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 15.48% per annum.
- MCK price at the close of October 27, 2016 was $160.50 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 60.74% per annum.
- MCK price at the close of October 27, 2016 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 MCK 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 11, 2014
End date: October 27, 2016
a = 5.9480
b = -0.0005
s = 0.0875
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0005) – 1
= -15.48%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0875) – 1
= 41.92%
November 11, 2014 calculations
Top border of price channel:
Exp(Y763)
= Exp(a + b × X763 + 2 × s)
= Exp(a + b × 1,110 + 2 × s)
= Exp(5.9480 + -0.0005 × 1,110 + 2 × 0.0875)
= Exp(5.6117)
= $273.62
Bottom border of price channel:
Exp(Y763)
= Exp(a + b × X763 – 2 × s)
= Exp(a + b × 1,110 – 2 × s)
= Exp(5.9480 + -0.0005 × 1,110 – 2 × 0.0875)
= Exp(5.2616)
= $192.80
October 27, 2016 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(5.9480 + -0.0005 × 1,826 + 2 × 0.0875)
= Exp(5.2819)
= $196.74
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(5.9480 + -0.0005 × 1,826 – 2 × 0.0875)
= Exp(4.9318)
= $138.63
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 15.48% per annum.
- MCK price at the close of October 27, 2016 was $160.50 and was inside the primary price channel.
Secondary Trend
Start date: July 18, 2016
End date: October 27, 2016
a = 9.7335
b = -0.0026
s = 0.0229
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0026) – 1
= -60.74%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0229) – 1
= 9.60%
July 18, 2016 calculations
Top border of price channel:
Exp(Y1,185)
= Exp(a + b × X1,185 + 2 × s)
= Exp(a + b × 1,725 + 2 × s)
= Exp(9.7335 + -0.0026 × 1,725 + 2 × 0.0229)
= Exp(5.3602)
= $212.76
Bottom border of price channel:
Exp(Y1,185)
= Exp(a + b × X1,185 – 2 × s)
= Exp(a + b × 1,725 – 2 × s)
= Exp(9.7335 + -0.0026 × 1,725 – 2 × 0.0229)
= Exp(5.2685)
= $194.12
October 27, 2016 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(9.7335 + -0.0026 × 1,826 + 2 × 0.0229)
= Exp(5.1014)
= $164.25
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(9.7335 + -0.0026 × 1,826 – 2 × 0.0229)
= Exp(5.0097)
= $149.86
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 60.74% per annum.
- MCK price at the close of October 27, 2016 was inside the secondary price channel.
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