Moving Average Analysis of IR

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From the Weekend Report 11/5/2010: The current price is 14.00 % above the 200 bar SMA and it has increased the distance since last week. This represents phase 1 of the MACD cycle.

IR: Recent Averages with Candlestick Chart.

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This page looks at the predictive abilities of different methods of averaging applied to IR stock prices. 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 IR.

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 G. Fosback has noted that legitimate signals of this sort will normally be evident through a variety of averaging methods.

	Companies In the News
	Monday, November 15, 2010: We have news on PG&E Corporation, ticker symbol PCG. A significant moving average event has happened. Also, there are breaking events concerning Cree, Inc. and Abbott Laboratories. From the News Archive: (11/12/2010 ) A favorable event happened at PetSmart, Inc. Meanwhile, bad news came from Intel, Chesapeake Energy Corporation, and JP Morgan Chase.

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 - 29 instances
Future30SesAvgClose	2.21 % minus 1.21 % = 1.01 %	8.52 %
Future5SesAvgClose	0.60 % minus 0.23 % = 0.37 %	18.73 %
Future2SesAvgClose	0.31 % minus 0.12 % = 0.19 %	24.56 %
Sell Signals - 28 instances
Future30SesAvgClose	0.64 % minus 1.21 % = -0.57 %	-4.80 %
Future5SesAvgClose	-0.30 % minus 0.23 % = -0.53 %	-26.97 %
Future2SesAvgClose	-0.08 % minus 0.12 % = -0.20 %	-24.86 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 177 instances
Future30SesAvgClose	0.86 % minus 1.21 % = -0.34 %	-2.92 %
Future5SesAvgClose	0.04 % minus 0.23 % = -0.19 %	-9.72 %
Future2SesAvgClose	0.00 % minus 0.12 % = -0.12 %	-14.84 %
Sell Signals - 177 instances
Future30SesAvgClose	1.87 % minus 1.21 % = 0.67 %	5.65 %
Future5SesAvgClose	0.63 % minus 0.23 % = 0.40 %	20.34 %
Future2SesAvgClose	0.14 % minus 0.12 % = 0.03 %	3.54 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 51 instances
Future30SesAvgClose	2.39 % minus 1.21 % = 1.18 %	10.02 %
Future5SesAvgClose	0.65 % minus 0.23 % = 0.42 %	21.47 %
Future2SesAvgClose	0.57 % minus 0.12 % = 0.46 %	57.90 %
Sell Signals - 50 instances
Future30SesAvgClose	0.92 % minus 1.21 % = -0.29 %	-2.44 %
Future5SesAvgClose	0.30 % minus 0.23 % = 0.07 %	3.46 %
Future2SesAvgClose	0.18 % minus 0.12 % = 0.07 %	8.39 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 579 instances
Future30SesAvgClose	1.10 % minus 1.21 % = -0.11 %	-0.95 %
Future5SesAvgClose	0.31 % minus 0.23 % = 0.08 %	3.98 %
Future2SesAvgClose	0.13 % minus 0.12 % = 0.02 %	1.91 %
Sell Signals - 578 instances
Future30SesAvgClose	1.06 % minus 1.21 % = -0.15 %	-1.24 %
Future5SesAvgClose	0.22 % minus 0.23 % = -0.01 %	-0.70 %
Future2SesAvgClose	0.10 % minus 0.12 % = -0.02 %	-2.59 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 813 instances
Future30SesAvgClose	1.18 % minus 1.21 % = -0.02 %	-0.19 %
Future5SesAvgClose	0.32 % minus 0.23 % = 0.09 %	4.70 %
Future2SesAvgClose	0.21 % minus 0.12 % = 0.09 %	11.91 %
Sell Signals - 813 instances
Future30SesAvgClose	1.13 % minus 1.21 % = -0.08 %	-0.65 %
Future5SesAvgClose	0.27 % minus 0.23 % = 0.04 %	2.18 %
Future2SesAvgClose	0.10 % minus 0.12 % = -0.02 %	-2.10 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 334 instances
Future30SesAvgClose	1.35 % minus 1.21 % = 0.15 %	1.23 %
Future5SesAvgClose	0.36 % minus 0.23 % = 0.13 %	6.78 %
Future2SesAvgClose	0.17 % minus 0.12 % = 0.06 %	7.31 %
Sell Signals - 334 instances
Future30SesAvgClose	0.93 % minus 1.21 % = -0.28 %	-2.36 %
Future5SesAvgClose	0.26 % minus 0.23 % = 0.03 %	1.66 %
Future2SesAvgClose	-0.01 % minus 0.12 % = -0.12 %	-15.57 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 226 instances
Future30SesAvgClose	1.82 % minus 1.21 % = 0.61 %	5.19 %
Future5SesAvgClose	0.62 % minus 0.23 % = 0.39 %	19.60 %
Future2SesAvgClose	0.44 % minus 0.12 % = 0.33 %	41.52 %
Sell Signals - 226 instances
Future30SesAvgClose	1.31 % minus 1.21 % = 0.10 %	0.83 %
Future5SesAvgClose	0.19 % minus 0.23 % = -0.04 %	-1.99 %
Future2SesAvgClose	-0.06 % minus 0.12 % = -0.18 %	-22.72 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 35 instances
Future30SesAvgClose	2.64 % minus 1.21 % = 1.44 %	12.17 %
Future5SesAvgClose	1.18 % minus 0.23 % = 0.95 %	48.18 %
Future2SesAvgClose	0.78 % minus 0.12 % = 0.67 %	84.74 %
Sell Signals - 35 instances
Future30SesAvgClose	0.38 % minus 1.21 % = -0.82 %	-6.97 %
Future5SesAvgClose	-0.50 % minus 0.23 % = -0.73 %	-37.12 %
Future2SesAvgClose	-0.18 % minus 0.12 % = -0.30 %	-37.72 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 224 instances
Future30SesAvgClose	1.25 % minus 1.21 % = 0.04 %	0.34 %
Future5SesAvgClose	0.29 % minus 0.23 % = 0.06 %	3.03 %
Future2SesAvgClose	0.13 % minus 0.12 % = 0.01 %	1.50 %
Sell Signals - 184 instances
Future30SesAvgClose	2.19 % minus 1.21 % = 0.99 %	8.34 %
Future5SesAvgClose	-0.03 % minus 0.23 % = -0.26 %	-13.06 %
Future2SesAvgClose	0.02 % minus 0.12 % = -0.10 %	-12.35 %
	.

The best buy signal for 30 future sessions was 1.44 % from the Projected Crossing of SMA 20/200.,and the best sell signal for was -0.82 % from the Projected Crossing of SMA 20/200..

For 5 future sessions the best buy signal was 0.95 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -0.73 % from the Projected Crossing of SMA 20/200..

The best buy signal for 2 future sessions was 0.67 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -0.30 % from the Projected Crossing of SMA 20/200..

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