Lunar trading paper

http://webuser.bus.umich.edu/kyuan/papers/lunar.pdf

The authors concluded some years ago that the lunar effect is real and provides a consistent edge. Any thoughts?

Encyclopaedia of Trading Strategies (Katz, McCormick, 2000) looked at lunar/solar cycles and found that on entire portfolios, lunar rhythms were not as effective as seasonal rhythms. But they didn't optimise for particular markets and thought it merited more investigation. They also looked at sunspot activity and while they did "not believe solar influences directly determine the market", they "suspect that they act as triggers for events that are predisposed to occur."

http://www.priceactionlab.com/Blog/2010/10/trading-moon-phases-and-related-folklore/

Michael Harris shows above a few examples in SPY data and he was not able to determine any strong effects, while he offers a good explanation for any anomaly and he attributes that to lunar cycle causing investors to stay out of fast falling markets 50% of the time.

As far as the paper in the OP, the numbers are so spectacular and that is too good be true.

Thank Alex, I also read the blog post by M. Harris. It is good but I am looking for a more comprehensive analysis. Does anyone have a source?

Albert Carey said:

http://webuser.bus.umich.edu/kyuan/papers/lunar.pdf

The authors concluded some years ago that the lunar effect is real and provides a consistent edge. Any thoughts?

Click to expand...

There are quite a few authors/scientists that have concluded that climate change is human induced.

And so it goes.

And there are folk out there that believe we evolved from apes,.....yep, no kidding,... LOL

Most folk will believe anything,..especially if you get em' young enough !!