In this research we have investigated the returns to technical analysis and buy and hold strategy on the Tehran Stock Exchange. We have assessed whether one simple form of technical analysis named by Dual Simple Moving Average (DSMA) can predict stock price movements. To that end, we have used daily data for prices of the 31 firms of the Tehran Stock Exchange, covering the six-year period from 21 March 1999 to 20 March 2005. Also we have divided relative period to two subperiods including three years and six years periods. Our findings indicate that In the three and six years periods, returns means that is obtained from studying DSMA both with and without considering transactions costs are equal to those achieved from the buy and hold strategy. Moreover, our results show that transactions costs reduces strongly returns mean that is obtained from studying Dual Simple Moving Average.