For the following evaluation, I used SP500 daily index returns from 3/57-3/07, partitioned into decades. The signal was to be long the SP500 any days when the past five have been above the 200d moving average, and to be "cash" otherwise (without interest).

No adjustments were made for transaction costs or taxes (not that the SP500 index would have been difficult to own until the 1980s). Returns and variances were compared for MA vs. B/H (buy and hold) for the five decades. The following table summarizes results, with "ret T" being t-score for difference in daily mean returns for the strategies, F the F-statistic for difference in variance, (p) the probability associated with F:

Decade MA v B/H MA v B/H
              ret T        F (p)
97-07       -0.1      1.5(0.0)
87-97       -0.1      1.7(0.0)
77-87        0.6      1.0(0.7)
67-77        0.6      1.8(0.0)
57-67        0.8      1.7(0.0)

The mean daily returns in all periods are not significantly different. However, in 4/5 decades the variance of MA strategy was significantly lower than B/H. 





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