Moving Average Indicators for XL

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From the Weekend Report 10/29/2010: The week revealed XL to still be above the 200 bar average, but the space between the price and the average line is narrowing.

XL: Recent Averages with Candlestick Chart.
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More than 70 Hi-Rez charts daily for XL Capital Ltd.:

This page looks at the predictive abilities of different methods of averaging applied to XL 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 XL 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. 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.




XL: Moving Average Convergence
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 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.

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Moving Avg. 20/200 DivergenceSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 23 instances
Future30SesAvgClose 3.39 % minus 0.85 % = 2.55 %21.56 %
Future5SesAvgClose 1.05 % minus 0.20 % = 0.85 %43.07 %
Future2SesAvgClose 0.48 % minus 0.11 % = 0.37 %47.58 %
Sell Signals - 23 instances
Future30SesAvgClose -0.61 % minus 0.85 % = -1.45 %-12.30 %
Future5SesAvgClose -0.93 % minus 0.20 % = -1.14 %-57.73 %
Future2SesAvgClose -0.92 % minus 0.11 % = -1.03 %-130.38 %
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Moving Avg. 5/20 DivergenceSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 145 instances
Future30SesAvgClose 1.20 % minus 0.85 % = 0.35 %2.99 %
Future5SesAvgClose -0.04 % minus 0.20 % = -0.24 %-12.15 %
Future2SesAvgClose -0.43 % minus 0.11 % = -0.54 %-68.56 %
Sell Signals - 146 instances
Future30SesAvgClose 0.56 % minus 0.85 % = -0.29 %-2.44 %
Future5SesAvgClose -0.23 % minus 0.20 % = -0.43 %-21.94 %
Future2SesAvgClose -0.19 % minus 0.11 % = -0.30 %-38.10 %
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Moving Avg. 5/200 DivergenceSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 41 instances
Future30SesAvgClose 1.72 % minus 0.85 % = 0.88 %7.45 %
Future5SesAvgClose 0.29 % minus 0.20 % = 0.08 %4.27 %
Future2SesAvgClose -0.01 % minus 0.11 % = -0.12 %-15.03 %
Sell Signals - 41 instances
Future30SesAvgClose 0.38 % minus 0.85 % = -0.47 %-3.95 %
Future5SesAvgClose 0.69 % minus 0.20 % = 0.49 %24.96 %
Future2SesAvgClose 0.87 % minus 0.11 % = 0.77 %97.40 %
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MACD 12/26 DivergenceSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 439 instances
Future30SesAvgClose 0.40 % minus 0.85 % = -0.45 %-3.80 %
Future5SesAvgClose -0.06 % minus 0.20 % = -0.26 %-13.41 %
Future2SesAvgClose -0.19 % minus 0.11 % = -0.29 %-37.11 %
Sell Signals - 440 instances
Future30SesAvgClose 0.63 % minus 0.85 % = -0.22 %-1.84 %
Future5SesAvgClose 0.21 % minus 0.20 % = 0.01 %0.33 %
Future2SesAvgClose 0.25 % minus 0.11 % = 0.14 %18.28 %
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MACD 12/26 SignalSignaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 589 instances
Future30SesAvgClose 0.70 % minus 0.85 % = -0.14 %-1.22 %
Future5SesAvgClose 0.29 % minus 0.20 % = 0.09 %4.34 %
Future2SesAvgClose 0.27 % minus 0.11 % = 0.17 %20.96 %
Sell Signals - 588 instances
Future30SesAvgClose 0.39 % minus 0.85 % = -0.46 %-3.86 %
Future5SesAvgClose -0.10 % minus 0.20 % = -0.31 %-15.59 %
Future2SesAvgClose -0.15 % minus 0.11 % = -0.26 %-32.50 %
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Calibrated M by Q Half Cycle Moving Avg.Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 256 instances
Future30SesAvgClose 0.56 % minus 0.85 % = -0.29 %-2.43 %
Future5SesAvgClose -0.34 % minus 0.20 % = -0.54 %-27.58 %
Future2SesAvgClose -0.30 % minus 0.11 % = -0.40 %-51.39 %
Sell Signals - 255 instances
Future30SesAvgClose 0.93 % minus 0.85 % = 0.09 %0.74 %
Future5SesAvgClose -0.24 % minus 0.20 % = -0.44 %-22.53 %
Future2SesAvgClose -0.11 % minus 0.11 % = -0.21 %-26.94 %
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Calibrated M by Q Full Cycle Moving Avg.Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 175 instances
Future30SesAvgClose 0.54 % minus 0.85 % = -0.31 %-2.63 %
Future5SesAvgClose -0.18 % minus 0.20 % = -0.39 %-19.58 %
Future2SesAvgClose -0.05 % minus 0.11 % = -0.16 %-20.50 %
Sell Signals - 175 instances
Future30SesAvgClose 0.50 % minus 0.85 % = -0.35 %-2.96 %
Future5SesAvgClose -0.26 % minus 0.20 % = -0.46 %-23.38 %
Future2SesAvgClose -0.16 % minus 0.11 % = -0.27 %-34.37 %
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Projected Crossing of SMA 20/200.Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 30 instances
Future30SesAvgClose 2.50 % minus 0.85 % = 1.66 %14.03 %
Future5SesAvgClose -0.13 % minus 0.20 % = -0.33 %-16.74 %
Future2SesAvgClose -0.26 % minus 0.11 % = -0.37 %-47.08 %
Sell Signals - 24 instances
Future30SesAvgClose -0.60 % minus 0.85 % = -1.45 %-12.25 %
Future5SesAvgClose 0.04 % minus 0.20 % = -0.16 %-8.13 %
Future2SesAvgClose 0.00 % minus 0.11 % = -0.10 %-13.11 %
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Projected Crossing of SMA 5/20.Signaled Appreciation minus non-signaled AppreciationAnnualized %
Buy Signals - 162 instances
Future30SesAvgClose 1.29 % minus 0.85 % = 0.44 %3.74 %
Future5SesAvgClose -0.13 % minus 0.20 % = -0.33 %-16.65 %
Future2SesAvgClose -0.19 % minus 0.11 % = -0.30 %-37.72 %
Sell Signals - 146 instances
Future30SesAvgClose -0.29 % minus 0.85 % = -1.13 %-9.60 %
Future5SesAvgClose -0.29 % minus 0.20 % = -0.49 %-24.80 %
Future2SesAvgClose -0.06 % minus 0.11 % = -0.17 %-21.22 %
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The best buy signal for 30 future sessions was 2.55 % from the Moving Avg. 20/200 Divergence,and the best sell signal for was -1.45 % from the Moving Avg. 20/200 Divergence.
For 5 future sessions the best buy signal was 0.85 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -1.14 % from the Moving Avg. 20/200 Divergence.
The best buy signal for 2 future sessions was 0.37 % from the Moving Avg. 20/200 Divergence,and the best sell signal was -1.03 % from the Moving Avg. 20/200 Divergence.



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XL Capital Ltd. Moving Averages - XL