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Originally Posted by Halebop
Cheers DS, not a huge sample but impressive results all the same. I'm assuming on something like a 31 SMA the average hold time would have been relatively compact for your 48%?
Yeah, as I said, indicative. It's just some data I had on hand that I'd been playing with. I've locked at a couple of stocks, and they give interesting results for using the crossing points of two different MAs.
Here's a spreadsheet of what I'd been doing using a 29 SMA/Price cross: http://dl.dropbox.com/u/44057876/NZX50.xlsx. It clearly shows the triggers and the problems (e.g. 26 trades were only held for 1 day). Average holding period was 15 days, but if you remove everything 1-day trade, then average holding period goes up 25, pre-brokerage profits go up to 97.7% and of course brokerage costs go down as well.
NB: all % gains are non-cummulative (non-compounding).
And yes, this is back-testing and data-fitting. Just making the point that MAs can be a useful (and simple) tool
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