月亮能预测股市？
45s以月亮与股市的关联作为悬念开头，挑战观众认知，引发好奇和讨论。
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This video explores the intriguing hypothesis that lunar phases might influence stock market returns, drawing on historical trading literature and academic research. The creator tests this idea with a simple backtest on Chinese A-share indices from 2015 to 2025, finding that a strategy of holding positions near full moons and staying out near new moons outperformed buy-and-hold. However, the video cautions against interpreting this as proof of lunar prediction, emphasizing the need for rigorous data analysis over superstition.
Chapters
[00:00]
Introduction to Lunar Trading Hypothesis
The video opens with the provocative idea that the moon might be used to study stocks, referencing trader Larry Williams' book 'Short-Term Trading Genius' which discusses lunar phases and commodity markets.
[00:12]
Larry Williams' Observations
Williams observed that price movements in commodities like silver, wheat, corn, and soybean oil often coincided with new and full moons, suggesting buying opportunities near full moons and selling signals near new moons.
[00:26]
Skepticism and Psychological Angle
The creator dismisses the idea that the moon controls the stock market as absurd, but suggests a plausible mechanism: lunar phases might affect human emotions and risk preferences, which could influence trading behavior and market outcomes.
[00:38]
Academic Research on Lunar Effects
A study published in the Journal of Empirical Finance examined 48 countries and found that returns during new moon periods were higher than during full moon periods. Domestic Chinese research also explored lunar effects in A-shares from psychological and market volatility perspectives.
[01:03]
Backtest Methodology
The creator designed a mechanical backtest using an astronomy library to calculate daily moon illumination. Full moon windows were defined as illumination >95%, and new moon windows as <5%. The test covered the Shanghai Composite, Shenzhen Component, and ChiNext indices from 2015 to 2025.
[01:28]
Backtest Results
The strategy of holding near full moons and staying out near new moons yielded: Shanghai Composite 76.86% vs 18.45% buy-and-hold; Shenzhen Component 90.18% vs 17.40%; ChiNext 254.86% vs 118.68%.
[02:14]
Caveats and Interpretation
The results do not prove lunar prediction. The creator notes that foreign studies found higher returns during new moons, opposite to the A-share results, suggesting the effect may be confounded by A-share-specific factors like monthly cash flow rhythms, sentiment cycles, or coincidental patterns.
[02:53]
Conclusion: Not a Holy Grail
The creator concludes that lunar trading is not a holy grail but a useful entry point for observing market cycles. The real value lies in recognizing that seemingly unrelated cycles may resonate with human emotions, capital flows, and risk preferences, highlighting the essence of quantitative research: testing even seemingly mystical ideas with data.
The video demonstrates that while lunar phases show statistical correlation with A-share returns in a backtest, this is not evidence of causation. The true takeaway is the importance of data-driven validation over superstition, encouraging viewers to explore market cycles with rigorous analysis.
Mentioned in this Video
Tutorial Checklist
💡 Key Takeaways
📊
Lunar Phases in Commodities
Introduces a concrete historical example of lunar-based trading, grounding the hypothesis in real practice.
00:12
📊
Academic Evidence
Cites peer-reviewed research on lunar effects across 48 countries, lending credibility to the topic.
00:38
📊
Backtest Results
Provides concrete numbers showing the strategy outperformed buy-and-hold, making the case compelling.
01:45
💡
Contradictory Findings
Highlights the discrepancy between international and A-share results, emphasizing the need for caution.
02:28
⚖️
Quantitative Research Philosophy
Articulates the core value of testing even seemingly mystical ideas with data, a key principle for investors.
02:53Full Transcript
[00:00] 你有没有想过月亮可能也被拿来研究股票 听起来很玄对吧 但这事还真不是拍脑袋想出来的 著名交易员拉瑞·威廉姆斯 在《短线交易天才》这本书里
[00:12] 就专门讲过月相和商品市场 他观察白银、小麦、玉米、豆油这些商品的时候 发现价格波动好像经常和新月满月附近重合 他在书里指出满月附近市场容易出现买入的机会
[00:26] 新月附近市场可能出现卖出的信号 这么说起来 月亮就能控制股市肯定是不对的 不然这个也太像抖音上面午夜时分的玄学直播间了 但背后的故事
[00:38] 其实应该看看月相有没有可能影响人的情绪 风险的偏好 最后通过交易行为反映到市场里 这件事情在学术界还真有人做过 比如这篇发表在General of Empirical Finance的文章
[00:51] 他们研究了48个国家的股市 发现新月期间的收益先驻高于满月期间 国内也有类似的研究 中国证据市场的月相效应研究 还有中国股票市场的月相效应检验
[01:03] 都从投资者心理市场波动角度 讨论过A股里的月相现象 所以我也做了一个很简单的A股回撤 规则非常机械 用天文库计算每天的月相
[01:15] 月相接近满月 也就是照亮比例大于95% 就视为满月窗口 月相接近新月 也就是照亮比例小于5% 就视为新月窗口 然后我测试了上证指数
[01:28] 深圳城子创业板子 时间是从2015年到2025年 不是个股 不是石盘也不加玄学的滤镜就是只入折时回扯然后采用满月附近持仓新月附近空仓的策略结果真的很有意思上证指数
[01:45] 策略收益大概76.86% 同期买入指数持有只有18.45% 深圳城址 策略收益大概90.18% 同期买入只有大约只有17.40%
[02:00] 创业版更是夸张 更是夸张,策略收益大约254.86%,同期买入只有大约只有118.68%, 但这个也不能证明说月亮能够预测股市,
[02:14] 也不能说今晚抬头看一眼月亮明天就知道该不该满仓。 他最多能说明,在这段历史样本里面, A股指数收益和月相的窗口之间确实出现过某种统计上的节奏差异,
[02:28] 而且国外有一些论文也提到过,新月收益更高, 满月收益更低, 但这个和A股的回撤结果完全相反, 反而是满月持仓, 新月空仓表现更好,
[02:40] 这也说明它未必是个单纯的月亮效益, 它可能混入了A股自己的月内的资金节奏, 情绪的周期, 流熊的结构, 甚至只是某个时间段里的巧合,
[02:53] 所以我的结论就是, 月相炒股它不是圣杯, 但它是一个很好的市场意向观察入口, 真正有价值的, 不是相信月亮会帮你赚钱 而是发现市场里有些看似无关的周期
[03:05] 可能正在和人的情绪 资金节奏 风险偏好发生共振 这才是量化研究最有趣的地方 不是为了研究玄学 而是把玄学听起来像真的东西
[03:17] 发到数据里验一遍