TY - JOUR T1 - Testing the Simple Moving Average across Commodities, Global Stock Indices, and Currencies JF - The Journal of Wealth Management SP - 82 LP - 100 DO - 10.3905/jwm.2012.15.1.082 VL - 15 IS - 1 AU - Thomas Kilgallen Y1 - 2012/04/30 UR - https://pm-research.com/content/15/1/82.abstract N2 - 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 ER -