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Mercury Retrograde Astrology Trading Strategy in Chinese Market

Academic paper

Mercury, Mood, and Mispricing: A Natural Experiment in the Chinese Stock Market

AuthorsShubo Kou; Xiyuan Ma

Institute

Tsinghua University
?Tsinghua University, PBC School of Finance, Students
SGSingapore Management University
?Singapore Management University - Lee Kong Chian School of Business

Paper linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=4593107

Strategy in a nutshell

Universe: CSI300 index (futures, ETF, or CFD). Trade based on Mercury retrograde cycles: short one week after retrograde starts, cover and go long five days after retrograde ends, hold until the next retrograde onset. Strategy uses full capital (100%) and is dynamically rebalanced.

Economic rationale

Behavioral finance explains the pattern: high retail participation in China leads to excess volatility and overtrading. Mercury retrograde correlates with increased selling and loss aversion, reflecting superstition-driven investor behavior.

Backtest performance

Annualised return22.12%

Volatility40.28%

Beta0.039

Sharpe ratio0.55

Win rate57%

Full Python code

1from AlgorithmImports import *
2import data_tools
3from pandas.tseries.offsets import BDay
4# endregion
5
6class MercuryRetrogradeAstrologyTradingStrategyinChineseMarket(QCAlgorithm):
7
8def Initialize(self):
9self.SetStartDate(2000, 1, 1)
10self.SetCash(100000)
11
12self.leverage:int = 5
13self.lag:int = 5
14self.counter:Union[None, int] = None
15self.trade_direction:Union[None, int] = None
16
17# load custom data
18self.mercury_retrograde_calendar:Symbol = self.AddData(data_tools.MercuryRetrogradeCalendar, 'mercury_retrograde_calendar', Resolution.Daily).Symbol
19self.market:Symbol = self.AddData(data_tools.QuantpediaCSI300, 'CSI_300', Resolution.Daily).Symbol
20self.Securities[self.market].SetLeverage(self.leverage)
21self.Securities[self.market].SetFeeModel(data_tools.CustomFeeModel())
22
23def OnData(self, data: Slice):
24market_last_update_date:datetime.date = data_tools.QuantpediaCSI300._last_update_date
25calendar_last_update_date:datetime.date = data_tools.MercuryRetrogradeCalendar._last_update_date
26
27# check if data is still coming
28if self.Securities[self.market].GetLastData() and self.Time.date() >= market_last_update_date \
29    or self.Securities[self.mercury_retrograde_calendar].GetLastData() and self.Time.date() >= calendar_last_update_date:
30    self.Liquidate()
31    return
32
33if self.counter is not None:
34    if self.market in data and data[self.market]:
35        self.counter += 1
36        if self.counter == self.lag:
37            self.SetHoldings(self.market, self.trade_direction)
38            self.trade_direction = None
39
40if self.mercury_retrograde_calendar in data and data[self.mercury_retrograde_calendar] and self.Securities[self.market].GetLastData():
41    if self.trade_direction is None:
42        self.trade_direction = -1 if data[self.mercury_retrograde_calendar].status == 'start' else 1
43        self.counter = 0