Moving Average Indicators for PEP

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From the Weekend Report 3/5/2010: The current price is 11.00 % above the 200 bar SMA and it has increased the distance since last week. This represents phase 1 of the MACD cycle.

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This page looks at the predictive abilities of different methods of averaging applied to PEP 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 next page tests the effectiveness of these methods as predictors of future prices for PEP.

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. 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.

	Companies In the News
	Friday, March 19, 2010: We have news on L-3 Communications Holdings, Inc., ticker symbol LLL. Signs of an over-bought condition have become noticable. Also, there are breaking events concerning Mylan Inc. and TECO Energy, Inc.. From the News Archive: (3/18/2010 ) Bad news came from MicroSoft, General Electric, Sempra Energy, and Walmart.

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 - 25 instances
Future30SesAvgClose	0.54 % minus 1.09 % = -0.55 %	-4.63 %
Future5SesAvgClose	0.10 % minus 0.22 % = -0.11 %	-5.81 %
Future2SesAvgClose	-0.19 % minus 0.11 % = -0.29 %	-37.46 %
Sell Signals - 25 instances
Future30SesAvgClose	-0.12 % minus 1.09 % = -1.20 %	-10.17 %
Future5SesAvgClose	0.23 % minus 0.22 % = 0.02 %	0.96 %
Future2SesAvgClose	0.24 % minus 0.11 % = 0.13 %	16.64 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 228 instances
Future30SesAvgClose	1.18 % minus 1.09 % = 0.10 %	0.83 %
Future5SesAvgClose	0.45 % minus 0.22 % = 0.23 %	11.73 %
Future2SesAvgClose	0.24 % minus 0.11 % = 0.13 %	17.07 %
Sell Signals - 227 instances
Future30SesAvgClose	0.57 % minus 1.09 % = -0.51 %	-4.32 %
Future5SesAvgClose	-0.05 % minus 0.22 % = -0.26 %	-13.35 %
Future2SesAvgClose	0.00 % minus 0.11 % = -0.11 %	-14.38 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 49 instances
Future30SesAvgClose	1.38 % minus 1.09 % = 0.30 %	2.53 %
Future5SesAvgClose	0.70 % minus 0.22 % = 0.48 %	24.39 %
Future2SesAvgClose	0.43 % minus 0.11 % = 0.32 %	40.90 %
Sell Signals - 49 instances
Future30SesAvgClose	0.59 % minus 1.09 % = -0.50 %	-4.21 %
Future5SesAvgClose	0.01 % minus 0.22 % = -0.20 %	-10.38 %
Future2SesAvgClose	-0.19 % minus 0.11 % = -0.30 %	-38.09 %
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MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 773 instances
Future30SesAvgClose	1.09 % minus 1.09 % = 0.00 %	0.01 %
Future5SesAvgClose	0.27 % minus 0.22 % = 0.06 %	2.83 %
Future2SesAvgClose	0.14 % minus 0.11 % = 0.04 %	4.49 %
Sell Signals - 772 instances
Future30SesAvgClose	1.07 % minus 1.09 % = -0.01 %	-0.10 %
Future5SesAvgClose	0.25 % minus 0.22 % = 0.03 %	1.61 %
Future2SesAvgClose	0.16 % minus 0.11 % = 0.05 %	6.61 %
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MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 1021 instances
Future30SesAvgClose	0.97 % minus 1.09 % = -0.11 %	-0.96 %
Future5SesAvgClose	0.24 % minus 0.22 % = 0.03 %	1.29 %
Future2SesAvgClose	0.16 % minus 0.11 % = 0.05 %	6.52 %
Sell Signals - 1021 instances
Future30SesAvgClose	0.98 % minus 1.09 % = -0.11 %	-0.91 %
Future5SesAvgClose	0.21 % minus 0.22 % = -0.01 %	-0.44 %
Future2SesAvgClose	0.03 % minus 0.11 % = -0.08 %	-9.53 %
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Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 442 instances
Future30SesAvgClose	0.64 % minus 1.09 % = -0.45 %	-3.79 %
Future5SesAvgClose	0.04 % minus 0.22 % = -0.18 %	-9.10 %
Future2SesAvgClose	-0.01 % minus 0.11 % = -0.12 %	-15.56 %
Sell Signals - 443 instances
Future30SesAvgClose	1.02 % minus 1.09 % = -0.06 %	-0.55 %
Future5SesAvgClose	0.23 % minus 0.22 % = 0.02 %	0.76 %
Future2SesAvgClose	0.15 % minus 0.11 % = 0.04 %	4.67 %
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Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 295 instances
Future30SesAvgClose	0.94 % minus 1.09 % = -0.15 %	-1.24 %
Future5SesAvgClose	0.03 % minus 0.22 % = -0.19 %	-9.49 %
Future2SesAvgClose	-0.07 % minus 0.11 % = -0.18 %	-22.32 %
Sell Signals - 296 instances
Future30SesAvgClose	1.17 % minus 1.09 % = 0.09 %	0.74 %
Future5SesAvgClose	0.26 % minus 0.22 % = 0.05 %	2.41 %
Future2SesAvgClose	0.15 % minus 0.11 % = 0.05 %	5.78 %
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Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 31 instances
Future30SesAvgClose	0.58 % minus 1.09 % = -0.51 %	-4.28 %
Future5SesAvgClose	0.25 % minus 0.22 % = 0.04 %	1.97 %
Future2SesAvgClose	0.25 % minus 0.11 % = 0.14 %	18.29 %
Sell Signals - 27 instances
Future30SesAvgClose	-0.14 % minus 1.09 % = -1.23 %	-10.39 %
Future5SesAvgClose	-0.19 % minus 0.22 % = -0.41 %	-20.81 %
Future2SesAvgClose	-0.33 % minus 0.11 % = -0.44 %	-55.94 %
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Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 281 instances
Future30SesAvgClose	1.43 % minus 1.09 % = 0.34 %	2.91 %
Future5SesAvgClose	0.43 % minus 0.22 % = 0.21 %	10.87 %
Future2SesAvgClose	0.16 % minus 0.11 % = 0.06 %	7.08 %
Sell Signals - 210 instances
Future30SesAvgClose	0.34 % minus 1.09 % = -0.74 %	-6.30 %
Future5SesAvgClose	-0.18 % minus 0.22 % = -0.40 %	-20.21 %
Future2SesAvgClose	-0.08 % minus 0.11 % = -0.19 %	-23.74 %
	.

The best buy signal for 30 future sessions was 0.34 % from the Projected Crossing of SMA 5/20.,and the best sell signal for was -1.23 % from the Projected Crossing of SMA 20/200..

For 5 future sessions the best buy signal was 0.48 % from the Moving Avg. 5/200 Divergence,and the best sell signal was -0.41 % from the Projected Crossing of SMA 20/200..

The best buy signal for 2 future sessions was 0.32 % from the Moving Avg. 5/200 Divergence,and the best sell signal was -0.44 % from the Projected Crossing of SMA 20/200..

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