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Optimal SMA Calculation Interval for Long-term Crossing Signals?

Posted in Technical Trading

Is a 10-month simple moving average (SMA10) the best SMA for long-term crossing signals? If not, is there some other optimal SMA calculation interval? To check, we compare performance statistics for SMA crossing signals generated by calculation intervals ranging from 2 trailing months (SMA2) to 48 trailing 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 1950 through June 2019, we find that:

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