Moving Average Analysis of PGR

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From the Weekend Report 11/5/2010: After increasing the spread over the week, PGR is now 13.00 % above the 200 session Simple Moving Average.

PGR: Recent Averages with Candlestick Chart.

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Different ways of averaging are tested on PGR 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 PGR.

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. 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. A good un-ambiguous signal will be noticable through a variety of averaging methods, including some of the most simple.

Moving Average Convergence of The Progressive Corporation

	Companies In the News
	Monday, November 15, 2010: We have news on PG&E Corporation, ticker symbol PCG. A significant moving average event has happened. Also, there are breaking events concerning Cree, Inc. and Abbott Laboratories. From the News Archive: (11/12/2010 ) A favorable event happened at PetSmart, Inc. Meanwhile, bad news came from Intel, Chesapeake Energy Corporation, and JP Morgan Chase.

MACD analysis is dangerously suited for overtuning, since it may use any of an infinite number of averaging methods and coefficients. In addition to crossover signals based on moving averages, 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 - 23 instances
Future30SesAvgClose	1.72 % minus 1.17 % = 0.54 %	4.61 %
Future5SesAvgClose	1.36 % minus 0.23 % = 1.13 %	57.43 %
Future2SesAvgClose	1.60 % minus 0.11 % = 1.49 %	189.06 %
Sell Signals - 23 instances
Future30SesAvgClose	0.12 % minus 1.17 % = -1.05 %	-8.87 %
Future5SesAvgClose	-0.14 % minus 0.23 % = -0.36 %	-18.42 %
Future2SesAvgClose	-0.10 % minus 0.11 % = -0.21 %	-26.57 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 162 instances
Future30SesAvgClose	0.71 % minus 1.17 % = -0.46 %	-3.88 %
Future5SesAvgClose	0.01 % minus 0.23 % = -0.21 %	-10.80 %
Future2SesAvgClose	0.04 % minus 0.11 % = -0.07 %	-8.97 %
Sell Signals - 162 instances
Future30SesAvgClose	1.17 % minus 1.17 % = 0.00 %	0.00 %
Future5SesAvgClose	0.25 % minus 0.23 % = 0.03 %	1.39 %
Future2SesAvgClose	0.13 % minus 0.11 % = 0.02 %	1.93 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 32 instances
Future30SesAvgClose	1.02 % minus 1.17 % = -0.16 %	-1.32 %
Future5SesAvgClose	-0.13 % minus 0.23 % = -0.36 %	-18.17 %
Future2SesAvgClose	-0.17 % minus 0.11 % = -0.28 %	-35.89 %
Sell Signals - 32 instances
Future30SesAvgClose	1.31 % minus 1.17 % = 0.13 %	1.14 %
Future5SesAvgClose	0.72 % minus 0.23 % = 0.49 %	25.01 %
Future2SesAvgClose	0.35 % minus 0.11 % = 0.23 %	29.49 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 519 instances
Future30SesAvgClose	1.13 % minus 1.17 % = -0.05 %	-0.40 %
Future5SesAvgClose	0.24 % minus 0.23 % = 0.01 %	0.53 %
Future2SesAvgClose	0.06 % minus 0.11 % = -0.05 %	-6.44 %
Sell Signals - 519 instances
Future30SesAvgClose	1.17 % minus 1.17 % = 0.00 %	-0.02 %
Future5SesAvgClose	0.19 % minus 0.23 % = -0.03 %	-1.65 %
Future2SesAvgClose	0.07 % minus 0.11 % = -0.04 %	-5.65 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 748 instances
Future30SesAvgClose	1.17 % minus 1.17 % = 0.00 %	0.02 %
Future5SesAvgClose	0.30 % minus 0.23 % = 0.07 %	3.65 %
Future2SesAvgClose	0.20 % minus 0.11 % = 0.09 %	11.27 %
Sell Signals - 748 instances
Future30SesAvgClose	1.08 % minus 1.17 % = -0.09 %	-0.77 %
Future5SesAvgClose	0.30 % minus 0.23 % = 0.08 %	3.85 %
Future2SesAvgClose	0.19 % minus 0.11 % = 0.08 %	9.77 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 291 instances
Future30SesAvgClose	0.82 % minus 1.17 % = -0.35 %	-2.97 %
Future5SesAvgClose	0.11 % minus 0.23 % = -0.11 %	-5.75 %
Future2SesAvgClose	-0.01 % minus 0.11 % = -0.12 %	-15.86 %
Sell Signals - 291 instances
Future30SesAvgClose	0.52 % minus 1.17 % = -0.65 %	-5.51 %
Future5SesAvgClose	-0.08 % minus 0.23 % = -0.30 %	-15.34 %
Future2SesAvgClose	-0.08 % minus 0.11 % = -0.19 %	-24.66 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 214 instances
Future30SesAvgClose	1.47 % minus 1.17 % = 0.30 %	2.53 %
Future5SesAvgClose	-0.04 % minus 0.23 % = -0.26 %	-13.38 %
Future2SesAvgClose	-0.11 % minus 0.11 % = -0.22 %	-28.28 %
Sell Signals - 214 instances
Future30SesAvgClose	1.28 % minus 1.17 % = 0.11 %	0.94 %
Future5SesAvgClose	-0.04 % minus 0.23 % = -0.27 %	-13.47 %
Future2SesAvgClose	0.07 % minus 0.11 % = -0.05 %	-5.87 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 23 instances
Future30SesAvgClose	0.43 % minus 1.17 % = -0.74 %	-6.28 %
Future5SesAvgClose	-0.66 % minus 0.23 % = -0.89 %	-45.21 %
Future2SesAvgClose	-0.63 % minus 0.11 % = -0.74 %	-94.22 %
Sell Signals - 29 instances
Future30SesAvgClose	0.06 % minus 1.17 % = -1.11 %	-9.40 %
Future5SesAvgClose	-0.18 % minus 0.23 % = -0.40 %	-20.41 %
Future2SesAvgClose	-0.05 % minus 0.11 % = -0.17 %	-21.13 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 205 instances
Future30SesAvgClose	0.35 % minus 1.17 % = -0.82 %	-6.97 %
Future5SesAvgClose	-0.09 % minus 0.23 % = -0.32 %	-16.12 %
Future2SesAvgClose	-0.04 % minus 0.11 % = -0.15 %	-19.28 %
Sell Signals - 160 instances
Future30SesAvgClose	1.80 % minus 1.17 % = 0.62 %	5.27 %
Future5SesAvgClose	0.51 % minus 0.23 % = 0.29 %	14.69 %
Future2SesAvgClose	0.46 % minus 0.11 % = 0.35 %	44.59 %
	.

The best buy signal for 30 future sessions was 0.54 % from the Moving Avg. 20/200 Divergence,and the best sell signal for was -1.11 % from the Projected Crossing of SMA 20/200..

For 5 future sessions the best buy signal was 1.13 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -0.40 % from the Projected Crossing of SMA 20/200..

The best buy signal for 2 future sessions was 1.49 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -0.21 % from the Moving Avg. 20/200 Divergence.

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