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 18.13% per annum.
- MDT price at the close of May 8, 2024 was $81.55 and was higher than the top border of the primary price channel by $3.09 (3.94%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 0.10% per annum.
- MDT 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 MDT 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: January 5, 2021
End date: December 11, 2023
a = 5.2108
b = -0.0005
s = 0.0762
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0005) – 1
= -18.13%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0762) – 1
= 35.61%
January 5, 2021 calculations
Top border of price channel:
Exp(Y418)
= Exp(a + b × X418 + 2 × s)
= Exp(a + b × 607 + 2 × s)
= Exp(5.2108 + -0.0005 × 607 + 2 × 0.0762)
= Exp(5.0305)
= $153.01
Bottom border of price channel:
Exp(Y418)
= Exp(a + b × X418 – 2 × s)
= Exp(a + b × 607 – 2 × s)
= Exp(5.2108 + -0.0005 × 607 – 2 × 0.0762)
= Exp(4.7259)
= $112.83
December 11, 2023 calculations
Top border of price channel:
Exp(Y1,156)
= Exp(a + b × X1,156 + 2 × s)
= Exp(a + b × 1,677 + 2 × s)
= Exp(5.2108 + -0.0005 × 1,677 + 2 × 0.0762)
= Exp(4.4442)
= $85.14
Bottom border of price channel:
Exp(Y1,156)
= Exp(a + b × X1,156 – 2 × s)
= Exp(a + b × 1,677 – 2 × s)
= Exp(5.2108 + -0.0005 × 1,677 – 2 × 0.0762)
= Exp(4.1396)
= $62.78
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 18.13% per annum.
- MDT price at the close of May 8, 2024 was $81.55 and was higher than the top border of the primary price channel by $3.09 (3.94%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: September 21, 2022
End date: May 8, 2024
a = 4.4124
b = 0.0000
s = 0.0547
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0000) – 1
= -0.10%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0547) – 1
= 24.45%
September 21, 2022 calculations
Top border of price channel:
Exp(Y849)
= Exp(a + b × X849 + 2 × s)
= Exp(a + b × 1,231 + 2 × s)
= Exp(4.4124 + 0.0000 × 1,231 + 2 × 0.0547)
= Exp(4.5185)
= $91.69
Bottom border of price channel:
Exp(Y849)
= Exp(a + b × X849 – 2 × s)
= Exp(a + b × 1,231 – 2 × s)
= Exp(4.4124 + 0.0000 × 1,231 – 2 × 0.0547)
= Exp(4.2998)
= $73.68
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(4.4124 + 0.0000 × 1,826 + 2 × 0.0547)
= Exp(4.5169)
= $91.55
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.4124 + 0.0000 × 1,826 – 2 × 0.0547)
= Exp(4.2982)
= $73.56
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 0.10% per annum.
- MDT 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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