You are a proponent of MA trend following, just like the turtles, certainly worthy of being a turtle. I should buy GE when it was at $6.66,(not a prediction,), instead of when it was $15.
Certainly not perfectly Gaussian, as all financial distribution have some amount of skew and kurtosis. However, it's random enough that this simple MA crossover scheme will not produce a positive expectancy system. Also, R/S analysis has shown time and again that daily data is very nearly random (Hurst exponent of close to 0.5). Not until you get to monthly or yearly data do you see memory effects showing up. The problem is, nobody that we know of has figured out how to monetize these long term memory effects.
A question and a comment: 1. What is Hurst exponent and what does it mean if it is 0.5? Never mind, I ask Dr. Google and he gave me the answer. 2. How to monetize long term memory? I think that is why buy and hold works long term.
%% Speaking of trends GE is down again.Larry Williams said there is no bear in DOW, due to full employment report. We'll see ; looks like QQQ is uptrending again.[Edit note Stock Traders Almanac is more bearish for DOW than SPY or NasdaQQQ, JAN. NOT a prediction]