If I move my money to Canada is there a penalty by the US government

No, why would there be a penalty by the US government? Or obviously your government has a keen eye on your investments and bank accounts and you are not quite as autonomous as you would like to be? It is your money, but you will have to keep an eye on the exchange rate so you benefit, even is a small way because we are at par now.

When I transfer down to US, there is no penalty to me