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 4.82% per annum.
- ADSK price at the close of December 3, 2021 was $259.02 and was lower than the bottom border of the primary price channel by $5.36 (2.03%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 99.73% per annum.
- ADSK price at the close of December 3, 2021 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 ADSK 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 25, 2020
End date: December 3, 2021
a = 5.4691
b = 0.0001
s = 0.0635
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0001) – 1
= 4.82%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0635) – 1
= 28.93%
November 25, 2020 calculations
Top border of price channel:
Exp(Y1,001)
= Exp(a + b × X1,001 + 2 × s)
= Exp(a + b × 1,451 + 2 × s)
= Exp(5.4691 + 0.0001 × 1,451 + 2 × 0.0635)
= Exp(5.7833)
= $324.84
Bottom border of price channel:
Exp(Y1,001)
= Exp(a + b × X1,001 – 2 × s)
= Exp(a + b × 1,451 – 2 × s)
= Exp(5.4691 + 0.0001 × 1,451 – 2 × 0.0635)
= Exp(5.5293)
= $251.96
December 3, 2021 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(5.4691 + 0.0001 × 1,824 + 2 × 0.0635)
= Exp(5.8315)
= $340.86
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(5.4691 + 0.0001 × 1,824 – 2 × 0.0635)
= Exp(5.5774)
= $264.38
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 4.82% per annum.
- ADSK price at the close of December 3, 2021 was $259.02 and was lower than the bottom border of the primary price channel by $5.36 (2.03%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: November 12, 2021
End date: December 3, 2021
a = 35.1359
b = -0.0162
s = 0.0509
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0162) – 1
= -99.73%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0509) – 1
= 22.60%
November 12, 2021 calculations
Top border of price channel:
Exp(Y1,244)
= Exp(a + b × X1,244 + 2 × s)
= Exp(a + b × 1,803 + 2 × s)
= Exp(35.1359 + -0.0162 × 1,803 + 2 × 0.0509)
= Exp(5.9508)
= $384.06
Bottom border of price channel:
Exp(Y1,244)
= Exp(a + b × X1,244 – 2 × s)
= Exp(a + b × 1,803 – 2 × s)
= Exp(35.1359 + -0.0162 × 1,803 – 2 × 0.0509)
= Exp(5.7470)
= $313.25
December 3, 2021 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(35.1359 + -0.0162 × 1,824 + 2 × 0.0509)
= Exp(5.6097)
= $273.06
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(35.1359 + -0.0162 × 1,824 – 2 × 0.0509)
= Exp(5.4059)
= $222.72
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 99.73% per annum.
- ADSK price at the close of December 3, 2021 was inside the secondary price channel.
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