The real-life performance of market timing with moving average and time-series momentum rules

@article{Zakamulin2014TheRP,
  title={The real-life performance of market timing with moving average and time-series momentum rules},
  author={Valeriy Zakamulin},
  journal={Journal of Asset Management},
  year={2014},
  volume={15},
  pages={261-278}
}
In this article, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial advantages over their passive counterparts. However, the ‘too good to be true’ reported performance of these market timing rules raises a legitimate concern as to whether this performance is realistic… 
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