Astrological Machine Learning for Astronomical Profits

Discussion in 'Strategy Building' started by ph1l, Jul 21, 2019.

  1. ph1l

    ph1l

    Inspired by https://www.elitetrader.com/et/threads/200-points-fall-is-coming-up-in-gold.334310/ and related threads, I decided to try using my genetic programming rule generator with astronomical data as inputs to predict future changes in the S&P 500.

    The inputs are for readings taken from a specific point on Earth, taken at the same time each trading day (20:00:00 UTC), and for the past 0 through 126 trading days ago:
    • MoonPhase has the percent of the Moons' phase where 0 is for a new moon, 50 is for a full moon, up to slightly less than 100 for just before the next new moon.
    • MoonIllum has the percent of the Moon that is lit (0 for new moon ... 100 for full moon).
    • MoonAzimuth has the percent of the azimuth of the Moon's position where 0 is north, 50 is south, up to slightly less than 100 for just before north.
    • MoonElevation has the percent of the Moon's maximum elevation from the horizon (-100 through 100)
    • MoonRange has the approximate percent of the maximum - minimum distance from Earth to the Moon (0 through 100).
    • SunAzimuth has the percent of the azimuth of the Sun's position where 0 is north, 50 is south, up to slightly less than 100 for just before north.
    • SunElevation has the percent of the Sun's maximum elevation from the horizon (-100 through 100)
    • SunRange has the approximate percent of the maximum - minimum distance from Earth to the Sun (0 through 100).

    The software tries to predict when the log (next_trading_day_close_S&P_500_value / half_cycle_length_future_trading_days_close_S&P_500_value) * 100 is in the top third of these values in the history period.
    The cycle length is calculated based on an Autocorrelation Periodogram from John Ehlers' "Cycle Analytics For Traders"

    Here is an example of a rule:
    upload_2019-7-21_18-8-48.png

    When the rule returns 1, a long trade would be entered at the close of the next trading day and exited at the close N trading days from the entry day where N == cycle_length/2. When the rule returns NAN (not a number), no trade would be entered. The maximum cycle_length/2 is 24 trading days.
    The history period had inputs and simulated results for 1963-12-30 through 2019-06-13 (trades, if any would be entered the next trading day after these dates).
    For this rule, the history period has 13,960 trading days, 1,465 signals to enter trades and 865 winning trades where a win means the return was greater than 1.6560 percent.
    The mean return for all simulated trades was 100 * exp(1.82889 / 100) - 100 == 1.8457 percent.
    This was significantly better than the mean result for the history period == 0.3152 percent.

    WARNING: If you are easily offended by low-class humor, stop reading this post now.


    Since this has relationships of celestial bodies and their illumination, I will lighten this up with a disclaimer.
    The risk of loss ... No, not that type of disclaimer.

    The strategy will go flaccid if the Moon prematurely ejects from Earth orbit, grazes Jupiter's G spot, and penetrates Uranus.:D
     
    Sprout, userque, coplii and 10 others like this.
  2. tommcginnis

    tommcginnis

    I think this is #6 on my Top Posts of 2019.
    That's some pretty good company.
    Wish *I* had written it.
    Thank you for a fine read. :fistbump::thumbsup::D
     
    Last edited: Jul 21, 2019
  3. Overnight

    Overnight

    That is some classically funny posting right there. But there is something missing...
     
    tommcginnis likes this.
  4. CME Group should adapt his expiry contracts days with the moon phases reset, and make planet markets.

    PD: If you are Cancer don't trade with health sector stocks.
     
    rohan2008 and tommcginnis like this.
  5. fan27

    fan27

    You do realize you could probably launch a hedge fund based on this research! Nice work!! ;)
     
    tommcginnis and d08 like this.
  6. Overnight

    Overnight

    My "something missing" was an old Letterman Top Ten list about the moon scraping the earth. It would have been funny, but humor that good has been scrubbed from the Internet because of NBC lawyers and copyright whores.
     
  7. It is this boundary condition that prevents me from running this fine system with real money. Too risky. :)
     
    tommcginnis likes this.
  8. MKTrader

    MKTrader

  9. ph1l

    ph1l

    Thanks. I'd name the hedge fund something like Fractal Recurrent Assets Underlying Dynamic Systems:)

    What you have done with your FasterQuant software is most impressive, and I think its only a matter of time before some institutional investors use it.
     
    fan27 likes this.
  10. ph1l

    ph1l

    #10     Jul 22, 2019
    MKTrader likes this.