Stock Price Trends
Stock price trends estimated using linear regression.
Summary
Key facts
- The primary trend is increasing.
- The growth rate of the primary trend is 38.60% per annum.
- ISRG price at the close of May 7, 2024 was $388.65 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 9.17% per annum.
- ISRG price at the close of May 7, 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 ISRG 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: May 9, 2022
End date: May 7, 2024
a = 4.3217
b = 0.0009
s = 0.0902
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0009) – 1
= 38.60%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0902) – 1
= 43.42%
May 9, 2022 calculations
Top border of price channel:
Exp(Y757)
= Exp(a + b × X757 + 2 × s)
= Exp(a + b × 1,097 + 2 × s)
= Exp(4.3217 + 0.0009 × 1,097 + 2 × 0.0902)
= Exp(5.4831)
= $240.58
Bottom border of price channel:
Exp(Y757)
= Exp(a + b × X757 – 2 × s)
= Exp(a + b × 1,097 – 2 × s)
= Exp(4.3217 + 0.0009 × 1,097 – 2 × 0.0902)
= Exp(5.1225)
= $167.75
May 7, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(4.3217 + 0.0009 × 1,826 + 2 × 0.0902)
= Exp(6.1350)
= $461.75
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.3217 + 0.0009 × 1,826 – 2 × 0.0902)
= Exp(5.7744)
= $321.95
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 38.60% per annum.
- ISRG price at the close of May 7, 2024 was $388.65 and was inside the primary price channel.
Secondary Trend
Start date: February 1, 2024
End date: May 7, 2024
a = 6.4213
b = -0.0003
s = 0.0194
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0003) – 1
= -9.17%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0194) – 1
= 8.07%
February 1, 2024 calculations
Top border of price channel:
Exp(Y1,192)
= Exp(a + b × X1,192 + 2 × s)
= Exp(a + b × 1,730 + 2 × s)
= Exp(6.4213 + -0.0003 × 1,730 + 2 × 0.0194)
= Exp(6.0043)
= $405.17
Bottom border of price channel:
Exp(Y1,192)
= Exp(a + b × X1,192 – 2 × s)
= Exp(a + b × 1,730 – 2 × s)
= Exp(6.4213 + -0.0003 × 1,730 – 2 × 0.0194)
= Exp(5.9267)
= $374.92
May 7, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(6.4213 + -0.0003 × 1,826 + 2 × 0.0194)
= Exp(5.9790)
= $395.05
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(6.4213 + -0.0003 × 1,826 – 2 × 0.0194)
= Exp(5.9014)
= $365.56
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 9.17% per annum.
- ISRG price at the close of May 7, 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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