@Vishal: Yes, that's where I borrowed the term from :).
What I find surprising is that solid returns are achieved only way after we can calculate the MA's (although it starts trading before that which could be considered to be a bug).
However, looking more closely it seems as if periods during which the returns are not really increasing are not only in the beginning but are reoccurring (e.g. 2002-2005, 2006-2008, 2010-2012). Wonder which market conditions are most beneficial to the DMA strategy. I think I remember to have read that it mostly works during bull markets and might be some correlation here that when the benchmark goes up quickly the DMA increases returns (of course I don't know how correlated my portfolio is with the benchmark).
Other ideas what might cause this or how to test this hypothesis?
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