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 5.25% per annum.
- TM price at the close of June 24, 2015 was $135.40 and was higher than the top border of the primary price channel by $13.88 (11.42%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 24.37% per annum.
- TM price at the close of June 24, 2015 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 TM 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: April 11, 2013
End date: November 20, 2014
a = 4.9733
b = -0.0001
s = 0.0483
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -5.25%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0483) – 1
= 21.30%
April 11, 2013 calculations
Top border of price channel:
Exp(Y702)
= Exp(a + b × X702 + 2 × s)
= Exp(a + b × 1,021 + 2 × s)
= Exp(4.9733 + -0.0001 × 1,021 + 2 × 0.0483)
= Exp(4.9189)
= $136.86
Bottom border of price channel:
Exp(Y702)
= Exp(a + b × X702 – 2 × s)
= Exp(a + b × 1,021 – 2 × s)
= Exp(4.9733 + -0.0001 × 1,021 – 2 × 0.0483)
= Exp(4.7258)
= $112.82
November 20, 2014 calculations
Top border of price channel:
Exp(Y1,110)
= Exp(a + b × X1,110 + 2 × s)
= Exp(a + b × 1,609 + 2 × s)
= Exp(4.9733 + -0.0001 × 1,609 + 2 × 0.0483)
= Exp(4.8320)
= $125.46
Bottom border of price channel:
Exp(Y1,110)
= Exp(a + b × X1,110 – 2 × s)
= Exp(a + b × 1,609 – 2 × s)
= Exp(4.9733 + -0.0001 × 1,609 – 2 × 0.0483)
= Exp(4.6389)
= $103.43
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 5.25% per annum.
- TM price at the close of June 24, 2015 was $135.40 and was higher than the top border of the primary price channel by $13.88 (11.42%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: March 12, 2014
End date: June 24, 2015
a = 3.8608
b = 0.0006
s = 0.0326
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0006) – 1
= 24.37%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0326) – 1
= 13.92%
March 12, 2014 calculations
Top border of price channel:
Exp(Y933)
= Exp(a + b × X933 + 2 × s)
= Exp(a + b × 1,356 + 2 × s)
= Exp(3.8608 + 0.0006 × 1,356 + 2 × 0.0326)
= Exp(4.7362)
= $114.00
Bottom border of price channel:
Exp(Y933)
= Exp(a + b × X933 – 2 × s)
= Exp(a + b × 1,356 – 2 × s)
= Exp(3.8608 + 0.0006 × 1,356 – 2 × 0.0326)
= Exp(4.6058)
= $100.07
June 24, 2015 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(3.8608 + 0.0006 × 1,825 + 2 × 0.0326)
= Exp(5.0164)
= $150.87
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(3.8608 + 0.0006 × 1,825 – 2 × 0.0326)
= Exp(4.8861)
= $132.43
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 24.37% per annum.
- TM price at the close of June 24, 2015 was inside the secondary price channel.
- Discover a new approach to trend analysis.
- Check the power of mathematical statistics.
- Price channels has never been so accurate.
Visit our new 1,500-company website