Moving average strategies have produced significant returns for the PIGS economies from 2003 to 2014, according to new research.
Academics at the Hellenic Open and Athens universities tested the main stock indices for the PIGS economics: Portugal (PSI-20), Italy (FTSE Mib), Greece (General Index), and Spain (Ibex35) for the period 2003-2014. They compared a buy and hold strategy with a variety of moving average crossover strategies in trading these indices over the 10-year period. The moving average strategies used were a buy/sell crossover of the 1-day MA by the 9, 15, 30, 60, 90 and 120 day MA.
The results show a significant outperformance in annual returns (net of fees) of the moving average strategies compared to buy and hold:
Greece: -4.66% (B&H), +121& (MA)
Portugal: -0.97% (B&H), +14% (MA)
Italy: -2.05% (B&H), +2.35% (MA)
Spain: +2.44% (B&H), +4.58% (MA)