results of an out-of-sample period equal to your in-sample period. I think the longer period will always give more consistant/reliable results... and also I think cycle analysis should keep in mind the old cliche, compare apples with apples. In that sense I believe the time frame the test was done in is of significant importance arguably more important than the 'micro' lunar cycle.

To clarify, given there is a lunar cycle that even the scientific community recognises has an effect on plants and other animals... what about other cycles that interact with the lunar cycle. There are sun cycles (solar flares  and their effect on weather, well documented by the late Indigo Jones), other planets and most importantly I refer particularly to cycles of human behaviour based on our own individuality, eg the time we were born and how all these other cycles had suttle influences in framing our genetic makeup.

I'm trying to formulate a program to do this, however so far I've not found a way to program interpretations that need to be made and weighed against the various cycles and influences.

The nearest I've heard to describe such a program is our 'intuition'... but due to our human frailties we often don't even recognise, let alone take notice of our intuition.


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## jbocker (5 January 2010)

What?
Pure Lunacy.
Only a true lunatic would believe that there is a correlation. 
(Oh Please dont sic the werewolves on me!)


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## Wysiwyg (5 January 2010)

Whiskers said:


> I'd be interested to see the results of an out-of-sample period equal to your in-sample period. I think the longer period will always give more consistant/reliable results... and also I think cycle analysis should keep in mind the old cliche, compare apples with apples.



 Isn't all historical data "in sample"?  Change the dates and call it "out of sample" but it is still a backtest of finite historical data.

I'm practicing it but I don't know what knowledge it produces.


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## Whiskers (5 January 2010)

Wysiwyg said:


> Isn't all historical data "in sample"?  Change the dates and call it "out of sample" but it is still a backtest of finite historical data.




The main point I was trying to get to there is that the Lunar cycle is only one cycle in a myriad of other cycles. 

I think it was an opertune time to start the cycle analysis on Jan 1st, as early Jan is when the earth is closest to the sun. But the solar flare cycle is also a significant influence, off-hand I don't know it's cycles, and the lunar influence is diminished or enhanced by both the solar orbit and solar flare cycles.

Given that Howards analysis didn't take into account the solar orbit and solar flare cycles, I suggest the best way to get a reasonable comparrison of the Lunar data alone is to average it over the longer period... ie compare 10 yr periods with 10 year periods to minimise corruption of the data from these other cycles.

But Ideally one would integrate all the above cycles with individual or collective 'human' cycles.


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## howardbandy (6 January 2010)

Whiskers said:


> Hi Howard, I have not read your book, but based on your post your in-sample period was 10 yrs and your out-of-sample was only 2yrs.
> 
> I'd be interested to see the results of an out-of-sample period equal to your in-sample period. I think the longer period will always give more consistant/reliable results... and also I think cycle analysis should keep in mind the old cliche, compare apples with apples. In that sense I believe the time frame the test was done in is of significant importance arguably more important than the 'micro' lunar cycle.
> 
> ...




Hi Whiskers --

In validating a model, whether for a trading system or some other application, there is no requirement, or even common practice, for the out-of-sample period to be the same length as the in-sample period.

The in-sample period length is determined by the amount of time and data required for the model to become synchronized with the signal portion of the data.  The out-of-sample period length is determined by how long the model and the data remain synchronized.

If the out-of-sample period length is too long, the synchronization will fall off before the end of the out-of-sample period.  And it will be necessary to step the dates of the in-sample period forward and resynchronize the model to the newer and somewhat changed data.

Thanks,
Howard


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## Logique (20 March 2011)

From here:
http://www.universetoday.com/83960/march-19-2011-supermoon-or-superhype/comment-page-1/

The Moon's closest approach in 18 years will happen on the 19th March 2011, with this lunar perigee occuring the same time as the full Moon.

March 19, 2011… “SuperMoon” or “SuperHype”?
by Tammy Plotner on March 10, 2011
Credit: JPL/NASA
...Does an astrological prediction of an upcoming “Extreme SuperMoon” spell impending disaster – or is it just one more attempt to excite our natural tendencies to love a good gloom and doom story? That’s what I set about to find out… 

On March 19, 2011 the Moon will pass by Earth at a distance of 356,577 kilometers (221,567 miles) – the *closest pass in 18 years* . In my world, this is known as lunar perigee and a normal lunar perigee averaging a distance of 364,397 kilometers (226,425 miles) happens… well… like clockwork once every orbital period. According to astrologer, Richard Nolle, this month’s closer than average pass is called an *Extreme SuperMoon.* “SuperMoon is a word I coined in a 1979 article for Dell Publishing Company’s HOROSCOPE magazine, describing what is technically termed a perigee-syzygy; i.e. a new or full Moon (syzygy) which occurs with the Moon at or near (within 90% of) its closest approach to Earth (perigee) in a given orbit.” says Richard. “*In short, Earth, Moon and Sun are all in a line, with Moon in its nearest approach to Earth.”*

Opinions aside, it is a scientific fact when the Moon is at perigee there is more gravitational pull, creating higher tides or significant variations in high and low tides. In addition, the tidal effect of the Sun’s gravitational field increases the Moon’s orbital eccentricity when the orbit’s major axis is aligned with the Sun-Earth vector. Or, more specifically, when the Moon is full or new. We are all aware of Earth’s tidal bulges... 

Credit: Richard Nolle
“SuperMoons are noteworthy for their close association with extreme tidal forces working in what astrologers of old used to call the sublunary world: the atmosphere, crust and oceans of our home planet...a SuperMoon is planetary in scale, being a special alignment of Earth, Sun and Moon. It’s likewise planetary in scope, in the sense that there’s no place on Earth not subject to the tidal force of the perigee-syzygy.”

...the March Worm Moon will appear to be about 30% brighter and about 15% larger than a “normal” full Moon.


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## sails (20 March 2011)

Thanks for posting, Logique...

And this from the National Geographic on earthquakes:



> "The same force that raises the 'tides' in the ocean also raises tides in the [Earth's]crust," said Geoff Chester, an astronomer and public affairs officer with the U.S. Naval Observatory in Washington, D.C.




http://news.nationalgeographic.com/news/2005/05/0523_050523_moonquake.html

However, I would image that our climate "know-it-alls" who are marketing carbon tax will actively dispute it as they would probably want the dumb public to think that these recent earthquakes are the result of man made climate change...


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