Time series momentum and moving average trading rules
比较时间序列动量与移动平均交易规则，发现移动平均规则信号更早、收益更高，两种规则在大盘股外表现最佳，解释了其受投资者欢迎但学术证据不足的谜题。
We compare and contrast time series momentum (TSMOM) and moving average (MA) trading rules so as to better understand the sources of their profitability. These rules are closely related; however, there are important differences. TSMOM signals occur at points that coincide with a MA direction change, whereas MA buy (sell) signals only require price to move above (below) a MA. Our empirical results show MA rules frequently give earlier signals leading to meaningful return gains. Both rules perform best outside of large stock series which may explain the puzzle of their popularity with investors, yet lack of supportive evidence in academic studies.