PT - JOURNAL ARTICLE AU - Thomas Kilgallen TI - Testing the Simple Moving Average across Commodities, Global Stock Indices, and Currencies AID - 10.3905/jwm.2012.15.1.082 DP - 2012 Apr 30 TA - The Journal of Wealth Management PG - 82--100 VI - 15 IP - 1 4099 - https://pm-research.com/content/15/1/82.short 4100 - https://pm-research.com/content/15/1/82.full AB - 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