Stock Price Trends
Stock price trends estimated using linear regression.
Summary
Key facts
- The primary trend is decreasing.
- The decline rate of the primary trend is 15.12% per annum.
- CSCO price at the close of April 26, 2024 was $47.86 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 1.71% per annum.
- CSCO price at the close of April 26, 2024 was inside the secondary price channel.
- The direction of the secondary trend is opposite to the direction of the primary trend. This indicates a possible reversal in the direction of the primary trend.
Linear Regression Model
Model equation:
Yi = α + β × Xi + εi
Top border of price channel:
Exp(Yi) = Exp(a + b × Xi + 2 × s)
Bottom border of price channel:
Exp(Yi) = Exp(a + b × Xi – 2 × s)
where:
i - observation number
Yi - natural logarithm of CSCO price
Xi - time index, 1 day interval
σ - standard deviation of εi
a - estimator of α
b - estimator of β
s - estimator of σ
Exp() - calculates the exponent of e
Primary Trend
Start date: August 7, 2023
End date: April 26, 2024
a = 4.6827
b = -0.0004
s = 0.0313
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0004) – 1
= -15.12%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0313) – 1
= 13.36%
August 7, 2023 calculations
Top border of price channel:
Exp(Y1,076)
= Exp(a + b × X1,076 + 2 × s)
= Exp(a + b × 1,561 + 2 × s)
= Exp(4.6827 + -0.0004 × 1,561 + 2 × 0.0313)
= Exp(4.0441)
= $57.06
Bottom border of price channel:
Exp(Y1,076)
= Exp(a + b × X1,076 – 2 × s)
= Exp(a + b × 1,561 – 2 × s)
= Exp(4.6827 + -0.0004 × 1,561 – 2 × 0.0313)
= Exp(3.9188)
= $50.34
April 26, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(4.6827 + -0.0004 × 1,824 + 2 × 0.0313)
= Exp(3.9260)
= $50.70
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(4.6827 + -0.0004 × 1,824 – 2 × 0.0313)
= Exp(3.8006)
= $44.73
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 15.12% per annum.
- CSCO price at the close of April 26, 2024 was $47.86 and was inside the primary price channel.
Secondary Trend
Start date: November 16, 2023
End date: April 26, 2024
a = 3.8096
b = 0.0000
s = 0.0227
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0000) – 1
= 1.71%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0227) – 1
= 9.51%
November 16, 2023 calculations
Top border of price channel:
Exp(Y1,148)
= Exp(a + b × X1,148 + 2 × s)
= Exp(a + b × 1,662 + 2 × s)
= Exp(3.8096 + 0.0000 × 1,662 + 2 × 0.0227)
= Exp(3.9323)
= $51.03
Bottom border of price channel:
Exp(Y1,148)
= Exp(a + b × X1,148 – 2 × s)
= Exp(a + b × 1,662 – 2 × s)
= Exp(3.8096 + 0.0000 × 1,662 – 2 × 0.0227)
= Exp(3.8415)
= $46.59
April 26, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(3.8096 + 0.0000 × 1,824 + 2 × 0.0227)
= Exp(3.9399)
= $51.41
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(3.8096 + 0.0000 × 1,824 – 2 × 0.0227)
= Exp(3.8490)
= $46.95
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 1.71% per annum.
- CSCO price at the close of April 26, 2024 was inside the secondary price channel.
- Discover a new approach to trend analysis.
- Check the power of mathematical statistics.
- Price channels have never been so accurately estimated.
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