Moving Average Analysis of JDSU

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From the Weekend Report 11/5/2010: The current price is 2.00 % 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 JDS Uniphase Corporation

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Different ways of averaging are tested on JDSU 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 JDSU.

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. 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. A good un-ambiguous signal will be noticable through a variety of averaging methods, including some of the most simple.

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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 - 11 instances
Future30SesAvgClose	6.65 % minus 2.06 % = 4.59 %	38.85 %
Future5SesAvgClose	3.47 % minus 0.42 % = 3.05 %	154.80 %
Future2SesAvgClose	1.39 % minus 0.22 % = 1.17 %	148.89 %
Sell Signals - 11 instances
Future30SesAvgClose	2.32 % minus 2.06 % = 0.26 %	2.16 %
Future5SesAvgClose	0.37 % minus 0.42 % = -0.05 %	-2.31 %
Future2SesAvgClose	-0.17 % minus 0.22 % = -0.38 %	-48.51 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 127 instances
Future30SesAvgClose	3.39 % minus 2.06 % = 1.32 %	11.21 %
Future5SesAvgClose	0.37 % minus 0.42 % = -0.05 %	-2.62 %
Future2SesAvgClose	-0.36 % minus 0.22 % = -0.58 %	-73.68 %
Sell Signals - 128 instances
Future30SesAvgClose	2.35 % minus 2.06 % = 0.29 %	2.42 %
Future5SesAvgClose	0.94 % minus 0.42 % = 0.52 %	26.57 %
Future2SesAvgClose	0.85 % minus 0.22 % = 0.64 %	80.69 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 16 instances
Future30SesAvgClose	4.00 % minus 2.06 % = 1.93 %	16.36 %
Future5SesAvgClose	0.74 % minus 0.42 % = 0.32 %	16.31 %
Future2SesAvgClose	0.74 % minus 0.22 % = 0.52 %	66.60 %
Sell Signals - 16 instances
Future30SesAvgClose	0.76 % minus 2.06 % = -1.31 %	-11.06 %
Future5SesAvgClose	0.02 % minus 0.42 % = -0.40 %	-20.45 %
Future2SesAvgClose	-0.60 % minus 0.22 % = -0.82 %	-104.00 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 411 instances
Future30SesAvgClose	1.39 % minus 2.06 % = -0.67 %	-5.67 %
Future5SesAvgClose	0.13 % minus 0.42 % = -0.29 %	-14.49 %
Future2SesAvgClose	0.15 % minus 0.22 % = -0.07 %	-8.97 %
Sell Signals - 411 instances
Future30SesAvgClose	1.63 % minus 2.06 % = -0.44 %	-3.70 %
Future5SesAvgClose	0.41 % minus 0.42 % = -0.01 %	-0.39 %
Future2SesAvgClose	0.16 % minus 0.22 % = -0.05 %	-6.96 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 557 instances
Future30SesAvgClose	2.77 % minus 2.06 % = 0.70 %	5.95 %
Future5SesAvgClose	0.73 % minus 0.42 % = 0.31 %	15.87 %
Future2SesAvgClose	0.49 % minus 0.22 % = 0.28 %	35.07 %
Sell Signals - 556 instances
Future30SesAvgClose	2.84 % minus 2.06 % = 0.78 %	6.61 %
Future5SesAvgClose	0.72 % minus 0.42 % = 0.30 %	15.08 %
Future2SesAvgClose	0.28 % minus 0.22 % = 0.06 %	7.94 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 223 instances
Future30SesAvgClose	3.54 % minus 2.06 % = 1.48 %	12.52 %
Future5SesAvgClose	1.12 % minus 0.42 % = 0.71 %	35.88 %
Future2SesAvgClose	0.86 % minus 0.22 % = 0.64 %	81.31 %
Sell Signals - 222 instances
Future30SesAvgClose	4.40 % minus 2.06 % = 2.34 %	19.82 %
Future5SesAvgClose	1.36 % minus 0.42 % = 0.94 %	47.91 %
Future2SesAvgClose	0.96 % minus 0.22 % = 0.75 %	95.05 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 144 instances
Future30SesAvgClose	0.15 % minus 2.06 % = -1.91 %	-16.21 %
Future5SesAvgClose	-0.04 % minus 0.42 % = -0.46 %	-23.17 %
Future2SesAvgClose	0.18 % minus 0.22 % = -0.04 %	-4.63 %
Sell Signals - 144 instances
Future30SesAvgClose	1.23 % minus 2.06 % = -0.83 %	-7.02 %
Future5SesAvgClose	0.36 % minus 0.42 % = -0.06 %	-2.90 %
Future2SesAvgClose	0.33 % minus 0.22 % = 0.11 %	14.12 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 11 instances
Future30SesAvgClose	4.13 % minus 2.06 % = 2.06 %	17.48 %
Future5SesAvgClose	-0.25 % minus 0.42 % = -0.67 %	-33.99 %
Future2SesAvgClose	-0.16 % minus 0.22 % = -0.38 %	-47.85 %
Sell Signals - 16 instances
Future30SesAvgClose	3.57 % minus 2.06 % = 1.51 %	12.80 %
Future5SesAvgClose	-1.13 % minus 0.42 % = -1.55 %	-78.90 %
Future2SesAvgClose	-1.83 % minus 0.22 % = -2.05 %	-259.72 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 141 instances
Future30SesAvgClose	3.63 % minus 2.06 % = 1.57 %	13.28 %
Future5SesAvgClose	0.79 % minus 0.42 % = 0.38 %	19.10 %
Future2SesAvgClose	0.55 % minus 0.22 % = 0.33 %	41.82 %
Sell Signals - 119 instances
Future30SesAvgClose	1.90 % minus 2.06 % = -0.16 %	-1.34 %
Future5SesAvgClose	1.12 % minus 0.42 % = 0.70 %	35.57 %
Future2SesAvgClose	0.60 % minus 0.22 % = 0.39 %	49.24 %
	.

The best buy signal for 30 future sessions was 4.59 % from the Moving Avg. 20/200 Divergence,and the best sell signal for was -1.31 % from the Moving Avg. 5/200 Divergence.

For 5 future sessions the best buy signal was 3.05 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -1.55 % from the Projected Crossing of SMA 20/200..

The best buy signal for 2 future sessions was 1.17 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -2.05 % from the Projected Crossing of SMA 20/200..

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