Professor of Finance, University of Agder

Valeriy Zakamulin

Author of Market Timing with Moving Averages (2017) and a series of papers testing moving-average rules on up to 155 years of U.S. stock data, with trading costs and out-of-sample methods designed to avoid data-mining.

What they argue

Found no statistically significant outperformance from timing rules in the second half of his long sample.
Timing rules generate many false signals in both bull and bear markets, but tend to beat the market in bear states.
Most of their edge comes from a handful of severe bear markets, so investors can lag buy-and-hold for years.

Sources

A Comprehensive Look at the Empirical Performance of Moving Average Trading Strategies (SSRN)Swedroe: Beware the lure of market timing (ETF.com)

Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.

Books and papers

Market Timing with Moving Averages (2017)

The full reading list

The skeptic's scoreboard

How often each play beat simply holding the stock, over the same dates, after costs. Click a column to sort.Sort with the menu above the list.

Play	Family	Beat on return	Beat on Sharpe	Cut drawdown
PB EMABitcoin Playboy	Trend following	52 of 375	52 of 375	267 of 375
Bull Market Support BandBenjamin Cowen	Trend following	75 of 374	88 of 374	305 of 374
Ripster EMA CloudRipster	Trend following	61 of 375	72 of 375	290 of 375
Trend TemplateMark Minervini	Trend following	54 of 374	58 of 374	347 of 374
Stage AnalysisStan Weinstein	Trend following	74 of 375	106 of 375	334 of 375
Stage 2 + Mansfield RSStan Weinstein	Trend following	64 of 374	85 of 374	335 of 374
10-Month SMAMeb Faber	Trend following	93 of 375	122 of 375	316 of 375
200-Day RulePaul Tudor Jones	Trend following	80 of 375	103 of 375	311 of 375
Golden CrossMarket tradition	Trend following	95 of 375	104 of 375	303 of 375
Granville 200-DayJoseph E. Granville	Trend following	73 of 374	108 of 374	325 of 374
Hull Moving AverageAlan Hull	Trend following	73 of 375	76 of 375	320 of 375
Kaufman Adaptive MAPerry J. Kaufman	Trend following	45 of 375	42 of 375	246 of 375
TEMA CrossoverPatrick G. Mulloy	Trend following	60 of 375	63 of 375	312 of 375
Seykota 15/150Ed Seykota	Trend following	72 of 371	89 of 371	290 of 371
Guppy Multiple MAsDaryl Guppy	Trend following	60 of 375	76 of 375	325 of 375
Ichimoku CloudGoichi Hosoda	Trend following	72 of 375	94 of 375	323 of 375
SupertrendOlivier Seban	Trend following	63 of 375	62 of 375	307 of 375
Williams AlligatorBill Williams	Trend following	66 of 375	63 of 375	329 of 375
Vortex IndicatorEtienne Botes & Douglas Siepman	Trend following	61 of 375	62 of 375	295 of 375
AroonTushar S. Chande	Trend following	83 of 375	95 of 375	311 of 375
Parabolic SARJ. Welles Wilder Jr.	Trend following	55 of 375	51 of 375	299 of 375
ADX TrendJ. Welles Wilder Jr.	Trend following	48 of 375	46 of 375	350 of 375
MACD Zero LineGerald Appel	Trend following	71 of 375	92 of 375	313 of 375
Zweig 4% ModelMartin Zweig	Trend following	56 of 375	52 of 375	307 of 375
MAMA/FAMA CrossJohn F. Ehlers	Trend following	70 of 375	81 of 375	315 of 375
Schaff Trend CycleDoug Schaff	Trend following	52 of 375	49 of 375	309 of 375
Zero Lag EC CrossJohn F. Ehlers & Ric Way	Trend following	72 of 375	84 of 375	309 of 375
DP Trend ModelCarl Swenlin & Erin Swenlin	Trend following	74 of 375	88 of 375	317 of 375
Elder Triple ScreenAlexander Elder	Trend following	38 of 375	35 of 375	347 of 375
Holy GrailLinda Bradford Raschke & Larry Connors	Trend following	37 of 375	18 of 375	375 of 375
Four-Week RuleRichard Donchian	Breakouts & channels	70 of 375	74 of 375	318 of 375
Turtle System 1Richard Dennis & William Eckhardt	Breakouts & channels	48 of 375	60 of 375	347 of 375
Turtle System 2Richard Dennis & William Eckhardt	Breakouts & channels	54 of 375	63 of 375	351 of 375
Clenow TrendAndreas F. Clenow	Breakouts & channels	50 of 375	63 of 375	354 of 375
Darvas BoxNicolas Darvas	Breakouts & channels	42 of 375	44 of 375	336 of 375
Keltner ChannelChester W. Keltner & Linda Bradford Raschke	Breakouts & channels	43 of 375	44 of 375	344 of 375
Bollinger BreakoutJohn Bollinger	Breakouts & channels	46 of 375	54 of 375	330 of 375
Chandelier ExitChuck LeBeau	Breakouts & channels	62 of 375	73 of 375	312 of 375
Wilder Volatility SystemJ. Welles Wilder Jr.	Breakouts & channels	58 of 375	62 of 375	304 of 375
P&F Double TopA.W. Cohen & Thomas J. Dorsey	Breakouts & channels	74 of 375	87 of 375	307 of 375
Chande Kroll StopTushar S. Chande & Stanley Kroll	Breakouts & channels	57 of 375	62 of 375	294 of 375
Acceleration BandsPrice Headley	Breakouts & channels	29 of 375	21 of 375	362 of 375
TTM SqueezeJohn F. Carter	Breakouts & channels	44 of 375	37 of 375	371 of 375
NR7 BreakoutToby Crabel	Breakouts & channels	53 of 375	52 of 375	268 of 375
Bollinger SqueezeJohn Bollinger	Breakouts & channels	34 of 375	26 of 375	375 of 375
12-Month MomentumMoskowitz, Ooi & Pedersen	Momentum	99 of 373	123 of 373	311 of 373
12-1 MomentumNarasimhan Jegadeesh & Sheridan Titman	Momentum	92 of 373	122 of 373	299 of 373
Dual MomentumGary Antonacci	Momentum	80 of 373	100 of 373	324 of 373
Stocks on the MoveAndreas F. Clenow	Momentum	50 of 375	65 of 375	346 of 375
52-Week HighThomas J. George & Chuan-Yang Hwang	Momentum	61 of 374	71 of 374	332 of 374
Levy Relative StrengthRobert A. Levy	Momentum	68 of 375	83 of 375	333 of 375
MACD Signal CrossGerald Appel	Momentum	50 of 375	56 of 375	295 of 375
Elder ImpulseAlexander Elder	Momentum	49 of 375	47 of 375	253 of 375
Know Sure ThingMartin J. Pring	Momentum	53 of 375	54 of 375	303 of 375
Coppock CurveEdwin S. C. Coppock	Momentum	137 of 367	155 of 367	295 of 367
CCI +100Donald R. Lambert	Momentum	44 of 375	44 of 375	311 of 375
TRIX Signal CrossJack K. Hutson	Momentum	58 of 375	59 of 375	309 of 375
TSI Zero LineWilliam Blau	Momentum	68 of 375	86 of 375	309 of 375
13612W MomentumWouter J. Keller & Jan Willem Keuning	Momentum	100 of 373	128 of 373	317 of 373
Market-State MomentumMichael J. Cooper, Roberto C. Gutierrez Jr. & Allaudeen Hameed	Momentum	82 of 363	89 of 363	289 of 363
Frog in the PanZhi Da, Umit G. Gurun & Mitch Warachka	Momentum	78 of 373	86 of 373	315 of 373
PMO Signal CrossCarl Swenlin	Momentum	54 of 375	65 of 375	300 of 375
RSI 30/70J. Welles Wilder Jr.	Mean reversion	39 of 375	39 of 375	353 of 375
RSI(2) PullbackLarry Connors & Cesar Alvarez	Mean reversion	46 of 375	55 of 375	368 of 375
Double 7sLarry Connors & Cesar Alvarez	Mean reversion	59 of 375	87 of 375	352 of 375
Bollinger ReversionJohn Bollinger	Mean reversion	62 of 375	57 of 375	360 of 375
Stochastic 20/80George C. Lane	Mean reversion	47 of 375	60 of 375	339 of 375
Williams %RLarry Williams	Mean reversion	45 of 375	46 of 375	319 of 375
DeMark 9-CountTom DeMark	Mean reversion	50 of 375	65 of 375	351 of 375
Mayer MultipleTrace Mayer	Mean reversion	50 of 375	48 of 375	28 of 375
ConnorsRSI PullbackLarry Connors & Cesar Alvarez & Matt Radtke	Mean reversion	35 of 375	41 of 375	375 of 375
Laguerre RSIJohn F. Ehlers	Mean reversion	39 of 375	43 of 375	304 of 375
StochRSI 20/80Tushar S. Chande & Stanley Kroll	Mean reversion	38 of 375	38 of 375	308 of 375
IBS ReversionAlexander S. Pagonidis	Mean reversion	71 of 375	99 of 375	345 of 375
Connors %bLarry Connors & Cesar Alvarez	Mean reversion	44 of 375	67 of 375	365 of 375
Fisher TransformJohn F. Ehlers	Mean reversion	66 of 375	67 of 375	275 of 375
1-Month ReversalNarasimhan Jegadeesh & Bruce N. Lehmann	Mean reversion	57 of 375	79 of 375	348 of 375
On-Balance VolumeJoseph E. Granville	Volume & money flow	62 of 375	59 of 375	272 of 375
Chaikin Money FlowMarc Chaikin	Volume & money flow	55 of 375	51 of 375	297 of 375
Money Flow IndexGene Quong & Avrum Soudack	Volume & money flow	50 of 375	52 of 375	353 of 375
Negative Volume IndexNorman Fosback & Paul Dysart	Volume & money flow	55 of 374	63 of 374	291 of 374
Force IndexAlexander Elder	Volume & money flow	52 of 375	52 of 375	264 of 375
Buff AveragesBuff Dormeier	Volume & money flow	56 of 375	56 of 375	299 of 375
Chaikin OscillatorMarc Chaikin	Volume & money flow	28 of 375	22 of 375	233 of 375
Volume Flow IndicatorMarkos Katsanos	Volume & money flow	72 of 373	78 of 373	302 of 373
Klinger OscillatorStephen J. Klinger	Volume & money flow	47 of 375	36 of 375	274 of 375
Engulfing SwitchSteve Nison & Thomas N. Bulkowski	Candles & chart patterns	41 of 375	44 of 375	326 of 375
HikkakeDaniel L. Chesler	Candles & chart patterns	57 of 375	67 of 375	348 of 375
Turtle Soup Plus OneLinda Bradford Raschke & Larry Connors	Candles & chart patterns	36 of 375	25 of 375	375 of 375
Halloween IndicatorSven Bouman & Ben Jacobsen & Yale Hirsch & Jeffrey Hirsch	Calendar	102 of 375	124 of 375	333 of 375
Best Six + MACDYale Hirsch & Jeffrey Hirsch	Calendar	95 of 375	98 of 375	329 of 375
Seasonal TimingSy Harding	Calendar	88 of 375	95 of 375	328 of 375
Santa Claus RallyYale Hirsch & Jeffrey Hirsch	Calendar	46 of 375	107 of 375	375 of 375
Turn of the MonthJosef Lakonishok & Seymour Smidt & Robert A. Ariel	Calendar	61 of 375	62 of 375	368 of 375
Presidential Sweet SpotYale Hirsch & Jeffrey Hirsch	Calendar	39 of 375	52 of 375	373 of 375
Pre-HolidayRobert A. Ariel & Josef Lakonishok & Seymour Smidt	Calendar	39 of 375	92 of 375	375 of 375
January BarometerYale Hirsch & Jeffrey Hirsch	Calendar	48 of 375	61 of 375	322 of 375
Weekend EffectKenneth French & Josef Lakonishok & Seymour Smidt	Calendar	59 of 375	61 of 375	255 of 375
Pre-FOMC DriftDavid Lucca & Emanuel Moench	Calendar	40 of 375	43 of 375	375 of 375
Lunar CycleKathy Yuan, Lu Zheng & Qiaoqiao Zhu	Calendar	42 of 375	35 of 375	329 of 375

A play that cuts drawdowns but loses on return is doing what Zakamulin's research predicts: paying for crash protection with years of lag.