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The Ultimate Moving Average Handbook: Bringing Science into the Art of Trend Following
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The Ultimate Moving Average Handbook: Bringing Science into the Art of Trend Following

Alpha Architect·Wesley Gray, PhD·about 1 month ago
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Book Motivation My friend, Valeriy, has produced some excellent trend following research articles over the years (much of which is on this blog!). Of course, trend-following isn’t new. Traders have been chasing trends for centuries, and moving averages are the workhorse tool behind it all. The basic idea is simple: markets are noisy, so smooth the data and try to extract the signal. Sounds straightforward—until you realize there are hundreds of ways to do it. (we have an entire category of articles dedicated to this!) Over time, we’ve seen an explosion of moving averages and trading rules. Each one claims to be faster, smoother, or somehow “better.” You’ll hear terms like zero-lag , super-smooth , or DSP-based thrown around as if they’re breakthroughs. But here’s the problem: most of those claims don’t hold up under scrutiny. The evidence is usually anecdotal. Maybe a nice-looking chart. Maybe a backtest with favorable assumptions (they always look good, right?).…

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