Simple Moving Average Analysis

There is money to be made using the Simple Moving Average strategy.  Caveat: picking the right stock or etf is the most important element in the strategy - YOU CAN LOSE MONEY.  For more information on this strategy see Investopedia's Discussion on Simple Moving Average.

I wrote a back testing program.  This program uses a user defined time frame and list of stocks/etfs. First to give an average for all in the list; second to give the top ten performers of the list and finally, the bottom ten performers.  The program runs over a predefined range of moving average periods.  I can also supply a starting investment and configure a trading fee.  After analyzing all of the data the report kicks out a buy and hold average for all and the best performing moving average periods for all of the symbols.

Using the last big downturn in the market 10/29/2007 through 03/02/2009; the current list of stocks from the S&P100; a range of periods from 2 through 30; starting with $10,000; and assuming $10 trading fee here below are the results.  As you can see you would lose money on average but there are certain stocks that did very well during the downturn - though the JPM symbol has me somewhat confused.

Buy and Hold - Average: 5230.06

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 Top Ten - Average
until events iter:30, 7217.77
until events iter:13, 7120.47
until events iter:29, 7107.75
until events iter:14, 7103.32
until events iter:12, 7058.08
until events iter:16, 7028.51
until events iter:8, 6978.13
until events iter:20, 6947.63
until events iter:22, 6909.58
until events iter:17, 6908.33

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 Bottom Ten - Average
until events iter:4, 6034.7
until events iter:2, 6077.79
until events iter:3, 6213.01
until events iter:5, 6505.24
until events iter:11, 6554.81
until events iter:7, 6594.15
until events iter:23, 6666.38
until events iter:9, 6702.23
until events iter:6, 6715.95
until events iter:25, 6717.97

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 Top Ten - Individual
s, until events iter:16, 18926.02
jpm, until events iter:12, 18048.24
jpm, until events iter:13, 16912.2
oxy, until events iter:8, 16848.1
oxy, until events iter:9, 16553.08
jpm, until events iter:8, 15985.33
s, until events iter:9, 15226.12
ms, until events iter:3, 15225.69
amzn, until events iter:30, 15030.04
s, until events iter:14, 14743.57

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 Bottom Ten - Individual
c, until events iter:29, 540.23
c, until events iter:12, 682.8
c, until events iter:30, 706.75
c, until events iter:11, 839.31
c, until events iter:20, 950.66
bac, until events iter:22, 1259.78
c, until events iter:10, 1422.35
c, until events iter:9, 1450.55
c, until events iter:15, 1521.51
axp, until events iter:29, 1543.37