This section tells me that the data is insufficient to draw conclusions:
> The strategy goes as follows: we purchase SPY on a new moon, and re-sell it on the next full moon. And repeat that every lunar month.
> Clearly, it fails at beating SMA crossovers. Or at doing basically anything, an investor using the moon phase strategy starting with 10.000$ would end up with only 11.110$ and a Sharpe ratio of only 0.09.
Under EMH, technical analysis doesn't work, and under technical theories there's no reason to expect a wax on / wane off strategy to do anything. Our strong assumption should be that a strategy that has you in the market 50% of the time should produce 50% of the return with 50% of the variation.
However, this arbitrary control strategy instead provided a strong return difference, somehow avoiding most periods of growth. If this backtesting period gives a false positive signal that this strategy differs from no strategy (appropriately weighted in-market investment), then the period is also likely insufficient to confirm the strength of the crossover technical strategy.
> The strategy goes as follows: we purchase SPY on a new moon, and re-sell it on the next full moon. And repeat that every lunar month.
> Clearly, it fails at beating SMA crossovers. Or at doing basically anything, an investor using the moon phase strategy starting with 10.000$ would end up with only 11.110$ and a Sharpe ratio of only 0.09.
Under EMH, technical analysis doesn't work, and under technical theories there's no reason to expect a wax on / wane off strategy to do anything. Our strong assumption should be that a strategy that has you in the market 50% of the time should produce 50% of the return with 50% of the variation.
However, this arbitrary control strategy instead provided a strong return difference, somehow avoiding most periods of growth. If this backtesting period gives a false positive signal that this strategy differs from no strategy (appropriately weighted in-market investment), then the period is also likely insufficient to confirm the strength of the crossover technical strategy.