Moving Average Analysis of JEC

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From the Weekend Report 11/5/2010: The MACD Cycle is in phase one here, with JEC 6.00 % above the 200 bar SMA, increasing the distance over the week.

Recent Averages with Candlestick Chart. of Jacobs Engineering Group Inc.

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Different ways of averaging are tested on JEC 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 JEC.

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. Norman Fosback pointed out that a legitimate signal should be one that is clearly evident through a variety of averaging methods.

Moving Average Convergence of Jacobs Engineering Group Inc.

	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 can use any of an infinite number of averaging methods and coefficients. Also, 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 - 19 instances
Future30SesAvgClose	1.07 % minus 1.25 % = -0.17 %	-1.48 %
Future5SesAvgClose	0.36 % minus 0.25 % = 0.11 %	5.59 %
Future2SesAvgClose	0.28 % minus 0.12 % = 0.15 %	19.24 %
Sell Signals - 18 instances
Future30SesAvgClose	2.13 % minus 1.25 % = 0.88 %	7.43 %
Future5SesAvgClose	0.51 % minus 0.25 % = 0.26 %	13.25 %
Future2SesAvgClose	-0.05 % minus 0.12 % = -0.17 %	-22.15 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 135 instances
Future30SesAvgClose	1.45 % minus 1.25 % = 0.20 %	1.69 %
Future5SesAvgClose	0.33 % minus 0.25 % = 0.08 %	4.17 %
Future2SesAvgClose	0.09 % minus 0.12 % = -0.04 %	-4.83 %
Sell Signals - 135 instances
Future30SesAvgClose	1.26 % minus 1.25 % = 0.01 %	0.06 %
Future5SesAvgClose	-0.11 % minus 0.25 % = -0.35 %	-17.98 %
Future2SesAvgClose	-0.02 % minus 0.12 % = -0.14 %	-18.12 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 32 instances
Future30SesAvgClose	1.39 % minus 1.25 % = 0.15 %	1.23 %
Future5SesAvgClose	0.08 % minus 0.25 % = -0.16 %	-8.29 %
Future2SesAvgClose	0.40 % minus 0.12 % = 0.28 %	35.49 %
Sell Signals - 31 instances
Future30SesAvgClose	1.59 % minus 1.25 % = 0.34 %	2.87 %
Future5SesAvgClose	-0.55 % minus 0.25 % = -0.79 %	-40.38 %
Future2SesAvgClose	-0.35 % minus 0.12 % = -0.48 %	-60.44 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 439 instances
Future30SesAvgClose	1.36 % minus 1.25 % = 0.12 %	0.99 %
Future5SesAvgClose	0.34 % minus 0.25 % = 0.09 %	4.54 %
Future2SesAvgClose	0.18 % minus 0.12 % = 0.06 %	7.76 %
Sell Signals - 439 instances
Future30SesAvgClose	1.18 % minus 1.25 % = -0.06 %	-0.55 %
Future5SesAvgClose	0.07 % minus 0.25 % = -0.18 %	-8.95 %
Future2SesAvgClose	-0.15 % minus 0.12 % = -0.27 %	-34.24 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 639 instances
Future30SesAvgClose	1.33 % minus 1.25 % = 0.09 %	0.73 %
Future5SesAvgClose	0.19 % minus 0.25 % = -0.06 %	-2.85 %
Future2SesAvgClose	0.15 % minus 0.12 % = 0.02 %	3.07 %
Sell Signals - 638 instances
Future30SesAvgClose	1.36 % minus 1.25 % = 0.11 %	0.97 %
Future5SesAvgClose	0.23 % minus 0.25 % = -0.02 %	-0.85 %
Future2SesAvgClose	-0.01 % minus 0.12 % = -0.13 %	-16.82 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 224 instances
Future30SesAvgClose	1.49 % minus 1.25 % = 0.24 %	2.01 %
Future5SesAvgClose	0.26 % minus 0.25 % = 0.01 %	0.63 %
Future2SesAvgClose	0.18 % minus 0.12 % = 0.06 %	7.28 %
Sell Signals - 224 instances
Future30SesAvgClose	0.96 % minus 1.25 % = -0.29 %	-2.48 %
Future5SesAvgClose	-0.17 % minus 0.25 % = -0.42 %	-21.34 %
Future2SesAvgClose	-0.33 % minus 0.12 % = -0.45 %	-57.75 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 168 instances
Future30SesAvgClose	1.29 % minus 1.25 % = 0.04 %	0.35 %
Future5SesAvgClose	0.02 % minus 0.25 % = -0.23 %	-11.56 %
Future2SesAvgClose	-0.02 % minus 0.12 % = -0.15 %	-18.56 %
Sell Signals - 168 instances
Future30SesAvgClose	1.40 % minus 1.25 % = 0.15 %	1.27 %
Future5SesAvgClose	0.17 % minus 0.25 % = -0.07 %	-3.72 %
Future2SesAvgClose	0.18 % minus 0.12 % = 0.05 %	6.65 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 29 instances
Future30SesAvgClose	2.16 % minus 1.25 % = 0.91 %	7.69 %
Future5SesAvgClose	1.12 % minus 0.25 % = 0.87 %	44.22 %
Future2SesAvgClose	0.75 % minus 0.12 % = 0.62 %	79.12 %
Sell Signals - 22 instances
Future30SesAvgClose	3.46 % minus 1.25 % = 2.21 %	18.71 %
Future5SesAvgClose	0.98 % minus 0.25 % = 0.73 %	37.11 %
Future2SesAvgClose	0.75 % minus 0.12 % = 0.62 %	79.30 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 177 instances
Future30SesAvgClose	1.75 % minus 1.25 % = 0.50 %	4.27 %
Future5SesAvgClose	0.25 % minus 0.25 % = 0.00 %	0.16 %
Future2SesAvgClose	0.01 % minus 0.12 % = -0.12 %	-14.66 %
Sell Signals - 144 instances
Future30SesAvgClose	0.51 % minus 1.25 % = -0.74 %	-6.24 %
Future5SesAvgClose	0.05 % minus 0.25 % = -0.20 %	-10.11 %
Future2SesAvgClose	0.14 % minus 0.12 % = 0.02 %	2.10 %
	.

The best buy signal for 30 future sessions was 0.91 % from the Projected Crossing of SMA 20/200.,and the best sell signal for was -0.74 % from the Projected Crossing of SMA 5/20..

For 5 future sessions the best buy signal was 0.87 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -0.79 % from the Moving Avg. 5/200 Divergence.

The best buy signal for 2 future sessions was 0.62 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -0.48 % from the Moving Avg. 5/200 Divergence.

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