Moving Average Analysis of PEG

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From the Weekend Report 3/12/2010: There has not been much change in the phase of the 200 day moving average since this time last week.

Recent Averages with Candlestick Chart. of Public Service Enterprise Group Inc.

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

Green is the 20 bar moving average, while the 200 session average is red. Often the simple unweighted moving averages seen in this plot will give a more accurate indicator, with fewer false signals than some of the supposedly more sophisticated techniques that we test below. 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 Public Service Enterprise Group Inc.

	Companies In the News
	In the news, Friday, March 19, 2010: A favorable condition has developed with Pre-Paid Legal, ticker symbol PPD. Also, there are breaking events concerning Cincinnati Financial Corporation (CINF) and American Tower Corporation (AMT)

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 - 17 instances
Future30SesAvgClose	0.28 % minus 1.98 % = -1.70 %	-14.38 %
Future5SesAvgClose	-1.00 % minus 0.42 % = -1.42 %	-72.04 %
Future2SesAvgClose	-0.35 % minus 0.22 % = -0.58 %	-73.09 %
Sell Signals - 16 instances
Future30SesAvgClose	0.20 % minus 1.98 % = -1.78 %	-15.11 %
Future5SesAvgClose	-0.14 % minus 0.42 % = -0.56 %	-28.29 %
Future2SesAvgClose	-0.35 % minus 0.22 % = -0.57 %	-72.75 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 201 instances
Future30SesAvgClose	2.45 % minus 1.98 % = 0.46 %	3.93 %
Future5SesAvgClose	0.90 % minus 0.42 % = 0.49 %	24.69 %
Future2SesAvgClose	0.44 % minus 0.22 % = 0.22 %	27.76 %
Sell Signals - 185 instances
Future30SesAvgClose	1.22 % minus 1.98 % = -0.77 %	-6.48 %
Future5SesAvgClose	0.11 % minus 0.42 % = -0.31 %	-15.76 %
Future2SesAvgClose	0.03 % minus 0.22 % = -0.19 %	-24.51 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 35 instances
Future30SesAvgClose	1.08 % minus 1.98 % = -0.90 %	-7.61 %
Future5SesAvgClose	-0.20 % minus 0.42 % = -0.62 %	-31.46 %
Future2SesAvgClose	-0.04 % minus 0.22 % = -0.27 %	-33.66 %
Sell Signals - 33 instances
Future30SesAvgClose	0.32 % minus 1.98 % = -1.66 %	-14.06 %
Future5SesAvgClose	-0.36 % minus 0.42 % = -0.78 %	-39.72 %
Future2SesAvgClose	-0.28 % minus 0.22 % = -0.50 %	-63.60 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 631 instances
Future30SesAvgClose	1.36 % minus 1.98 % = -0.62 %	-5.24 %
Future5SesAvgClose	0.16 % minus 0.42 % = -0.26 %	-13.15 %
Future2SesAvgClose	0.03 % minus 0.22 % = -0.19 %	-24.74 %
Sell Signals - 616 instances
Future30SesAvgClose	1.44 % minus 1.98 % = -0.54 %	-4.55 %
Future5SesAvgClose	0.20 % minus 0.42 % = -0.22 %	-10.98 %
Future2SesAvgClose	0.06 % minus 0.22 % = -0.16 %	-20.10 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 873 instances
Future30SesAvgClose	1.78 % minus 1.98 % = -0.20 %	-1.71 %
Future5SesAvgClose	0.37 % minus 0.42 % = -0.05 %	-2.42 %
Future2SesAvgClose	0.15 % minus 0.22 % = -0.07 %	-9.28 %
Sell Signals - 874 instances
Future30SesAvgClose	1.55 % minus 1.98 % = -0.43 %	-3.63 %
Future5SesAvgClose	0.25 % minus 0.42 % = -0.17 %	-8.62 %
Future2SesAvgClose	0.04 % minus 0.22 % = -0.18 %	-22.89 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 336 instances
Future30SesAvgClose	0.96 % minus 1.98 % = -1.02 %	-8.61 %
Future5SesAvgClose	-0.18 % minus 0.42 % = -0.60 %	-30.53 %
Future2SesAvgClose	-0.14 % minus 0.22 % = -0.36 %	-45.74 %
Sell Signals - 345 instances
Future30SesAvgClose	2.55 % minus 1.98 % = 0.56 %	4.77 %
Future5SesAvgClose	1.05 % minus 0.42 % = 0.63 %	32.24 %
Future2SesAvgClose	0.61 % minus 0.22 % = 0.39 %	49.62 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 235 instances
Future30SesAvgClose	1.12 % minus 1.98 % = -0.86 %	-7.31 %
Future5SesAvgClose	-0.26 % minus 0.42 % = -0.68 %	-34.62 %
Future2SesAvgClose	-0.27 % minus 0.22 % = -0.49 %	-62.24 %
Sell Signals - 240 instances
Future30SesAvgClose	3.76 % minus 1.98 % = 1.78 %	15.07 %
Future5SesAvgClose	1.92 % minus 0.42 % = 1.50 %	76.11 %
Future2SesAvgClose	1.46 % minus 0.22 % = 1.24 %	157.70 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 27 instances
Future30SesAvgClose	0.93 % minus 1.98 % = -1.05 %	-8.92 %
Future5SesAvgClose	0.13 % minus 0.42 % = -0.28 %	-14.47 %
Future2SesAvgClose	-0.14 % minus 0.22 % = -0.37 %	-46.55 %
Sell Signals - 18 instances
Future30SesAvgClose	-0.34 % minus 1.98 % = -2.33 %	-19.69 %
Future5SesAvgClose	-0.33 % minus 0.42 % = -0.75 %	-37.94 %
Future2SesAvgClose	-0.27 % minus 0.22 % = -0.49 %	-62.85 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 259 instances
Future30SesAvgClose	1.80 % minus 1.98 % = -0.18 %	-1.55 %
Future5SesAvgClose	0.57 % minus 0.42 % = 0.15 %	7.55 %
Future2SesAvgClose	0.37 % minus 0.22 % = 0.14 %	18.24 %
Sell Signals - 156 instances
Future30SesAvgClose	1.96 % minus 1.98 % = -0.03 %	-0.23 %
Future5SesAvgClose	0.37 % minus 0.42 % = -0.05 %	-2.31 %
Future2SesAvgClose	0.29 % minus 0.22 % = 0.06 %	8.00 %
	.

The best buy signal for 30 future sessions was 0.46 % from the Moving Avg. 5/20 Divergence,and the best sell signal for was -2.33 % from the Projected Crossing of SMA 20/200..

For 5 future sessions the best buy signal was 0.49 % from the Moving Avg. 5/20 Divergence,and the best sell signal was -0.78 % from the Moving Avg. 5/200 Divergence.

The best buy signal for 2 future sessions was 0.22 % from the Moving Avg. 5/20 Divergence,and the best sell signal was -0.57 % from the Moving Avg. 20/200 Divergence.

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