10-month Versus 40-week Versus 200-day SMA

Posted in Technical Trading

 

A reader proposed: “I would love to see a backtest pitting a 10-month simple moving average (SMA) against a 200-day SMA for SPY. I assume trading costs would go through the roof on the latter, but do performance gains offset additional costs?” Others asked about a 40-week SMA. Using monthly, weekly and daily dividend-adjusted closes for SPDR S&P 500 (SPY) from inception on 1/29/93 through October¬†2015, along with the contemporaneous daily¬†13-week Treasury bill (T-bill) yield, we find that: (more…)

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