Yufeng Han, Ting Hu, Jian Yang
Journal of Banking & Finance,Vol. 70, Pages: 214-234.
We provide evidence that a simple moving average timing strategy, when applied to portfolios of commodity futures, can generate superior performance to the buy-and-hold strategy. The outperformance is very robust. It can survive the transaction costs in the futures markets, it is not concentrated in a particular subperiod, and is robust to short-sale constraints, alternative specifications of the moving average lag length, alternative construction of the continuous time-series of futures prices, and impact from data mining. …