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Testing the Simple Moving Average across Commodities, Global Stock Indices, and Currencies

Thomas Kilgallen
The Journal of Wealth Management Summer 2012, 15 (1) 82-100; DOI: https://doi.org/10.3905/jwm.2012.15.1.082
Thomas Kilgallen
is a principal at Fair Weather Strategies LLC in Andover, MA.
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  • For correspondence: tom@fairweatherinvesting.com
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Abstract

This article examines the risk-adjusted returns from a commonly used technical trading strategy. The author back tests a “simple moving average strategy” over a period of several decades on various commodities, currencies, and country stock indices. The results show that applying this strategy has provided before-tax returns comparable to, or better than, a buy-and-hold strategy, but with much less downside volatility. In addition, the article shows the strategy to be to be compatible with the concept of diversification: It lowers volatility significantly when applied to portfolios composed of multiple securities combined.

TOPICS: Technical analysis, commodities, currency, global

  • © 2012 Pageant Media Ltd
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The Journal of Wealth Management: 15 (1)
The Journal of Wealth Management
Vol. 15, Issue 1
Summer 2012
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Testing the Simple Moving Average across Commodities, Global Stock Indices, and Currencies
Thomas Kilgallen
The Journal of Wealth Management Apr 2012, 15 (1) 82-100; DOI: 10.3905/jwm.2012.15.1.082

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Testing the Simple Moving Average across Commodities, Global Stock Indices, and Currencies
Thomas Kilgallen
The Journal of Wealth Management Apr 2012, 15 (1) 82-100; DOI: 10.3905/jwm.2012.15.1.082
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  • Article
    • Abstract
    • CHALLENGING THE EFFICIENT MARKETS HYPOTHESIS
    • DATA SELECTION
    • METHODOLOGY
    • RESULTS SNAPSHOT
    • TAX AND TRADING CONCERNS
    • SUMMARY DISCUSSION
    • CONCLUSION
    • APPENDIX A1
    • APPENDIX A2
    • APPENDIX A3
    • APPENDIX B1
    • APPENDIX B2
    • APPENDIX B3
    • APPENDIX C1
    • APPENDIX C2
    • APPENDIX C3
    • ENDNOTES
    • REFERENCES
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