Is There a Best SMA Calculation Interval for Long-term Crossing Signals?

Is a 10-month simple moving average (SMA) the best SMA for long-term crossing signals (to exploit return momentum by capturing part of long uptrends while avoiding part of long downtrends)? If not, is there some other optimum SMA calculation interval? To check, we compare the average monthly returns and return variabilities from SMA crossing signals generated by SMA calculation intervals ranging from 3 to 48 trailing months, as applied to the Dow Jones Industrial Average (DJIA). Using monthly DJIA closes for January 1930 through August 2010 and monthly yields for 3-month Treasury bills (T-bills) for January 1934 through October 2011, we find that: (more…)