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About every couple of years I try to convince folks that
they
should pay attention to the Moon phases if they are
trading
the stock indices on a short term swing
basis.
That time is here again. I was working on a simple
swing
trading system where you could specify the length of the
cycle
for trading and a shift of some number of bars to align
the cycle
for optimum performance. In doing this I made a
provision
that if you specified a cycle length of zero then the
indicator/
strategy would use the moon period as cycle length and
still
be able to shift the cycle for optimum
performance.
The attached pictures show the results of the
study.
Junk9.gif shows the time series of the SP (pit
session) and
the Sharpe ratio and return on investment. Also
shown is a
plot of the cycle as traded and the moon cycle
exactly.
Remember, both cycles are dependent of calendar days so
they are a bit funky since the price data does not
include
weekends.
Junk.gif is a chart of the profit as a function of
bars shifted
of the cycle. It should be clear the trading the
cycle can be
profitable of very painful depending on whether you are
on
the right phase or not.
Junk10.gif is a tabulation of best and worst case
conditions
of where trading takes place in the moon
cycle.
You must remember that this study did not in any way
consider
the direction of the overall trend in the market and/or
the
application of a stoploss to limit losses when the trade
was
obviously out of phase with the market.
Clyde
- - - - - - - - - - - - - - - - - - - - - - - - - -
- -Clyde Lee
Chairman/CEO (Home of
SwingMachine)SYTECH
Corporation email: <A
href="">clydelee@xxxxxxxxxxxx 7910
Westglen, Suite 105
Office: (713) 783-9540Houston, TX
77063
Fax: (713) 783-1092Details
at:
www.theswingmachine.com- - - -
- - - - - - - - - - - - - - - - - - - - - - - -
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