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 18.24% per annum.
- F price at the close of April 26, 2024 was $12.79 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 79.18% per annum.
- F price at the close of April 26, 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 F 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 7, 2021
End date: March 19, 2024
a = 3.3545
b = -0.0006
s = 0.1284
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0006) – 1
= -18.24%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1284) – 1
= 67.13%
October 7, 2021 calculations
Top border of price channel:
Exp(Y617)
= Exp(a + b × X617 + 2 × s)
= Exp(a + b × 892 + 2 × s)
= Exp(3.3545 + -0.0006 × 892 + 2 × 0.1284)
= Exp(3.1194)
= $22.63
Bottom border of price channel:
Exp(Y617)
= Exp(a + b × X617 – 2 × s)
= Exp(a + b × 892 – 2 × s)
= Exp(3.3545 + -0.0006 × 892 – 2 × 0.1284)
= Exp(2.6057)
= $13.54
March 19, 2024 calculations
Top border of price channel:
Exp(Y1,231)
= Exp(a + b × X1,231 + 2 × s)
= Exp(a + b × 1,786 + 2 × s)
= Exp(3.3545 + -0.0006 × 1,786 + 2 × 0.1284)
= Exp(2.6263)
= $13.82
Bottom border of price channel:
Exp(Y1,231)
= Exp(a + b × X1,231 – 2 × s)
= Exp(a + b × 1,786 – 2 × s)
= Exp(3.3545 + -0.0006 × 1,786 – 2 × 0.1284)
= Exp(2.1126)
= $8.27
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 18.24% per annum.
- F price at the close of April 26, 2024 was $12.79 and was inside the primary price channel.
Secondary Trend
Start date: October 27, 2023
End date: April 12, 2024
a = -0.3020
b = 0.0016
s = 0.0421
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0016) – 1
= 79.18%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0421) – 1
= 18.35%
October 27, 2023 calculations
Top border of price channel:
Exp(Y1,134)
= Exp(a + b × X1,134 + 2 × s)
= Exp(a + b × 1,642 + 2 × s)
= Exp(-0.3020 + 0.0016 × 1,642 + 2 × 0.0421)
= Exp(2.4059)
= $11.09
Bottom border of price channel:
Exp(Y1,134)
= Exp(a + b × X1,134 – 2 × s)
= Exp(a + b × 1,642 – 2 × s)
= Exp(-0.3020 + 0.0016 × 1,642 – 2 × 0.0421)
= Exp(2.2375)
= $9.37
April 12, 2024 calculations
Top border of price channel:
Exp(Y1,248)
= Exp(a + b × X1,248 + 2 × s)
= Exp(a + b × 1,810 + 2 × s)
= Exp(-0.3020 + 0.0016 × 1,810 + 2 × 0.0421)
= Exp(2.6743)
= $14.50
Bottom border of price channel:
Exp(Y1,248)
= Exp(a + b × X1,248 – 2 × s)
= Exp(a + b × 1,810 – 2 × s)
= Exp(-0.3020 + 0.0016 × 1,810 – 2 × 0.0421)
= Exp(2.5059)
= $12.25
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 79.18% per annum.
- F price at the close of April 26, 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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