Moving Average Analysis of R

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From the Weekend Report 1/22/2010: R is now in phase two of the oscillation cycle around the 200 session average. The price is 6.00 % above the line, but some convergence has taken place during the week.

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Different ways of averaging are tested on R 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 effectiveness of these methods as applied to R stock price trend evaluation is tested on the next page.

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 Ryder System, Inc.

	Companies In the News
	Friday, February 05, 2010: We have news on Genzyme Corporation, ticker symbol GENZ. A significant moving average event has happened. Also, there are breaking events concerning Archer-Daniels-Midland and Pactiv Corporation. From the News Archive: (2/5/2010 ) Favorable events happened at Wells Fargo & Company, Marathon Oil Corporation, Dell Inc., and Principal Financial Group, Inc..

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 - 29 instances
Future30SesAvgClose	-0.18 % minus 1.06 % = -1.24 %	-10.50 %
Future5SesAvgClose	-0.02 % minus 0.21 % = -0.23 %	-11.64 %
Future2SesAvgClose	-0.27 % minus 0.10 % = -0.38 %	-47.72 %
Sell Signals - 29 instances
Future30SesAvgClose	-0.13 % minus 1.06 % = -1.19 %	-10.09 %
Future5SesAvgClose	0.17 % minus 0.21 % = -0.04 %	-2.05 %
Future2SesAvgClose	0.27 % minus 0.10 % = 0.16 %	20.35 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 215 instances
Future30SesAvgClose	1.20 % minus 1.06 % = 0.14 %	1.23 %
Future5SesAvgClose	0.07 % minus 0.21 % = -0.14 %	-6.90 %
Future2SesAvgClose	-0.09 % minus 0.10 % = -0.19 %	-24.50 %
Sell Signals - 214 instances
Future30SesAvgClose	1.00 % minus 1.06 % = -0.06 %	-0.51 %
Future5SesAvgClose	0.40 % minus 0.21 % = 0.19 %	9.46 %
Future2SesAvgClose	0.20 % minus 0.10 % = 0.10 %	12.30 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 47 instances
Future30SesAvgClose	1.18 % minus 1.06 % = 0.12 %	1.04 %
Future5SesAvgClose	0.77 % minus 0.21 % = 0.56 %	28.50 %
Future2SesAvgClose	0.23 % minus 0.10 % = 0.12 %	15.48 %
Sell Signals - 47 instances
Future30SesAvgClose	2.47 % minus 1.06 % = 1.41 %	11.95 %
Future5SesAvgClose	1.05 % minus 0.21 % = 0.84 %	42.73 %
Future2SesAvgClose	0.58 % minus 0.10 % = 0.47 %	59.84 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 667 instances
Future30SesAvgClose	1.26 % minus 1.06 % = 0.20 %	1.73 %
Future5SesAvgClose	0.48 % minus 0.21 % = 0.27 %	13.69 %
Future2SesAvgClose	0.23 % minus 0.10 % = 0.13 %	15.92 %
Sell Signals - 666 instances
Future30SesAvgClose	0.96 % minus 1.06 % = -0.10 %	-0.84 %
Future5SesAvgClose	0.29 % minus 0.21 % = 0.08 %	4.08 %
Future2SesAvgClose	0.08 % minus 0.10 % = -0.02 %	-3.11 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 896 instances
Future30SesAvgClose	0.63 % minus 1.06 % = -0.42 %	-3.59 %
Future5SesAvgClose	0.13 % minus 0.21 % = -0.08 %	-4.24 %
Future2SesAvgClose	0.03 % minus 0.10 % = -0.08 %	-9.75 %
Sell Signals - 896 instances
Future30SesAvgClose	0.78 % minus 1.06 % = -0.28 %	-2.33 %
Future5SesAvgClose	0.07 % minus 0.21 % = -0.14 %	-7.24 %
Future2SesAvgClose	-0.02 % minus 0.10 % = -0.13 %	-16.39 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 371 instances
Future30SesAvgClose	0.99 % minus 1.06 % = -0.07 %	-0.61 %
Future5SesAvgClose	0.26 % minus 0.21 % = 0.05 %	2.51 %
Future2SesAvgClose	0.17 % minus 0.10 % = 0.07 %	8.57 %
Sell Signals - 372 instances
Future30SesAvgClose	0.95 % minus 1.06 % = -0.11 %	-0.94 %
Future5SesAvgClose	0.05 % minus 0.21 % = -0.16 %	-8.34 %
Future2SesAvgClose	0.03 % minus 0.10 % = -0.08 %	-9.88 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 260 instances
Future30SesAvgClose	1.06 % minus 1.06 % = 0.01 %	0.05 %
Future5SesAvgClose	0.61 % minus 0.21 % = 0.40 %	20.49 %
Future2SesAvgClose	0.34 % minus 0.10 % = 0.23 %	29.73 %
Sell Signals - 260 instances
Future30SesAvgClose	1.29 % minus 1.06 % = 0.24 %	2.00 %
Future5SesAvgClose	0.50 % minus 0.21 % = 0.29 %	14.84 %
Future2SesAvgClose	0.15 % minus 0.10 % = 0.04 %	5.60 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 45 instances
Future30SesAvgClose	-0.37 % minus 1.06 % = -1.42 %	-12.05 %
Future5SesAvgClose	0.20 % minus 0.21 % = -0.01 %	-0.68 %
Future2SesAvgClose	0.00 % minus 0.10 % = -0.11 %	-13.90 %
Sell Signals - 32 instances
Future30SesAvgClose	1.93 % minus 1.06 % = 0.87 %	7.39 %
Future5SesAvgClose	1.66 % minus 0.21 % = 1.45 %	73.72 %
Future2SesAvgClose	1.08 % minus 0.10 % = 0.97 %	123.51 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 256 instances
Future30SesAvgClose	0.48 % minus 1.06 % = -0.58 %	-4.90 %
Future5SesAvgClose	0.00 % minus 0.21 % = -0.21 %	-10.44 %
Future2SesAvgClose	0.04 % minus 0.10 % = -0.07 %	-8.71 %
Sell Signals - 226 instances
Future30SesAvgClose	0.53 % minus 1.06 % = -0.53 %	-4.48 %
Future5SesAvgClose	0.28 % minus 0.21 % = 0.07 %	3.36 %
Future2SesAvgClose	0.17 % minus 0.10 % = 0.06 %	8.06 %
	.

The best buy signal for 30 future sessions was 0.20 % from the MACD 12/26 Divergence,and the best sell signal for was -1.19 % from the Moving Avg. 20/200 Divergence.

For 5 future sessions the best buy signal was 0.56 % from the Moving Avg. 5/200 Divergence,and the best sell signal was -0.16 % from the Calibrated M by Q Half Cycle Moving Avg..

The best buy signal for 2 future sessions was 0.23 % from the Calibrated M by Q Full Cycle Moving Avg.,and the best sell signal was -0.13 % from the MACD 12/26 Signal.

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