This paper studies the cross-sectional profitability of moving average timing portfolios in the French stock market over the period from January 1,1995 to December 31,2012. The results provide strong evidence that the moving average timing outperforms the buy-and-hold strategy with higher returns and less risk exposure. On average, moving average portfolios generate an abnormal return of 3.72 percent per annum and always perform better than buy-and-hold benchmark portfolios across different lag length and volatility portfolios. Moreover, the results prevail after the authors control for transaction costs.