Moving Average Indicators for CME

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From the Weekend Report 11/5/2010: Since the previous week the phase of the oscillator around the 200 bar average is almost unchanged.

CME: Recent Averages with Candlestick Chart.

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Different ways of averaging are tested on CME stock prices for their ability to predict trend movements. An infinite selection of moving average techniques is available, including but not limited to moving weighted and exponentional averages and MACD indicators of various flavors.

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 CME.

Red is the 200 bar SMA and Green is the 20 bar average. The Simple Moving Averages above are un-weighted. While unsophisticated, they frequently yield better results than some of the more highly tuned methods examined in 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.

Companies In the News

Friday, November 12, 2010: We have news on Cree, Inc., ticker symbol CREE. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning Intel and PetSmart, Inc.

From the News Archive: (11/11/2010 ) Favorable events happened at Exxon Mobil, Ingersoll-Rand Company Limited, and Concur Technologies, Inc.. Meanwhile, bad news came from International Game Technology.

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 - 3 instances
Future30SesAvgClose	-2.54 % minus 2.08 % = -4.62 %	-39.10 %
Future5SesAvgClose	-1.35 % minus 0.41 % = -1.77 %	-89.78 %
Future2SesAvgClose	0.02 % minus 0.21 % = -0.19 %	-24.40 %
Sell Signals - 2 instances
Future30SesAvgClose	5.25 % minus 2.08 % = 3.18 %	26.89 %
Future5SesAvgClose	3.13 % minus 0.41 % = 2.72 %	138.22 %
Future2SesAvgClose	0.64 % minus 0.21 % = 0.43 %	54.09 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 59 instances
Future30SesAvgClose	3.81 % minus 2.08 % = 1.74 %	14.71 %
Future5SesAvgClose	0.97 % minus 0.41 % = 0.55 %	28.07 %
Future2SesAvgClose	0.75 % minus 0.21 % = 0.54 %	69.00 %
Sell Signals - 60 instances
Future30SesAvgClose	2.91 % minus 2.08 % = 0.83 %	7.05 %
Future5SesAvgClose	0.72 % minus 0.41 % = 0.31 %	15.53 %
Future2SesAvgClose	0.02 % minus 0.21 % = -0.19 %	-24.36 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 9 instances
Future30SesAvgClose	4.42 % minus 2.08 % = 2.34 %	19.83 %
Future5SesAvgClose	3.47 % minus 0.41 % = 3.05 %	155.12 %
Future2SesAvgClose	2.68 % minus 0.21 % = 2.47 %	313.23 %
Sell Signals - 8 instances
Future30SesAvgClose	3.98 % minus 2.08 % = 1.90 %	16.08 %
Future5SesAvgClose	0.50 % minus 0.41 % = 0.09 %	4.61 %
Future2SesAvgClose	0.60 % minus 0.21 % = 0.39 %	49.81 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 181 instances
Future30SesAvgClose	2.21 % minus 2.08 % = 0.13 %	1.12 %
Future5SesAvgClose	0.92 % minus 0.41 % = 0.51 %	25.85 %
Future2SesAvgClose	0.60 % minus 0.21 % = 0.38 %	48.81 %
Sell Signals - 182 instances
Future30SesAvgClose	1.73 % minus 2.08 % = -0.35 %	-2.95 %
Future5SesAvgClose	0.31 % minus 0.41 % = -0.10 %	-5.22 %
Future2SesAvgClose	-0.05 % minus 0.21 % = -0.27 %	-33.85 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 247 instances
Future30SesAvgClose	1.77 % minus 2.08 % = -0.30 %	-2.57 %
Future5SesAvgClose	0.37 % minus 0.41 % = -0.05 %	-2.44 %
Future2SesAvgClose	0.20 % minus 0.21 % = -0.01 %	-1.75 %
Sell Signals - 247 instances
Future30SesAvgClose	2.22 % minus 2.08 % = 0.15 %	1.23 %
Future5SesAvgClose	0.55 % minus 0.41 % = 0.13 %	6.80 %
Future2SesAvgClose	0.37 % minus 0.21 % = 0.16 %	20.42 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 92 instances
Future30SesAvgClose	1.23 % minus 2.08 % = -0.85 %	-7.20 %
Future5SesAvgClose	0.13 % minus 0.41 % = -0.29 %	-14.65 %
Future2SesAvgClose	-0.16 % minus 0.21 % = -0.37 %	-46.68 %
Sell Signals - 91 instances
Future30SesAvgClose	1.90 % minus 2.08 % = -0.18 %	-1.52 %
Future5SesAvgClose	0.71 % minus 0.41 % = 0.30 %	15.13 %
Future2SesAvgClose	0.37 % minus 0.21 % = 0.16 %	20.21 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 56 instances
Future30SesAvgClose	1.92 % minus 2.08 % = -0.16 %	-1.32 %
Future5SesAvgClose	-0.37 % minus 0.41 % = -0.78 %	-39.74 %
Future2SesAvgClose	-0.48 % minus 0.21 % = -0.69 %	-87.93 %
Sell Signals - 56 instances
Future30SesAvgClose	2.46 % minus 2.08 % = 0.38 %	3.25 %
Future5SesAvgClose	0.64 % minus 0.41 % = 0.22 %	11.43 %
Future2SesAvgClose	0.71 % minus 0.21 % = 0.50 %	63.20 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 4 instances
Future30SesAvgClose	4.76 % minus 2.08 % = 2.68 %	22.71 %
Future5SesAvgClose	4.05 % minus 0.41 % = 3.64 %	184.84 %
Future2SesAvgClose	2.83 % minus 0.21 % = 2.62 %	332.55 %
Sell Signals - 3 instances
Future30SesAvgClose	4.11 % minus 2.08 % = 2.04 %	17.24 %
Future5SesAvgClose	-0.26 % minus 0.41 % = -0.67 %	-34.14 %
Future2SesAvgClose	-1.66 % minus 0.21 % = -1.88 %	-238.18 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 64 instances
Future30SesAvgClose	2.22 % minus 2.08 % = 0.14 %	1.21 %
Future5SesAvgClose	0.32 % minus 0.41 % = -0.09 %	-4.61 %
Future2SesAvgClose	0.11 % minus 0.21 % = -0.10 %	-13.22 %
Sell Signals - 49 instances
Future30SesAvgClose	-1.05 % minus 2.08 % = -3.13 %	-26.47 %
Future5SesAvgClose	-0.37 % minus 0.41 % = -0.79 %	-39.91 %
Future2SesAvgClose	-0.27 % minus 0.21 % = -0.48 %	-61.50 %
	.

The best buy signal for 30 future sessions was 2.68 % from the Projected Crossing of SMA 20/200.,and the best sell signal for was -3.13 % from the Projected Crossing of SMA 5/20..

For 5 future sessions the best buy signal was 3.64 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -0.79 % from the Projected Crossing of SMA 5/20..

The best buy signal for 2 future sessions was 2.62 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -1.88 % from the Projected Crossing of SMA 20/200..

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Moving Average Convergence for CME Group Inc. Stock Prices - CME