Applying a technical analysis trading system based on the moving average crossover rule for companies listed on the Bucharest Stock Exchange does not produce significant profits, but leads to consistent excess returns and lower risk versus the benchmark buy and hold strategy for a potential investor during the 2001-2011 period. Comparing the results with the ones obtained for companies listed on two more developed markets, the United States and South Korea, a significant return surplus on the local market can be identified. The results point out that the local market is less efficient than the two foreign ones but also that the Romanian stock market is not weak form informational efficient.