Saturday, September 1, 2012

Simple Moon Trading Strategy

Tom Pelc & Dmytro Bondar (The Royal Bank of Scotland, 2010)

...  we study the performance of 6 indices FTSE 100, S&P 500, DAX, EUROXX 50, Hang Seng, CAC 40 [versus the lunar cycle] for a period of several decades. 

... The proposed trading strategy can be summarized as follows: buy an index on the new moon (if this is a non-trading day, buy on the next trading day), hold till the full moon (usually 14-15 days), sell the index on the full moon (similarly, if non-trading day, sell on the next trading day), repeat the investment of the overall amount on the next moon cycle (usually in 14-16 days).

... Having invested £1,000 in S&P 500 in 1928, by now would outcome in holding £63,864 worth portfolio, while by implementing the proposed moon trading strategy, the value of portfolio would have been £1,502,689.