Moving Average Analysis of USB

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From the Weekend Report 11/5/2010: After increasing the spread over the week, USB is now 9.00 % above the 200 session Simple Moving Average.

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This page looks at the predictive abilities of different methods of averaging applied to USB stock prices. 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 USB.

Red is the 200 bar SMA and Green is the 20 bar average. The Simple Moving Averages above are un-weighted. While unsophisticated, they frequently yield better results than some of the more highly tuned methods examined in 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
	In the news, Monday, November 15, 2010: A favorable condition has developed with Sprint Nextel Corporation, ticker symbol S. Also, there are breaking events concerning Abbott Laboratories (ABT) and Cree, Inc. (CREE)

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 - 24 instances
Future30SesAvgClose	-1.08 % minus 0.93 % = -2.01 %	-17.02 %
Future5SesAvgClose	-0.05 % minus 0.19 % = -0.25 %	-12.45 %
Future2SesAvgClose	0.32 % minus 0.10 % = 0.22 %	28.13 %
Sell Signals - 23 instances
Future30SesAvgClose	-1.33 % minus 0.93 % = -2.25 %	-19.08 %
Future5SesAvgClose	-1.05 % minus 0.19 % = -1.24 %	-62.87 %
Future2SesAvgClose	-0.59 % minus 0.10 % = -0.69 %	-87.83 %
	.
Moving Avg. 5/20 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 160 instances
Future30SesAvgClose	0.87 % minus 0.93 % = -0.06 %	-0.51 %
Future5SesAvgClose	0.10 % minus 0.19 % = -0.09 %	-4.51 %
Future2SesAvgClose	-0.04 % minus 0.10 % = -0.14 %	-17.23 %
Sell Signals - 160 instances
Future30SesAvgClose	1.43 % minus 0.93 % = 0.50 %	4.23 %
Future5SesAvgClose	0.24 % minus 0.19 % = 0.05 %	2.35 %
Future2SesAvgClose	0.19 % minus 0.10 % = 0.09 %	11.71 %
	.
Moving Avg. 5/200 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 38 instances
Future30SesAvgClose	-0.16 % minus 0.93 % = -1.09 %	-9.24 %
Future5SesAvgClose	-0.22 % minus 0.19 % = -0.41 %	-20.93 %
Future2SesAvgClose	-0.14 % minus 0.10 % = -0.23 %	-29.71 %
Sell Signals - 37 instances
Future30SesAvgClose	-0.23 % minus 0.93 % = -1.15 %	-9.75 %
Future5SesAvgClose	-0.01 % minus 0.19 % = -0.20 %	-10.30 %
Future2SesAvgClose	0.01 % minus 0.10 % = -0.09 %	-11.37 %
	.
MACD 12/26 Divergence	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 543 instances
Future30SesAvgClose	0.87 % minus 0.93 % = -0.06 %	-0.52 %
Future5SesAvgClose	0.12 % minus 0.19 % = -0.07 %	-3.60 %
Future2SesAvgClose	0.00 % minus 0.10 % = -0.10 %	-12.67 %
Sell Signals - 544 instances
Future30SesAvgClose	1.13 % minus 0.93 % = 0.20 %	1.72 %
Future5SesAvgClose	0.30 % minus 0.19 % = 0.10 %	5.22 %
Future2SesAvgClose	0.19 % minus 0.10 % = 0.09 %	11.89 %
	.
MACD 12/26 Signal	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 766 instances
Future30SesAvgClose	0.90 % minus 0.93 % = -0.03 %	-0.24 %
Future5SesAvgClose	0.21 % minus 0.19 % = 0.02 %	0.79 %
Future2SesAvgClose	0.18 % minus 0.10 % = 0.08 %	10.48 %
Sell Signals - 765 instances
Future30SesAvgClose	0.77 % minus 0.93 % = -0.16 %	-1.32 %
Future5SesAvgClose	0.10 % minus 0.19 % = -0.09 %	-4.56 %
Future2SesAvgClose	-0.03 % minus 0.10 % = -0.12 %	-15.68 %
	.
Calibrated M by Q Half Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 309 instances
Future30SesAvgClose	0.69 % minus 0.93 % = -0.23 %	-1.99 %
Future5SesAvgClose	-0.15 % minus 0.19 % = -0.34 %	-17.51 %
Future2SesAvgClose	-0.13 % minus 0.10 % = -0.23 %	-28.80 %
Sell Signals - 309 instances
Future30SesAvgClose	0.67 % minus 0.93 % = -0.26 %	-2.17 %
Future5SesAvgClose	0.01 % minus 0.19 % = -0.18 %	-9.35 %
Future2SesAvgClose	0.02 % minus 0.10 % = -0.07 %	-9.39 %
	.
Calibrated M by Q Full Cycle Moving Avg.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 179 instances
Future30SesAvgClose	0.84 % minus 0.93 % = -0.09 %	-0.73 %
Future5SesAvgClose	-0.13 % minus 0.19 % = -0.32 %	-16.45 %
Future2SesAvgClose	-0.11 % minus 0.10 % = -0.21 %	-26.30 %
Sell Signals - 180 instances
Future30SesAvgClose	0.67 % minus 0.93 % = -0.26 %	-2.18 %
Future5SesAvgClose	-0.07 % minus 0.19 % = -0.26 %	-13.27 %
Future2SesAvgClose	-0.22 % minus 0.10 % = -0.31 %	-39.90 %
	.
Projected Crossing of SMA 20/200.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 24 instances
Future30SesAvgClose	-0.98 % minus 0.93 % = -1.90 %	-16.11 %
Future5SesAvgClose	0.34 % minus 0.19 % = 0.14 %	7.33 %
Future2SesAvgClose	-0.12 % minus 0.10 % = -0.22 %	-27.57 %
Sell Signals - 31 instances
Future30SesAvgClose	-0.23 % minus 0.93 % = -1.15 %	-9.76 %
Future5SesAvgClose	0.17 % minus 0.19 % = -0.02 %	-1.08 %
Future2SesAvgClose	0.07 % minus 0.10 % = -0.03 %	-4.03 %
	.
Projected Crossing of SMA 5/20.	Signaled Appreciation minus non-signaled Appreciation	Annualized %
Buy Signals - 200 instances
Future30SesAvgClose	0.97 % minus 0.93 % = 0.05 %	0.41 %
Future5SesAvgClose	0.50 % minus 0.19 % = 0.31 %	15.53 %
Future2SesAvgClose	0.35 % minus 0.10 % = 0.26 %	32.40 %
Sell Signals - 169 instances
Future30SesAvgClose	0.94 % minus 0.93 % = 0.01 %	0.11 %
Future5SesAvgClose	-0.28 % minus 0.19 % = -0.47 %	-24.02 %
Future2SesAvgClose	-0.32 % minus 0.10 % = -0.42 %	-53.61 %
	.

The best buy signal for 30 future sessions was 0.05 % from the Projected Crossing of SMA 5/20.,and the best sell signal for was -2.25 % from the Moving Avg. 20/200 Divergence.

For 5 future sessions the best buy signal was 0.31 % from the Projected Crossing of SMA 5/20.,and the best sell signal was -1.24 % from the Moving Avg. 20/200 Divergence.

The best buy signal for 2 future sessions was 0.26 % from the Projected Crossing of SMA 5/20.,and the best sell signal was -0.69 % from the Moving Avg. 20/200 Divergence.

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