Moving Average Analysis of BTU

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From the Weekend Report 11/5/2010: The current price is 27.00 % above the 200 bar SMA and it has increased the distance since last week. This represents phase 1 of the MACD cycle.

Recent Averages with Candlestick Chart. of Peabody Energy Corporation

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Different ways of averaging are tested on BTU 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 BTU.

Green is the 20 bar moving average, while the 200 session average is red. Often the simple unweighted moving averages seen in this plot will give a more accurate indicator, with fewer false signals than some of the supposedly more sophisticated techniques that we test below. 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 G. Fosback has noted that legitimate signals of this sort will normally be evident through a variety of averaging methods.

Moving Average Convergence of Peabody Energy Corporation

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MACD analysis is dangerously suited for overtuning, since it may use any of an infinite number of averaging methods and coefficients. In addition to crossover signals based on moving averages, many analysts add a trigger line which is 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 - 5 instances
Future30SesAvgClose	-4.07 % minus 2.10 % = -6.17 %	-52.26 %
Future5SesAvgClose	-1.09 % minus 0.42 % = -1.52 %	-77.11 %
Future2SesAvgClose	1.83 % minus 0.22 % = 1.62 %	205.12 %
Sell Signals - 5 instances
Future30SesAvgClose	0.56 % minus 2.10 % = -1.54 %	-13.06 %
Future5SesAvgClose	0.11 % minus 0.42 % = -0.32 %	-16.01 %
Future2SesAvgClose	-0.94 % minus 0.22 % = -1.15 %	-146.26 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 70 instances
Future30SesAvgClose	3.37 % minus 2.10 % = 1.27 %	10.75 %
Future5SesAvgClose	0.79 % minus 0.42 % = 0.36 %	18.37 %
Future2SesAvgClose	0.22 % minus 0.22 % = 0.00 %	0.14 %
Sell Signals - 71 instances
Future30SesAvgClose	1.92 % minus 2.10 % = -0.18 %	-1.51 %
Future5SesAvgClose	0.22 % minus 0.42 % = -0.21 %	-10.55 %
Future2SesAvgClose	-0.02 % minus 0.22 % = -0.23 %	-29.47 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 13 instances
Future30SesAvgClose	0.12 % minus 2.10 % = -1.99 %	-16.82 %
Future5SesAvgClose	-0.40 % minus 0.42 % = -0.83 %	-41.97 %
Future2SesAvgClose	-0.74 % minus 0.22 % = -0.95 %	-121.07 %
Sell Signals - 13 instances
Future30SesAvgClose	0.00 % minus 2.10 % = -2.10 %	-17.78 %
Future5SesAvgClose	0.09 % minus 0.42 % = -0.33 %	-16.77 %
Future2SesAvgClose	0.22 % minus 0.22 % = 0.01 %	0.76 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 211 instances
Future30SesAvgClose	1.92 % minus 2.10 % = -0.18 %	-1.56 %
Future5SesAvgClose	0.27 % minus 0.42 % = -0.16 %	-7.95 %
Future2SesAvgClose	0.14 % minus 0.22 % = -0.08 %	-9.78 %
Sell Signals - 212 instances
Future30SesAvgClose	1.21 % minus 2.10 % = -0.89 %	-7.58 %
Future5SesAvgClose	0.06 % minus 0.42 % = -0.36 %	-18.51 %
Future2SesAvgClose	0.17 % minus 0.22 % = -0.04 %	-5.50 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 294 instances
Future30SesAvgClose	1.98 % minus 2.10 % = -0.12 %	-1.03 %
Future5SesAvgClose	0.28 % minus 0.42 % = -0.15 %	-7.48 %
Future2SesAvgClose	0.19 % minus 0.22 % = -0.02 %	-2.95 %
Sell Signals - 293 instances
Future30SesAvgClose	2.30 % minus 2.10 % = 0.20 %	1.67 %
Future5SesAvgClose	0.57 % minus 0.42 % = 0.15 %	7.45 %
Future2SesAvgClose	0.36 % minus 0.22 % = 0.15 %	18.71 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 119 instances
Future30SesAvgClose	2.12 % minus 2.10 % = 0.01 %	0.11 %
Future5SesAvgClose	0.41 % minus 0.42 % = -0.02 %	-0.83 %
Future2SesAvgClose	0.17 % minus 0.22 % = -0.05 %	-5.83 %
Sell Signals - 119 instances
Future30SesAvgClose	1.90 % minus 2.10 % = -0.20 %	-1.69 %
Future5SesAvgClose	-0.23 % minus 0.42 % = -0.66 %	-33.36 %
Future2SesAvgClose	-0.30 % minus 0.22 % = -0.51 %	-64.90 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 96 instances
Future30SesAvgClose	3.79 % minus 2.10 % = 1.69 %	14.32 %
Future5SesAvgClose	1.37 % minus 0.42 % = 0.95 %	48.19 %
Future2SesAvgClose	0.75 % minus 0.22 % = 0.54 %	68.27 %
Sell Signals - 96 instances
Future30SesAvgClose	4.46 % minus 2.10 % = 2.35 %	19.93 %
Future5SesAvgClose	1.35 % minus 0.42 % = 0.92 %	46.88 %
Future2SesAvgClose	0.47 % minus 0.22 % = 0.26 %	32.74 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 12 instances
Future30SesAvgClose	2.23 % minus 2.10 % = 0.13 %	1.09 %
Future5SesAvgClose	0.79 % minus 0.42 % = 0.37 %	18.63 %
Future2SesAvgClose	0.35 % minus 0.22 % = 0.13 %	16.60 %
Sell Signals - 4 instances
Future30SesAvgClose	4.49 % minus 2.10 % = 2.38 %	20.19 %
Future5SesAvgClose	5.00 % minus 0.42 % = 4.58 %	232.53 %
Future2SesAvgClose	4.30 % minus 0.22 % = 4.08 %	518.17 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 73 instances
Future30SesAvgClose	3.35 % minus 2.10 % = 1.25 %	10.57 %
Future5SesAvgClose	0.42 % minus 0.42 % = 0.00 %	-0.21 %
Future2SesAvgClose	0.42 % minus 0.22 % = 0.21 %	26.53 %
Sell Signals - 58 instances
Future30SesAvgClose	2.57 % minus 2.10 % = 0.47 %	3.95 %
Future5SesAvgClose	0.56 % minus 0.42 % = 0.13 %	6.67 %
Future2SesAvgClose	0.74 % minus 0.22 % = 0.52 %	66.67 %
	.

The best buy signal for 30 future sessions was 1.69 % from the Calibrated M by Q Full Cycle Moving Avg.,and the best sell signal for was -2.10 % from the Moving Avg. 5/200 Divergence.

For 5 future sessions the best buy signal was 0.95 % from the Calibrated M by Q Full Cycle Moving Avg.,and the best sell signal was -1.15 % from the Moving Avg. 20/200 Divergence.

The best buy signal for 2 future sessions was 1.62 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -1.15 % from the Moving Avg. 20/200 Divergence.

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