A moving average is essentially, by its nature, a trend-following device; therefore, it works well only in a market where a trend is clear. We consider two issues in this paper. One is whether moving average trading rules can be applied to Vietnamese stock market data to forecast stock price movements and to outperform a simple buy-and-hold strategy. The other is whether the predictability of variable moving average (VMA) trading rules is stronger in a trending market than in a non-trending one. We show that in the frontier market like Vietnamese market, technical trading rules are not only substantially profitable, but, unlike some prior studies on the emerging markets, they are also effective to generate excess returns for investors – even after taking transaction costs into account. Notably, we found arguments that explain why VMA rules perform better in a trending market than they do in a non-trending one. Key Words: Variable Moving Averages, Technical Trading Rules, Excess Returns, Transaction Costs, Trading Range Breakout.