Moving Average Analysis of JPM

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From the Weekend Report 7/30/2010: The phase of the 200 day Simple Moving Average was hardly altered during the week.

JPM: Recent Averages with Candlestick Chart.
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More than 70 Hi-Rez charts daily for JP Morgan Chase:

Different ways of averaging are tested on JPM 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 JPM.

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 JP Morgan Chase
Companies In the News
Friday, July 30, 2010: We have news on Janus Capital Group Inc., ticker symbol JNS. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning Akamai Technologies, Inc. and Cummins Inc..

From the News Archive: (7/28/2010 ) A favorable event happened at Quest Diagnostics Incorporated. Meanwhile, bad news came from W.W. Grainger, Inc., Abbott Laboratories, and Dupont.




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.

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Moving Avg. 20/200 DivergenceSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 29 instances
Future30SesAvgClose 1.62 % minus 0.98 % = 0.64 %5.46 %
Future5SesAvgClose 0.64 % minus 0.20 % = 0.44 %22.22 %
Future2SesAvgClose 0.24 % minus 0.10 % = 0.14 %17.67 %
Sell Signals - 28 instances
Future30SesAvgClose 0.34 % minus 0.98 % = -0.63 %-5.36 %
Future5SesAvgClose 0.24 % minus 0.20 % = 0.05 %2.32 %
Future2SesAvgClose 0.65 % minus 0.10 % = 0.55 %69.41 %
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Moving Avg. 5/20 DivergenceSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 188 instances
Future30SesAvgClose 0.41 % minus 0.98 % = -0.57 %-4.81 %
Future5SesAvgClose 0.33 % minus 0.20 % = 0.13 %6.51 %
Future2SesAvgClose 0.36 % minus 0.10 % = 0.26 %33.28 %
Sell Signals - 188 instances
Future30SesAvgClose 0.32 % minus 0.98 % = -0.66 %-5.58 %
Future5SesAvgClose 0.22 % minus 0.20 % = 0.02 %1.12 %
Future2SesAvgClose 0.24 % minus 0.10 % = 0.14 %17.57 %
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Moving Avg. 5/200 DivergenceSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 53 instances
Future30SesAvgClose 1.01 % minus 0.98 % = 0.03 %0.25 %
Future5SesAvgClose 0.86 % minus 0.20 % = 0.66 %33.52 %
Future2SesAvgClose 0.78 % minus 0.10 % = 0.67 %85.70 %
Sell Signals - 52 instances
Future30SesAvgClose 0.88 % minus 0.98 % = -0.10 %-0.85 %
Future5SesAvgClose 0.23 % minus 0.20 % = 0.03 %1.63 %
Future2SesAvgClose -0.04 % minus 0.10 % = -0.14 %-17.84 %
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MACD 12/26 DivergenceSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 597 instances
Future30SesAvgClose 0.83 % minus 0.98 % = -0.15 %-1.27 %
Future5SesAvgClose 0.09 % minus 0.20 % = -0.10 %-5.33 %
Future2SesAvgClose 0.01 % minus 0.10 % = -0.09 %-11.62 %
Sell Signals - 597 instances
Future30SesAvgClose 0.80 % minus 0.98 % = -0.17 %-1.46 %
Future5SesAvgClose 0.00 % minus 0.20 % = -0.20 %-9.97 %
Future2SesAvgClose -0.08 % minus 0.10 % = -0.18 %-23.36 %
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MACD 12/26 SignalSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 853 instances
Future30SesAvgClose 1.11 % minus 0.98 % = 0.14 %1.16 %
Future5SesAvgClose 0.27 % minus 0.20 % = 0.07 %3.41 %
Future2SesAvgClose 0.14 % minus 0.10 % = 0.04 %5.14 %
Sell Signals - 852 instances
Future30SesAvgClose 1.21 % minus 0.98 % = 0.23 %1.98 %
Future5SesAvgClose 0.40 % minus 0.20 % = 0.20 %10.04 %
Future2SesAvgClose 0.28 % minus 0.10 % = 0.18 %22.28 %
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Calibrated M by Q Half Cycle Moving Avg.Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 330 instances
Future30SesAvgClose 0.58 % minus 0.98 % = -0.40 %-3.38 %
Future5SesAvgClose 0.42 % minus 0.20 % = 0.22 %11.06 %
Future2SesAvgClose 0.42 % minus 0.10 % = 0.32 %40.03 %
Sell Signals - 330 instances
Future30SesAvgClose 0.07 % minus 0.98 % = -0.90 %-7.64 %
Future5SesAvgClose -0.12 % minus 0.20 % = -0.32 %-16.34 %
Future2SesAvgClose -0.11 % minus 0.10 % = -0.21 %-26.57 %
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Calibrated M by Q Full Cycle Moving Avg.Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 224 instances
Future30SesAvgClose 1.09 % minus 0.98 % = 0.11 %0.96 %
Future5SesAvgClose 0.13 % minus 0.20 % = -0.07 %-3.59 %
Future2SesAvgClose -0.02 % minus 0.10 % = -0.12 %-15.46 %
Sell Signals - 225 instances
Future30SesAvgClose 0.93 % minus 0.98 % = -0.04 %-0.38 %
Future5SesAvgClose 0.16 % minus 0.20 % = -0.04 %-1.86 %
Future2SesAvgClose 0.21 % minus 0.10 % = 0.11 %14.15 %
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Projected Crossing of SMA 20/200.Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 35 instances
Future30SesAvgClose -0.82 % minus 0.98 % = -1.80 %-15.24 %
Future5SesAvgClose -0.67 % minus 0.20 % = -0.87 %-44.06 %
Future2SesAvgClose -0.36 % minus 0.10 % = -0.46 %-58.79 %
Sell Signals - 31 instances
Future30SesAvgClose 0.90 % minus 0.98 % = -0.07 %-0.63 %
Future5SesAvgClose 0.88 % minus 0.20 % = 0.68 %34.42 %
Future2SesAvgClose 0.40 % minus 0.10 % = 0.30 %37.88 %
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Projected Crossing of SMA 5/20.Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 216 instances
Future30SesAvgClose 0.78 % minus 0.98 % = -0.20 %-1.69 %
Future5SesAvgClose 0.12 % minus 0.20 % = -0.08 %-4.04 %
Future2SesAvgClose 0.01 % minus 0.10 % = -0.09 %-11.28 %
Sell Signals - 210 instances
Future30SesAvgClose 0.85 % minus 0.98 % = -0.12 %-1.05 %
Future5SesAvgClose -0.12 % minus 0.20 % = -0.32 %-16.18 %
Future2SesAvgClose -0.12 % minus 0.10 % = -0.22 %-27.62 %
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The best buy signal for 30 future sessions was 0.64 % from the Moving Avg. 20/200 Divergence,and the best sell signal for was -0.90 % from the Calibrated M by Q Half Cycle Moving Avg..
For 5 future sessions the best buy signal was 0.66 % from the Moving Avg. 5/200 Divergence,and the best sell signal was -0.32 % from the Calibrated M by Q Half Cycle Moving Avg..
The best buy signal for 2 future sessions was 0.67 % from the Moving Avg. 5/200 Divergence,and the best sell signal was -0.22 % from the Projected Crossing of SMA 5/20..



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Moving Average Analysis for JPM Stock Prices