Abstract
This research evaluates the effectiveness of a trading strategy based on the Simple Moving Average (SMA) across 30 stocks in the VN30 index. Using weekly closing prices and simulating 209 SMA windows ranging from 2 to 210, the strategy executes buy signals when the price is above the SMA and sell signals when the price is below it. The results show that an equally weighted portfolio achieves the highest returns with short-window SMAs, while performance at the individual-stock level is driven primarily by price dynamics rather than market capitalization. Several stocks – such as FPT, PDR, and HPG – exhibit a high frequency of extreme positive returns. The most common return levels of the strategy show no relationship with firm size. Overall, the findings confirm that the optimal SMA window is stock-specific and cannot be uniformly applied across the VN30 basket.
Keywords: Simple Moving Average (SMA), Trading strategy, VN30, Net return, Quantitative analysis.
JEL classification: G11, G14, C58, G17.
DOI: 10.63767/TCKT.38.2026.2.12
Để đọc toàn văn vui lòng nhấn vào xem chi tiết.
Ban biên tập Tạp chí Kinh tế & Quản trị Kinh doanh
Phòng 514, Nhà điều hành, trường Đại học Kinh tế & Quản trị Kinh doanh
Địa chỉ: Phường Tân Thịnh, thành phố Thái Nguyên
Email: tapchikt-qtkd@tueba.edu.vn; Điện thoại: 0208.3903373
