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 33.60% per annum.
- ON price at the close of May 8, 2024 was $70.67 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 5.35% per annum.
- ON price at the close of May 8, 2024 was inside the secondary price channel.
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 ON 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: June 6, 2023
End date: May 8, 2024
a = 6.2647
b = -0.0011
s = 0.0891
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0011) – 1
= -33.60%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0891) – 1
= 42.85%
June 6, 2023 calculations
Top border of price channel:
Exp(Y1,026)
= Exp(a + b × X1,026 + 2 × s)
= Exp(a + b × 1,489 + 2 × s)
= Exp(6.2647 + -0.0011 × 1,489 + 2 × 0.0891)
= Exp(4.7725)
= $118.21
Bottom border of price channel:
Exp(Y1,026)
= Exp(a + b × X1,026 – 2 × s)
= Exp(a + b × 1,489 – 2 × s)
= Exp(6.2647 + -0.0011 × 1,489 – 2 × 0.0891)
= Exp(4.4159)
= $82.75
May 8, 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(6.2647 + -0.0011 × 1,826 + 2 × 0.0891)
= Exp(4.3944)
= $80.99
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(6.2647 + -0.0011 × 1,826 – 2 × 0.0891)
= Exp(4.0378)
= $56.70
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 33.60% per annum.
- ON price at the close of May 8, 2024 was $70.67 and was inside the primary price channel.
Secondary Trend
Start date: October 30, 2023
End date: May 8, 2024
a = 4.5592
b = -0.0002
s = 0.0806
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0002) – 1
= -5.35%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0806) – 1
= 38.05%
October 30, 2023 calculations
Top border of price channel:
Exp(Y1,127)
= Exp(a + b × X1,127 + 2 × s)
= Exp(a + b × 1,635 + 2 × s)
= Exp(4.5592 + -0.0002 × 1,635 + 2 × 0.0806)
= Exp(4.4743)
= $87.73
Bottom border of price channel:
Exp(Y1,127)
= Exp(a + b × X1,127 – 2 × s)
= Exp(a + b × 1,635 – 2 × s)
= Exp(4.5592 + -0.0002 × 1,635 – 2 × 0.0806)
= Exp(4.1519)
= $63.55
May 8, 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(4.5592 + -0.0002 × 1,826 + 2 × 0.0806)
= Exp(4.4455)
= $85.24
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.5592 + -0.0002 × 1,826 – 2 × 0.0806)
= Exp(4.1231)
= $61.75
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 5.35% per annum.
- ON price at the close of May 8, 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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