We’ve seen a few cool posts comparing different moving average rules.
Here is a recent example from Systemtradersuccess.com: http://systemtradersuccess.com/golden-cross-which-is-the-best/
Below are the results of different moving average trading rules on the S&P 500.
SMA=Simple Moving Average
EMA=Exponential Moving AverageSource: Empiritrage, LLC
EMA performs a bit better on a CAGR basis, but comes with higher MAXDD.
Overall, very similar.
Should we keep it simple stupid–or do you think fancier moving average rules are warranted?
- The views and opinions expressed herein are those of the author and do not necessarily reflect the views of Alpha Architect, its affiliates or its employees. Our full disclosures are available here. Definitions of common statistics used in our analysis are available here (towards the bottom).
- Join thousands of other readers and subscribe to our blog.
- This site provides NO information on our value ETFs or our momentum ETFs. Please refer to this site.