let us talk about the moon ...

I am so much used to use data from the past, that I only did the analysis on the day a f t e r full moon. now here it is o n full moon.

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

criteria full moon
observations 167
dailyGain to mean 0.25%
dailyGain to median 0.05%
range to mean 1.41%
range to median 1.24%
ttest on dailyGain #DIV/0!

could not figure out why ttest failed.
 
now here is finally the day before full moon. quite average.

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 0.03%
dailyGain t+1 median 0.06%
range t+1 mean 1.41%
range t+1 median 1.24%
ttest on dailyGain 0.10
 
backtesting to buy the open on full moon and get out MOC:

1984 -6.1%
1985 4.1%
1986 9.4%
1987 33.6%
1988 39.9%
1989 8.5%
1990 -6.6%
1991 13.2%
1992 -2.9%
1993 5.0%
1994 9.4%
1995 6.7%
1996 17.2%
1997 17.5%
1998 -3.4%
1999 -30.5%
2000 24.6%
2001 -11.7%
2002 75.5%
2003 -8.4%

(no fees)
 
selling the open at the day after full moon and get out MOC:

1984 20.2%
1985 3.3%
1986 -20.5%
1987 13.7%
1988 7.0%
1989 -2.6%
1990 14.5%
1991 -5.8%
1992 -1.0%
1993 4.4%
1994 20.7%
1995 -5.0%
1996 8.2%
1997 17.4%
1998 -15.1%
1999 -14.9%
2000 14.1%
2001 3.3%
2002 26.9%
2003 -10.6%

(no fees)
 
combining the two:

1984 7.1%
1985 3.7%
1986 -5.6%
1987 23.6%
1988 23.4%
1989 3.0%
1990 3.9%
1991 3.7%
1992 -1.9%
1993 4.7%
1994 15.1%
1995 0.8%
1996 12.7%
1997 17.4%
1998 -9.3%
1999 -22.7%
2000 19.3%
2001 -4.2%
2002 51.2%
2003 -9.5%

(no fees)
 
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