Moving Average Analysis of AAPL

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From the Weekend Report 11/5/2010: The MACD Cycle is in phase one here, with AAPL 26.00 % above the 200 bar SMA, increasing the distance over the week.

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Different ways of averaging are tested on AAPL stock prices for their ability to predict trend movements. Techniques available include moving weighted or exponential averages of various periods and the family of MACD (Moving Average Convergence Divergence) indicators.

Unfortunately, some of the most popular indicators of this type can prove to be the worst forcasting indicators. The next page tests the effectiveness of these methods as predictors of future prices for AAPL.

The 200 session average is red, the 20 bar, green. The un-sophisticated moving averages plotted here are un-weighted, but they still may return better results than many of the more popular, highly tuned averages seen in some of the following sections. Commonly, speculators will use exponential averages or weighting techniques to emphasize the most recent data. But past a certain point, such front weighting can dramatically increase false signals. Norman Fosback pointed out that a legitimate signal should be one that is clearly evident through a variety of averaging methods.

Moving Average Convergence of Apple Computer

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MACD analysis would appear perfect for overtuning, since it may use any of an infinite number of averaging methods and coefficients. In addition to crossover signals from various moving averages, analysts frequently add a trigger line based on some average of the first two averages. Here we depict the results of 12 and 26 session Exponential Moving Averages. The exponential coefficient used here is .18. There is nothing magic about these parameters, but these are frequently seen.

Float the cursor for a longer term chart.

Moving Average Convergence Divergence, or MACD, produces buy or sell signal that are color tinted here.

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Moving Avg. 20/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 32 instances
Future30SesAvgClose	-1.12 % minus 1.88 % = -3.00 %	-25.40 %
Future5SesAvgClose	0.71 % minus 0.35 % = 0.36 %	18.09 %
Future2SesAvgClose	0.46 % minus 0.18 % = 0.28 %	35.02 %
Sell Signals - 32 instances
Future30SesAvgClose	-1.51 % minus 1.88 % = -3.38 %	-28.66 %
Future5SesAvgClose	0.09 % minus 0.35 % = -0.27 %	-13.48 %
Future2SesAvgClose	-0.22 % minus 0.18 % = -0.39 %	-50.16 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 174 instances
Future30SesAvgClose	1.61 % minus 1.88 % = -0.27 %	-2.25 %
Future5SesAvgClose	0.74 % minus 0.35 % = 0.39 %	19.81 %
Future2SesAvgClose	0.54 % minus 0.18 % = 0.36 %	46.32 %
Sell Signals - 174 instances
Future30SesAvgClose	2.03 % minus 1.88 % = 0.15 %	1.26 %
Future5SesAvgClose	0.29 % minus 0.35 % = -0.07 %	-3.40 %
Future2SesAvgClose	0.15 % minus 0.18 % = -0.03 %	-3.40 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 45 instances
Future30SesAvgClose	-0.88 % minus 1.88 % = -2.76 %	-23.34 %
Future5SesAvgClose	-0.71 % minus 0.35 % = -1.07 %	-54.21 %
Future2SesAvgClose	-0.57 % minus 0.18 % = -0.75 %	-95.70 %
Sell Signals - 45 instances
Future30SesAvgClose	-0.11 % minus 1.88 % = -1.99 %	-16.82 %
Future5SesAvgClose	0.17 % minus 0.35 % = -0.19 %	-9.50 %
Future2SesAvgClose	0.25 % minus 0.18 % = 0.07 %	8.95 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 591 instances
Future30SesAvgClose	1.89 % minus 1.88 % = 0.01 %	0.08 %
Future5SesAvgClose	0.21 % minus 0.35 % = -0.15 %	-7.41 %
Future2SesAvgClose	0.09 % minus 0.18 % = -0.09 %	-11.61 %
Sell Signals - 592 instances
Future30SesAvgClose	2.27 % minus 1.88 % = 0.40 %	3.35 %
Future5SesAvgClose	0.50 % minus 0.35 % = 0.14 %	7.15 %
Future2SesAvgClose	0.34 % minus 0.18 % = 0.16 %	19.91 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 838 instances
Future30SesAvgClose	2.74 % minus 1.88 % = 0.87 %	7.34 %
Future5SesAvgClose	0.67 % minus 0.35 % = 0.32 %	16.04 %
Future2SesAvgClose	0.36 % minus 0.18 % = 0.19 %	23.56 %
Sell Signals - 837 instances
Future30SesAvgClose	2.58 % minus 1.88 % = 0.70 %	5.92 %
Future5SesAvgClose	0.61 % minus 0.35 % = 0.25 %	12.89 %
Future2SesAvgClose	0.39 % minus 0.18 % = 0.21 %	26.85 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 337 instances
Future30SesAvgClose	1.82 % minus 1.88 % = -0.06 %	-0.47 %
Future5SesAvgClose	0.29 % minus 0.35 % = -0.07 %	-3.33 %
Future2SesAvgClose	0.19 % minus 0.18 % = 0.01 %	1.31 %
Sell Signals - 336 instances
Future30SesAvgClose	1.37 % minus 1.88 % = -0.51 %	-4.28 %
Future5SesAvgClose	0.15 % minus 0.35 % = -0.21 %	-10.58 %
Future2SesAvgClose	0.11 % minus 0.18 % = -0.07 %	-8.58 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 216 instances
Future30SesAvgClose	2.42 % minus 1.88 % = 0.54 %	4.58 %
Future5SesAvgClose	0.65 % minus 0.35 % = 0.30 %	15.22 %
Future2SesAvgClose	0.24 % minus 0.18 % = 0.06 %	8.22 %
Sell Signals - 216 instances
Future30SesAvgClose	1.68 % minus 1.88 % = -0.20 %	-1.67 %
Future5SesAvgClose	0.58 % minus 0.35 % = 0.23 %	11.65 %
Future2SesAvgClose	0.05 % minus 0.18 % = -0.12 %	-15.83 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 36 instances
Future30SesAvgClose	-2.10 % minus 1.88 % = -3.98 %	-33.69 %
Future5SesAvgClose	-1.35 % minus 0.35 % = -1.70 %	-86.47 %
Future2SesAvgClose	-1.05 % minus 0.18 % = -1.23 %	-155.69 %
Sell Signals - 35 instances
Future30SesAvgClose	0.01 % minus 1.88 % = -1.87 %	-15.85 %
Future5SesAvgClose	0.66 % minus 0.35 % = 0.30 %	15.28 %
Future2SesAvgClose	1.13 % minus 0.18 % = 0.95 %	120.87 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 228 instances
Future30SesAvgClose	1.47 % minus 1.88 % = -0.40 %	-3.43 %
Future5SesAvgClose	0.29 % minus 0.35 % = -0.06 %	-3.09 %
Future2SesAvgClose	0.14 % minus 0.18 % = -0.04 %	-5.00 %
Sell Signals - 176 instances
Future30SesAvgClose	2.86 % minus 1.88 % = 0.98 %	8.33 %
Future5SesAvgClose	0.54 % minus 0.35 % = 0.18 %	9.38 %
Future2SesAvgClose	0.30 % minus 0.18 % = 0.12 %	15.85 %
	.

The best buy signal for 30 future sessions was 0.87 % from the MACD 12/26 Signal,and the best sell signal for was -3.38 % from the Moving Avg. 20/200 Divergence.

For 5 future sessions the best buy signal was 0.39 % from the Moving Avg. 5/20 Divergence,and the best sell signal was -0.39 % from the Moving Avg. 20/200 Divergence.

The best buy signal for 2 future sessions was 0.36 % from the Moving Avg. 5/20 Divergence,and the best sell signal was -0.39 % from the Moving Avg. 20/200 Divergence.

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