Simple Moving Average (SMA) is one of the oldest and simplest measurements of trend. Arrived at by taking the average of prices over a period of time, it remains a popular tool for timing investments and risk-management. The following series of posts outlines how investors can use SMAs to get superior risk-adjusted returns.
SMA Strategies using ETFs
SMA strategies that use ETFs to create trend-following portfolios.
Reducing Drawdowns in SMA strategies
Shallower drawdowns allow a bit of leverage to be employed. This could be a good starting point for a NIFTY futures trading strategy.
Slopes vs. Cross-overs
A lagged response will result in higher drawdowns. It could, however, lead to lower transaction costs by papering over short-term mean-reverting moves.
Transaction Costs
Transaction cost analysis to backtests give investors an idea of what gross and net returns of different SMA look-backs look like over buy and hold.
Long-term Returns
Strategy outcomes depend on the underlying index and holding-periods. There is, alas, no magic formula.
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