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 150.49% per annum.
- ETN price at the close of May 7, 2024 was $327.43 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 16.34% per annum.
- ETN price at the close of May 7, 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 ETN 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: October 13, 2023
End date: May 7, 2024
a = 1.2178
b = 0.0025
s = 0.0334
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0025) – 1
= 150.49%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0334) – 1
= 14.28%
October 13, 2023 calculations
Top border of price channel:
Exp(Y1,117)
= Exp(a + b × X1,117 + 2 × s)
= Exp(a + b × 1,619 + 2 × s)
= Exp(1.2178 + 0.0025 × 1,619 + 2 × 0.0334)
= Exp(5.3575)
= $212.19
Bottom border of price channel:
Exp(Y1,117)
= Exp(a + b × X1,117 – 2 × s)
= Exp(a + b × 1,619 – 2 × s)
= Exp(1.2178 + 0.0025 × 1,619 – 2 × 0.0334)
= Exp(5.2240)
= $185.68
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(1.2178 + 0.0025 × 1,826 + 2 × 0.0334)
= Exp(5.8783)
= $357.19
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(1.2178 + 0.0025 × 1,826 – 2 × 0.0334)
= Exp(5.7448)
= $312.56
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 150.49% per annum.
- ETN price at the close of May 7, 2024 was $327.43 and was inside the primary price channel.
Secondary Trend
Start date: March 20, 2024
End date: May 7, 2024
a = 5.0075
b = 0.0004
s = 0.0193
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0004) – 1
= 16.34%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0193) – 1
= 8.02%
March 20, 2024 calculations
Top border of price channel:
Exp(Y1,225)
= Exp(a + b × X1,225 + 2 × s)
= Exp(a + b × 1,778 + 2 × s)
= Exp(5.0075 + 0.0004 × 1,778 + 2 × 0.0193)
= Exp(5.7831)
= $324.76
Bottom border of price channel:
Exp(Y1,225)
= Exp(a + b × X1,225 – 2 × s)
= Exp(a + b × 1,778 – 2 × s)
= Exp(5.0075 + 0.0004 × 1,778 – 2 × 0.0193)
= Exp(5.7060)
= $300.66
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(5.0075 + 0.0004 × 1,826 + 2 × 0.0193)
= Exp(5.8030)
= $331.29
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(5.0075 + 0.0004 × 1,826 – 2 × 0.0193)
= Exp(5.7259)
= $306.70
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 16.34% per annum.
- ETN 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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