Moving Average Analysis of TSO

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From the Weekend Report 11/5/2010: The MACD Cycle is in phase one here, with TSO 13.00 % above the 200 bar SMA, increasing the distance over the week.

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This page looks at the predictive abilities of different methods of averaging applied to TSO 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 TSO 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 G. Fosback has noted that legitimate signals of this sort will normally be evident through a variety of averaging methods.

	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 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 - 32 instances
Future30SesAvgClose	2.35 % minus 1.01 % = 1.34 %	11.39 %
Future5SesAvgClose	1.35 % minus 0.20 % = 1.16 %	58.79 %
Future2SesAvgClose	0.99 % minus 0.10 % = 0.89 %	113.17 %
Sell Signals - 31 instances
Future30SesAvgClose	2.91 % minus 1.01 % = 1.90 %	16.13 %
Future5SesAvgClose	1.30 % minus 0.20 % = 1.10 %	55.99 %
Future2SesAvgClose	1.25 % minus 0.10 % = 1.15 %	146.43 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 189 instances
Future30SesAvgClose	-0.11 % minus 1.01 % = -1.11 %	-9.42 %
Future5SesAvgClose	0.14 % minus 0.20 % = -0.06 %	-2.83 %
Future2SesAvgClose	0.30 % minus 0.10 % = 0.20 %	25.77 %
Sell Signals - 189 instances
Future30SesAvgClose	1.14 % minus 1.01 % = 0.13 %	1.14 %
Future5SesAvgClose	0.51 % minus 0.20 % = 0.32 %	16.18 %
Future2SesAvgClose	0.36 % minus 0.10 % = 0.26 %	32.57 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 48 instances
Future30SesAvgClose	1.19 % minus 1.01 % = 0.18 %	1.54 %
Future5SesAvgClose	-0.32 % minus 0.20 % = -0.51 %	-25.98 %
Future2SesAvgClose	-0.24 % minus 0.10 % = -0.34 %	-43.25 %
Sell Signals - 48 instances
Future30SesAvgClose	2.48 % minus 1.01 % = 1.47 %	12.46 %
Future5SesAvgClose	0.19 % minus 0.20 % = -0.01 %	-0.33 %
Future2SesAvgClose	0.59 % minus 0.10 % = 0.49 %	62.22 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 632 instances
Future30SesAvgClose	0.70 % minus 1.01 % = -0.31 %	-2.63 %
Future5SesAvgClose	-0.24 % minus 0.20 % = -0.43 %	-21.96 %
Future2SesAvgClose	-0.19 % minus 0.10 % = -0.29 %	-37.19 %
Sell Signals - 633 instances
Future30SesAvgClose	0.84 % minus 1.01 % = -0.16 %	-1.38 %
Future5SesAvgClose	-0.14 % minus 0.20 % = -0.33 %	-16.87 %
Future2SesAvgClose	-0.17 % minus 0.10 % = -0.27 %	-34.38 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 898 instances
Future30SesAvgClose	0.81 % minus 1.01 % = -0.19 %	-1.63 %
Future5SesAvgClose	0.01 % minus 0.20 % = -0.19 %	-9.60 %
Future2SesAvgClose	-0.05 % minus 0.10 % = -0.15 %	-19.12 %
Sell Signals - 897 instances
Future30SesAvgClose	0.82 % minus 1.01 % = -0.19 %	-1.59 %
Future5SesAvgClose	0.07 % minus 0.20 % = -0.13 %	-6.56 %
Future2SesAvgClose	0.06 % minus 0.10 % = -0.04 %	-5.30 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 343 instances
Future30SesAvgClose	1.03 % minus 1.01 % = 0.02 %	0.21 %
Future5SesAvgClose	0.43 % minus 0.20 % = 0.23 %	11.84 %
Future2SesAvgClose	0.19 % minus 0.10 % = 0.09 %	11.56 %
Sell Signals - 341 instances
Future30SesAvgClose	0.18 % minus 1.01 % = -0.82 %	-6.97 %
Future5SesAvgClose	0.06 % minus 0.20 % = -0.13 %	-6.69 %
Future2SesAvgClose	-0.01 % minus 0.10 % = -0.11 %	-13.62 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 220 instances
Future30SesAvgClose	0.59 % minus 1.01 % = -0.42 %	-3.54 %
Future5SesAvgClose	0.20 % minus 0.20 % = 0.00 %	0.18 %
Future2SesAvgClose	0.19 % minus 0.10 % = 0.09 %	11.29 %
Sell Signals - 220 instances
Future30SesAvgClose	-0.37 % minus 1.01 % = -1.38 %	-11.69 %
Future5SesAvgClose	0.02 % minus 0.20 % = -0.17 %	-8.87 %
Future2SesAvgClose	0.05 % minus 0.10 % = -0.05 %	-6.69 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 38 instances
Future30SesAvgClose	2.23 % minus 1.01 % = 1.22 %	10.34 %
Future5SesAvgClose	0.35 % minus 0.20 % = 0.15 %	7.57 %
Future2SesAvgClose	-0.08 % minus 0.10 % = -0.18 %	-22.35 %
Sell Signals - 30 instances
Future30SesAvgClose	2.76 % minus 1.01 % = 1.76 %	14.87 %
Future5SesAvgClose	0.76 % minus 0.20 % = 0.56 %	28.62 %
Future2SesAvgClose	0.41 % minus 0.10 % = 0.31 %	39.79 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 221 instances
Future30SesAvgClose	1.62 % minus 1.01 % = 0.62 %	5.21 %
Future5SesAvgClose	0.87 % minus 0.20 % = 0.67 %	34.02 %
Future2SesAvgClose	0.59 % minus 0.10 % = 0.49 %	62.44 %
Sell Signals - 201 instances
Future30SesAvgClose	1.44 % minus 1.01 % = 0.43 %	3.67 %
Future5SesAvgClose	-0.19 % minus 0.20 % = -0.38 %	-19.49 %
Future2SesAvgClose	-0.18 % minus 0.10 % = -0.28 %	-35.78 %
	.

The best buy signal for 30 future sessions was 1.34 % from the Moving Avg. 20/200 Divergence,and the best sell signal for was -1.38 % from the Calibrated M by Q Full Cycle Moving Avg..

For 5 future sessions the best buy signal was 1.16 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -0.38 % from the Projected Crossing of SMA 5/20..

The best buy signal for 2 future sessions was 0.89 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -0.28 % from the Projected Crossing of SMA 5/20..

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