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 57.44% per annum.
- WBA price at the close of July 9, 2020 was $39.01 and was higher than the top border of the primary price channel by $0.30 (0.78%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 10.65% per annum.
- WBA price at the close of July 9, 2020 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 WBA 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: November 4, 2019
End date: May 22, 2020
a = 7.8510
b = -0.0023
s = 0.0393
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0023) – 1
= -57.44%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0393) – 1
= 17.04%
November 4, 2019 calculations
Top border of price channel:
Exp(Y1,088)
= Exp(a + b × X1,088 + 2 × s)
= Exp(a + b × 1,578 + 2 × s)
= Exp(7.8510 + -0.0023 × 1,578 + 2 × 0.0393)
= Exp(4.2365)
= $69.17
Bottom border of price channel:
Exp(Y1,088)
= Exp(a + b × X1,088 – 2 × s)
= Exp(a + b × 1,578 – 2 × s)
= Exp(7.8510 + -0.0023 × 1,578 – 2 × 0.0393)
= Exp(4.0792)
= $59.10
May 22, 2020 calculations
Top border of price channel:
Exp(Y1,226)
= Exp(a + b × X1,226 + 2 × s)
= Exp(a + b × 1,778 + 2 × s)
= Exp(7.8510 + -0.0023 × 1,778 + 2 × 0.0393)
= Exp(3.7684)
= $43.31
Bottom border of price channel:
Exp(Y1,226)
= Exp(a + b × X1,226 – 2 × s)
= Exp(a + b × 1,778 – 2 × s)
= Exp(7.8510 + -0.0023 × 1,778 – 2 × 0.0393)
= Exp(3.6111)
= $37.01
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 57.44% per annum.
- WBA price at the close of July 9, 2020 was $39.01 and was higher than the top border of the primary price channel by $0.30 (0.78%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: March 23, 2020
End date: July 8, 2020
a = 4.2976
b = -0.0003
s = 0.0421
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0003) – 1
= -10.65%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0421) – 1
= 18.34%
March 23, 2020 calculations
Top border of price channel:
Exp(Y1,183)
= Exp(a + b × X1,183 + 2 × s)
= Exp(a + b × 1,718 + 2 × s)
= Exp(4.2976 + -0.0003 × 1,718 + 2 × 0.0421)
= Exp(3.8519)
= $47.08
Bottom border of price channel:
Exp(Y1,183)
= Exp(a + b × X1,183 – 2 × s)
= Exp(a + b × 1,718 – 2 × s)
= Exp(4.2976 + -0.0003 × 1,718 – 2 × 0.0421)
= Exp(3.6835)
= $39.79
July 8, 2020 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(4.2976 + -0.0003 × 1,825 + 2 × 0.0421)
= Exp(3.8189)
= $45.56
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(4.2976 + -0.0003 × 1,825 – 2 × 0.0421)
= Exp(3.6505)
= $38.50
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 10.65% per annum.
- WBA price at the close of July 9, 2020 was inside the secondary price channel.
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