let us talk about the moon ...

Discussion in 'Trading' started by man, May 5, 2003.

  1. man

    man

    harry
    I do not intend to formalise the whole thing too much. I would start the thing like that:

    control group
    all daily data points of the sp future since 1984

    daily Gain
    ln(Cto/Oto)

    daily range
    ln(Hto/Lto)


    now I do the same thing for each day of the moonphase. I will have about 175 datapoints for each of these days. I want to use the ttest to determine at which degree the amount of the finding is random. readings below 0.05 I would regard highly valid.

    nevertheless, first I have to get that data.


    peace
     
    #21     May 6, 2003
  2. man

    man

    #22     May 6, 2003
  3. opm8

    opm8

    #23     May 6, 2003
  4. Ask any ambulance officer or casualty ward worker if their is a correlation between full moons and increases in crazy behaviour and they will always give you a resounding yes.

    Runningbear
     
    #24     May 6, 2003
  5. OK I will look at it all the same :)

     
    #25     May 6, 2003
  6. man

    man

    opm8

    great. exactly what I needed. here are the results.

    datastart 04.01.1984
    dataend 06.05.2003
    asset SP1 Comdty
    dailyGain t+1 mean 0.02%
    dailyGain t+1 median 0.04%
    range t+1 mean 1.39%
    range t+1 median 1.18%

    criteria new moon
    observations 165
    dailyGain t+1 mean 0.07%
    dailyGain t+1 median 0.07%
    range t+1 mean 1.40%
    range t+1 median 1.15%
    ttest on dailyGain 0.64


    peace
     
    #26     May 7, 2003
  7. man

    man

    datastart 04.01.1984
    dataend 06.05.2003
    asset SP1 Comdty
    dailyGain t+1 mean 0.02%
    dailyGain t+1 median 0.04%
    range t+1 mean 1.39%
    range t+1 median 1.18%

    criteria first quarter
    observations 165
    dailyGain t+1 mean 0.03%
    dailyGain t+1 median 0.10%
    range t+1 mean 1.40%
    range t+1 median 1.17%
    ttest on dailyGain 0.64
     
    #27     May 7, 2003
  8. man

    man

    datastart 04.01.1984
    dataend 06.05.2003
    asset SP1 Comdty
    dailyGain t+1 mean 0.02%
    dailyGain t+1 median 0.04%
    range t+1 mean 1.39%
    range t+1 median 1.18%

    criteria full moon
    observations 167
    dailyGain t+1 mean -0.10%
    dailyGain t+1 median -0.07%
    range t+1 mean 1.41%
    range t+1 median 1.24%
    ttest on dailyGain 0.00
     
    #28     May 7, 2003
  9. man

    man

    datastart 04.01.1984
    dataend 06.05.2003
    asset SP1 Comdty
    dailyGain t+1 mean 0.02%
    dailyGain t+1 median 0.04%
    range t+1 mean 1.39%
    range t+1 median 1.18%

    criteria last quarter
    observations 171
    dailyGain t+1 mean 0.14%
    dailyGain t+1 median 0.04%
    range t+1 mean 1.44%
    range t+1 median 1.23%
    ttest on dailyGain 0.01
     
    #29     May 7, 2003
  10. man

    man

    I find the full moon thing rather interesting. Mean and median show same tedency, ttest is quite low. Looks like one should not be too long the day after full moon.

    harry, can you confirm this?


    peace


    opm8, thanks again for the data. wouldn't have known where to find it.
     
    #30     May 7, 2003