Moving Average Indicators for DJIA

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From the Weekend Report 2/26/2010: There has not been much change in the phase of the 200 day moving average since this time last week.

Recent Averages with Candlestick Chart. of Dow Industrials

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This section analyzes the predictive abilities of several flavors of averaging as applied to the DJIA index. 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 effectiveness of these methods as applied to DJIA stock price trend evaluation is tested on the next page.

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. It is always possible to fine tune an exponential or other weighted average so that it seems to outperform a simple average in a given situation. However, over-tuning can increase false and misleading indicators. 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 Dow Industrials

	Companies In the News
	In the news, Thursday, March 11, 2010: A favorable condition has developed with Zimmer Holdings, Inc., ticker symbol ZMH. Also, there are breaking events concerning Pre-Paid Legal (PPD) and The New York Times Company (NYT)

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 - 28 instances
Future30SesAvgClose	0.79 % minus 0.58 % = 0.21 %	1.79 %
Future5SesAvgClose	0.30 % minus 0.11 % = 0.18 %	9.22 %
Future2SesAvgClose	0.10 % minus 0.06 % = 0.04 %	5.38 %
Sell Signals - 28 instances
Future30SesAvgClose	-0.12 % minus 0.58 % = -0.70 %	-5.94 %
Future5SesAvgClose	-0.01 % minus 0.11 % = -0.12 %	-6.21 %
Future2SesAvgClose	-0.05 % minus 0.06 % = -0.11 %	-13.92 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 221 instances
Future30SesAvgClose	0.68 % minus 0.58 % = 0.10 %	0.81 %
Future5SesAvgClose	0.24 % minus 0.11 % = 0.12 %	6.30 %
Future2SesAvgClose	0.13 % minus 0.06 % = 0.07 %	9.43 %
Sell Signals - 221 instances
Future30SesAvgClose	0.55 % minus 0.58 % = -0.03 %	-0.27 %
Future5SesAvgClose	0.22 % minus 0.11 % = 0.11 %	5.45 %
Future2SesAvgClose	0.16 % minus 0.06 % = 0.11 %	13.44 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 45 instances
Future30SesAvgClose	0.72 % minus 0.58 % = 0.14 %	1.14 %
Future5SesAvgClose	0.30 % minus 0.11 % = 0.19 %	9.69 %
Future2SesAvgClose	0.40 % minus 0.06 % = 0.34 %	43.23 %
Sell Signals - 45 instances
Future30SesAvgClose	0.76 % minus 0.58 % = 0.18 %	1.51 %
Future5SesAvgClose	0.44 % minus 0.11 % = 0.33 %	16.80 %
Future2SesAvgClose	0.41 % minus 0.06 % = 0.35 %	44.40 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 683 instances
Future30SesAvgClose	0.51 % minus 0.58 % = -0.07 %	-0.56 %
Future5SesAvgClose	0.08 % minus 0.11 % = -0.04 %	-1.91 %
Future2SesAvgClose	0.03 % minus 0.06 % = -0.02 %	-3.06 %
Sell Signals - 682 instances
Future30SesAvgClose	0.56 % minus 0.58 % = -0.02 %	-0.21 %
Future5SesAvgClose	0.15 % minus 0.11 % = 0.03 %	1.70 %
Future2SesAvgClose	0.08 % minus 0.06 % = 0.02 %	2.82 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 940 instances
Future30SesAvgClose	0.52 % minus 0.58 % = -0.06 %	-0.53 %
Future5SesAvgClose	0.18 % minus 0.11 % = 0.06 %	3.19 %
Future2SesAvgClose	0.13 % minus 0.06 % = 0.07 %	8.68 %
Sell Signals - 940 instances
Future30SesAvgClose	0.45 % minus 0.58 % = -0.13 %	-1.10 %
Future5SesAvgClose	0.07 % minus 0.11 % = -0.04 %	-2.09 %
Future2SesAvgClose	0.06 % minus 0.06 % = 0.00 %	-0.02 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 374 instances
Future30SesAvgClose	0.51 % minus 0.58 % = -0.07 %	-0.58 %
Future5SesAvgClose	0.20 % minus 0.11 % = 0.09 %	4.57 %
Future2SesAvgClose	0.12 % minus 0.06 % = 0.06 %	7.75 %
Sell Signals - 374 instances
Future30SesAvgClose	0.49 % minus 0.58 % = -0.09 %	-0.72 %
Future5SesAvgClose	0.07 % minus 0.11 % = -0.04 %	-2.01 %
Future2SesAvgClose	-0.02 % minus 0.06 % = -0.08 %	-10.27 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 268 instances
Future30SesAvgClose	0.43 % minus 0.58 % = -0.15 %	-1.26 %
Future5SesAvgClose	0.17 % minus 0.11 % = 0.06 %	2.87 %
Future2SesAvgClose	0.11 % minus 0.06 % = 0.05 %	6.29 %
Sell Signals - 268 instances
Future30SesAvgClose	0.44 % minus 0.58 % = -0.14 %	-1.16 %
Future5SesAvgClose	0.04 % minus 0.11 % = -0.07 %	-3.64 %
Future2SesAvgClose	-0.03 % minus 0.06 % = -0.08 %	-10.55 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 15 instances
Future30SesAvgClose	1.57 % minus 0.58 % = 0.99 %	8.35 %
Future5SesAvgClose	0.56 % minus 0.11 % = 0.45 %	22.75 %
Future2SesAvgClose	0.82 % minus 0.06 % = 0.77 %	97.22 %
Sell Signals - 19 instances
Future30SesAvgClose	1.20 % minus 0.58 % = 0.62 %	5.23 %
Future5SesAvgClose	0.32 % minus 0.11 % = 0.20 %	10.28 %
Future2SesAvgClose	0.05 % minus 0.06 % = -0.01 %	-1.34 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 207 instances
Future30SesAvgClose	1.20 % minus 0.58 % = 0.62 %	5.22 %
Future5SesAvgClose	0.38 % minus 0.11 % = 0.27 %	13.71 %
Future2SesAvgClose	0.16 % minus 0.06 % = 0.10 %	12.35 %
Sell Signals - 141 instances
Future30SesAvgClose	0.76 % minus 0.58 % = 0.18 %	1.52 %
Future5SesAvgClose	0.13 % minus 0.11 % = 0.01 %	0.60 %
Future2SesAvgClose	0.08 % minus 0.06 % = 0.02 %	2.71 %
	.

The best buy signal for 30 future sessions was 0.99 % from the Projected Crossing of SMA 20/200.,and the best sell signal for was -0.70 % from the Moving Avg. 20/200 Divergence.

For 5 future sessions the best buy signal was 0.45 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -0.12 % from the Moving Avg. 20/200 Divergence.

The best buy signal for 2 future sessions was 0.77 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -0.11 % from the Moving Avg. 20/200 Divergence.

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