Moving Average Indicators for MS

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From the Weekend Report 11/5/2010: The MACD Cycle is in phase one here, with MS 1.00 % above the 200 bar SMA, increasing the distance over the week.

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Different ways of averaging are tested on MS 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 MS.

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.

Moving Average Convergence of Morgan Stanley

	Companies In the News
	In the news, Monday, November 15, 2010: A favorable condition has developed with Sprint Nextel Corporation, ticker symbol S. Also, there are breaking events concerning Abbott Laboratories (ABT) and Cree, Inc. (CREE)

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	0.46 % minus 1.08 % = -0.61 %	-5.20 %
Future5SesAvgClose	0.33 % minus 0.25 % = 0.08 %	4.18 %
Future2SesAvgClose	-0.13 % minus 0.13 % = -0.27 %	-33.79 %
Sell Signals - 18 instances
Future30SesAvgClose	1.38 % minus 1.08 % = 0.30 %	2.52 %
Future5SesAvgClose	1.10 % minus 0.25 % = 0.84 %	42.90 %
Future2SesAvgClose	1.06 % minus 0.13 % = 0.92 %	117.46 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 126 instances
Future30SesAvgClose	1.11 % minus 1.08 % = 0.03 %	0.28 %
Future5SesAvgClose	0.27 % minus 0.25 % = 0.01 %	0.73 %
Future2SesAvgClose	0.10 % minus 0.13 % = -0.03 %	-3.95 %
Sell Signals - 125 instances
Future30SesAvgClose	0.89 % minus 1.08 % = -0.19 %	-1.61 %
Future5SesAvgClose	0.02 % minus 0.25 % = -0.23 %	-11.88 %
Future2SesAvgClose	0.29 % minus 0.13 % = 0.16 %	19.80 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 35 instances
Future30SesAvgClose	1.58 % minus 1.08 % = 0.50 %	4.24 %
Future5SesAvgClose	1.16 % minus 0.25 % = 0.91 %	46.16 %
Future2SesAvgClose	0.98 % minus 0.13 % = 0.85 %	108.24 %
Sell Signals - 34 instances
Future30SesAvgClose	0.50 % minus 1.08 % = -0.58 %	-4.92 %
Future5SesAvgClose	-0.96 % minus 0.25 % = -1.21 %	-61.55 %
Future2SesAvgClose	-0.66 % minus 0.13 % = -0.79 %	-100.71 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 408 instances
Future30SesAvgClose	1.40 % minus 1.08 % = 0.33 %	2.75 %
Future5SesAvgClose	0.22 % minus 0.25 % = -0.03 %	-1.48 %
Future2SesAvgClose	0.17 % minus 0.13 % = 0.04 %	5.44 %
Sell Signals - 408 instances
Future30SesAvgClose	1.50 % minus 1.08 % = 0.42 %	3.56 %
Future5SesAvgClose	0.07 % minus 0.25 % = -0.18 %	-9.36 %
Future2SesAvgClose	-0.02 % minus 0.13 % = -0.15 %	-19.20 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 572 instances
Future30SesAvgClose	1.28 % minus 1.08 % = 0.20 %	1.73 %
Future5SesAvgClose	0.39 % minus 0.25 % = 0.14 %	7.04 %
Future2SesAvgClose	0.21 % minus 0.13 % = 0.08 %	10.03 %
Sell Signals - 572 instances
Future30SesAvgClose	1.19 % minus 1.08 % = 0.12 %	0.99 %
Future5SesAvgClose	0.32 % minus 0.25 % = 0.07 %	3.71 %
Future2SesAvgClose	0.23 % minus 0.13 % = 0.10 %	12.12 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 226 instances
Future30SesAvgClose	1.45 % minus 1.08 % = 0.37 %	3.12 %
Future5SesAvgClose	0.34 % minus 0.25 % = 0.09 %	4.61 %
Future2SesAvgClose	0.35 % minus 0.13 % = 0.22 %	27.42 %
Sell Signals - 227 instances
Future30SesAvgClose	1.64 % minus 1.08 % = 0.56 %	4.73 %
Future5SesAvgClose	0.45 % minus 0.25 % = 0.20 %	9.99 %
Future2SesAvgClose	0.18 % minus 0.13 % = 0.05 %	5.79 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 135 instances
Future30SesAvgClose	1.41 % minus 1.08 % = 0.33 %	2.82 %
Future5SesAvgClose	0.52 % minus 0.25 % = 0.27 %	13.61 %
Future2SesAvgClose	0.29 % minus 0.13 % = 0.16 %	20.35 %
Sell Signals - 136 instances
Future30SesAvgClose	1.29 % minus 1.08 % = 0.21 %	1.76 %
Future5SesAvgClose	0.30 % minus 0.25 % = 0.05 %	2.55 %
Future2SesAvgClose	0.00 % minus 0.13 % = -0.13 %	-16.45 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 24 instances
Future30SesAvgClose	0.69 % minus 1.08 % = -0.39 %	-3.28 %
Future5SesAvgClose	0.29 % minus 0.25 % = 0.03 %	1.73 %
Future2SesAvgClose	0.15 % minus 0.13 % = 0.02 %	2.89 %
Sell Signals - 20 instances
Future30SesAvgClose	-0.13 % minus 1.08 % = -1.21 %	-10.26 %
Future5SesAvgClose	0.39 % minus 0.25 % = 0.14 %	7.01 %
Future2SesAvgClose	-0.06 % minus 0.13 % = -0.19 %	-24.16 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 158 instances
Future30SesAvgClose	1.90 % minus 1.08 % = 0.82 %	6.97 %
Future5SesAvgClose	0.81 % minus 0.25 % = 0.56 %	28.30 %
Future2SesAvgClose	0.38 % minus 0.13 % = 0.25 %	31.20 %
Sell Signals - 119 instances
Future30SesAvgClose	-0.34 % minus 1.08 % = -1.41 %	-11.97 %
Future5SesAvgClose	-0.46 % minus 0.25 % = -0.71 %	-35.97 %
Future2SesAvgClose	-0.01 % minus 0.13 % = -0.15 %	-18.49 %
	.

The best buy signal for 30 future sessions was 0.82 % from the Projected Crossing of SMA 5/20.,and the best sell signal for was -1.41 % from the Projected Crossing of SMA 5/20..

For 5 future sessions the best buy signal was 0.91 % from the Moving Avg. 5/200 Divergence,and the best sell signal was -1.21 % from the Moving Avg. 5/200 Divergence.

The best buy signal for 2 future sessions was 0.85 % from the Moving Avg. 5/200 Divergence,and the best sell signal was -0.79 % from the Moving Avg. 5/200 Divergence.

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