Found this from Citi on moving averages

I generally concur with the report also. Three sentences stand out;
‹
- Even in-sample, there is very little to be gained from moving to more than one moving average ‹
- The results in the 4MA section are barely better than those in the 1MA section ‹
- This begs the question, why do users ever have more than one moving average?

http://www-stat.wharton.upenn.edu/~...um/TrendFollowing/citigrouptrendfollowing.pdf