Moving Average Analysis of NSC

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From the Weekend Report 11/5/2010: Since the previous week the phase of the oscillator around the 200 bar average is almost unchanged.

NSC: Recent Averages with Candlestick Chart.

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This page looks at the predictive abilities of different methods of averaging applied to NSC 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 effectiveness of these methods as applied to NSC stock price trend evaluation is tested on the next page.

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

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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 - 23 instances
Future30SesAvgClose	0.86 % minus 1.19 % = -0.33 %	-2.77 %
Future5SesAvgClose	1.23 % minus 0.24 % = 0.99 %	50.30 %
Future2SesAvgClose	0.78 % minus 0.12 % = 0.66 %	83.75 %
Sell Signals - 23 instances
Future30SesAvgClose	-0.88 % minus 1.19 % = -2.07 %	-17.49 %
Future5SesAvgClose	-1.22 % minus 0.24 % = -1.46 %	-74.08 %
Future2SesAvgClose	-0.74 % minus 0.12 % = -0.86 %	-109.56 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 218 instances
Future30SesAvgClose	1.53 % minus 1.19 % = 0.34 %	2.90 %
Future5SesAvgClose	0.45 % minus 0.24 % = 0.21 %	10.68 %
Future2SesAvgClose	0.43 % minus 0.12 % = 0.31 %	39.59 %
Sell Signals - 218 instances
Future30SesAvgClose	0.66 % minus 1.19 % = -0.53 %	-4.51 %
Future5SesAvgClose	0.17 % minus 0.24 % = -0.06 %	-3.28 %
Future2SesAvgClose	0.11 % minus 0.12 % = -0.01 %	-1.48 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 49 instances
Future30SesAvgClose	1.94 % minus 1.19 % = 0.75 %	6.37 %
Future5SesAvgClose	1.05 % minus 0.24 % = 0.81 %	41.15 %
Future2SesAvgClose	0.65 % minus 0.12 % = 0.54 %	68.10 %
Sell Signals - 49 instances
Future30SesAvgClose	0.41 % minus 1.19 % = -0.77 %	-6.56 %
Future5SesAvgClose	0.07 % minus 0.24 % = -0.17 %	-8.41 %
Future2SesAvgClose	-0.33 % minus 0.12 % = -0.45 %	-57.23 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 698 instances
Future30SesAvgClose	0.93 % minus 1.19 % = -0.26 %	-2.20 %
Future5SesAvgClose	0.09 % minus 0.24 % = -0.15 %	-7.49 %
Future2SesAvgClose	-0.01 % minus 0.12 % = -0.13 %	-16.87 %
Sell Signals - 698 instances
Future30SesAvgClose	0.92 % minus 1.19 % = -0.27 %	-2.24 %
Future5SesAvgClose	0.14 % minus 0.24 % = -0.10 %	-4.92 %
Future2SesAvgClose	0.07 % minus 0.12 % = -0.05 %	-6.39 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 917 instances
Future30SesAvgClose	1.07 % minus 1.19 % = -0.12 %	-0.99 %
Future5SesAvgClose	0.11 % minus 0.24 % = -0.13 %	-6.47 %
Future2SesAvgClose	0.08 % minus 0.12 % = -0.04 %	-4.79 %
Sell Signals - 916 instances
Future30SesAvgClose	1.18 % minus 1.19 % = -0.01 %	-0.10 %
Future5SesAvgClose	0.13 % minus 0.24 % = -0.10 %	-5.23 %
Future2SesAvgClose	0.00 % minus 0.12 % = -0.12 %	-14.62 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 411 instances
Future30SesAvgClose	0.80 % minus 1.19 % = -0.39 %	-3.29 %
Future5SesAvgClose	0.19 % minus 0.24 % = -0.05 %	-2.29 %
Future2SesAvgClose	0.08 % minus 0.12 % = -0.04 %	-4.64 %
Sell Signals - 412 instances
Future30SesAvgClose	1.21 % minus 1.19 % = 0.02 %	0.18 %
Future5SesAvgClose	0.32 % minus 0.24 % = 0.08 %	4.03 %
Future2SesAvgClose	0.17 % minus 0.12 % = 0.05 %	6.60 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 274 instances
Future30SesAvgClose	1.21 % minus 1.19 % = 0.02 %	0.18 %
Future5SesAvgClose	0.35 % minus 0.24 % = 0.11 %	5.84 %
Future2SesAvgClose	0.32 % minus 0.12 % = 0.20 %	25.05 %
Sell Signals - 274 instances
Future30SesAvgClose	1.48 % minus 1.19 % = 0.29 %	2.43 %
Future5SesAvgClose	0.23 % minus 0.24 % = -0.01 %	-0.54 %
Future2SesAvgClose	0.09 % minus 0.12 % = -0.02 %	-2.99 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 28 instances
Future30SesAvgClose	1.04 % minus 1.19 % = -0.15 %	-1.29 %
Future5SesAvgClose	1.25 % minus 0.24 % = 1.02 %	51.76 %
Future2SesAvgClose	1.25 % minus 0.12 % = 1.13 %	143.23 %
Sell Signals - 28 instances
Future30SesAvgClose	-0.16 % minus 1.19 % = -1.34 %	-11.38 %
Future5SesAvgClose	0.44 % minus 0.24 % = 0.20 %	10.25 %
Future2SesAvgClose	0.42 % minus 0.12 % = 0.30 %	38.29 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 248 instances
Future30SesAvgClose	1.17 % minus 1.19 % = -0.02 %	-0.13 %
Future5SesAvgClose	0.36 % minus 0.24 % = 0.12 %	6.33 %
Future2SesAvgClose	0.19 % minus 0.12 % = 0.07 %	9.27 %
Sell Signals - 209 instances
Future30SesAvgClose	0.83 % minus 1.19 % = -0.36 %	-3.02 %
Future5SesAvgClose	0.21 % minus 0.24 % = -0.02 %	-1.11 %
Future2SesAvgClose	0.16 % minus 0.12 % = 0.04 %	5.25 %
	.

The best buy signal for 30 future sessions was 0.75 % from the Moving Avg. 5/200 Divergence,and the best sell signal for was -2.07 % from the Moving Avg. 20/200 Divergence.

For 5 future sessions the best buy signal was 1.02 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -1.46 % from the Moving Avg. 20/200 Divergence.

The best buy signal for 2 future sessions was 1.13 % from the Projected Crossing of SMA 20/200.,and the best sell signal was -0.86 % from the Moving Avg. 20/200 Divergence.

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