Optimal SMA Lookback Interval?

Is a 10-month simple moving average (SMA10) the best SMA for long-term crossing signals? If not, is there some other optimal SMA lookback interval? To check, we compare performance statistics for SMA crossing signals generated by lookback intervals ranging from 2 (SMA2) to 48 months (SMA48), as applied to the S&P 500 Index. Using monthly S&P 500 Index closes, monthly S&P 500 Composite Index dividend data from Robert Shiller and monthly average yields for 3-month Treasury bills (T-bills) during January 1928 (except January 1934 for T-bills) through June 2020, we find that: (more…)