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Lunar phase strategy revisited
Market Tech
posted May 1, 2015

Some time ago I submitted a rather silly strategy. It used the lunar phase to buy, well, mostly anything really. It was the simplest of strategies: on the close of the first (or second) day of the 7th 8th phase of the Moon -- GO LONG. Get out on the start of the 8th phase.

Seriously.

I added a simple filter using the MFI (money flow index) which helped to exclude some obvious ugly patches but for the most part this phenomena has been in place for the last 6 years. And remains so. This strategy works even better if you use hourly data (not tested here) and you wait until you've got a higher high within about 4 or 5 periods.

To date I have not figured out why this strategy works. Nor has anyone offered a logical rational. But it works. Here for your incredulous wonderment I present a 2.9 leveraged version.

If you figure out how to take those couple of nasty dips out of it... do share.

1 response
James Jack
May 1, 2015

I really love the idea but I'm not sure this has a real edge:

If you start it from the end of the market dip (April 2009) with Leverage=1 then it gets 46% of the benchmark returns, and on average it spends 41% of its time with any open position. If you just buy and hold SPY at 2.9 leverage over that period then you get max drawdown 30%, compared to 32% drawdown with the algo at 2.9 leverage. (And AAPL is always a nice pick). So I don't think this is extracting unusually good returns

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