Simple Moving Averages vs. Exponential Moving Averages

/Simple Moving Averages vs. Exponential Moving Averages

Simple Moving Averages vs. Exponential Moving Averages

By | 2017-08-18T16:56:54+00:00 June 9th, 2013|Tactical Asset Allocation Research|4 Comments
Print Friendly, PDF & Email
(Last Updated On: August 18, 2017)

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 Average

SMA vs. EMA

[Click to enlarge] The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

Source: 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.

About the Author:

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.