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 79.73% per annum.
- NFLX price at the close of May 6, 2024 was $596.97 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 60.48% per annum.
- NFLX price at the close of May 6, 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 NFLX 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: April 21, 2022
End date: May 6, 2024
a = 3.5112
b = 0.0016
s = 0.0942
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0016) – 1
= 79.73%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0942) – 1
= 45.73%
April 21, 2022 calculations
Top border of price channel:
Exp(Y746)
= Exp(a + b × X746 + 2 × s)
= Exp(a + b × 1,080 + 2 × s)
= Exp(3.5112 + 0.0016 × 1,080 + 2 × 0.0942)
= Exp(5.4342)
= $229.12
Bottom border of price channel:
Exp(Y746)
= Exp(a + b × X746 – 2 × s)
= Exp(a + b × 1,080 – 2 × s)
= Exp(3.5112 + 0.0016 × 1,080 – 2 × 0.0942)
= Exp(5.0576)
= $157.22
May 6, 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(3.5112 + 0.0016 × 1,826 + 2 × 0.0942)
= Exp(6.6325)
= $759.36
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(3.5112 + 0.0016 × 1,826 – 2 × 0.0942)
= Exp(6.2559)
= $521.06
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 79.73% per annum.
- NFLX price at the close of May 6, 2024 was $596.97 and was inside the primary price channel.
Secondary Trend
Start date: March 18, 2024
End date: May 6, 2024
a = 10.9785
b = -0.0025
s = 0.0318
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0025) – 1
= -60.48%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0318) – 1
= 13.59%
March 18, 2024 calculations
Top border of price channel:
Exp(Y1,224)
= Exp(a + b × X1,224 + 2 × s)
= Exp(a + b × 1,777 + 2 × s)
= Exp(10.9785 + -0.0025 × 1,777 + 2 × 0.0318)
= Exp(6.5229)
= $680.52
Bottom border of price channel:
Exp(Y1,224)
= Exp(a + b × X1,224 – 2 × s)
= Exp(a + b × 1,777 – 2 × s)
= Exp(10.9785 + -0.0025 × 1,777 – 2 × 0.0318)
= Exp(6.3955)
= $599.12
May 6, 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(10.9785 + -0.0025 × 1,826 + 2 × 0.0318)
= Exp(6.3982)
= $600.78
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(10.9785 + -0.0025 × 1,826 – 2 × 0.0318)
= Exp(6.2708)
= $528.92
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 60.48% per annum.
- NFLX price at the close of May 6, 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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