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 146.37% per annum.
- KLAC price at the close of March 27, 2024 was $696.87 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 32.55% per annum.
- KLAC price at the close of March 27, 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 KLAC 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: September 15, 2023
End date: March 27, 2024
a = 2.0626
b = 0.0025
s = 0.0361
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0025) – 1
= 146.37%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0361) – 1
= 15.53%
September 15, 2023 calculations
Top border of price channel:
Exp(Y1,125)
= Exp(a + b × X1,125 + 2 × s)
= Exp(a + b × 1,632 + 2 × s)
= Exp(2.0626 + 0.0025 × 1,632 + 2 × 0.0361)
= Exp(6.1663)
= $476.40
Bottom border of price channel:
Exp(Y1,125)
= Exp(a + b × X1,125 – 2 × s)
= Exp(a + b × 1,632 – 2 × s)
= Exp(2.0626 + 0.0025 × 1,632 – 2 × 0.0361)
= Exp(6.0219)
= $412.38
March 27, 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(2.0626 + 0.0025 × 1,826 + 2 × 0.0361)
= Exp(6.6455)
= $769.31
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(2.0626 + 0.0025 × 1,826 – 2 × 0.0361)
= Exp(6.5012)
= $665.92
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 146.37% per annum.
- KLAC price at the close of March 27, 2024 was $696.87 and was inside the primary price channel.
Secondary Trend
Start date: March 1, 2024
End date: March 27, 2024
a = 8.5078
b = -0.0011
s = 0.0167
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0011) – 1
= -32.55%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0167) – 1
= 6.92%
March 1, 2024 calculations
Top border of price channel:
Exp(Y1,240)
= Exp(a + b × X1,240 + 2 × s)
= Exp(a + b × 1,800 + 2 × s)
= Exp(8.5078 + -0.0011 × 1,800 + 2 × 0.0167)
= Exp(6.5992)
= $734.48
Bottom border of price channel:
Exp(Y1,240)
= Exp(a + b × X1,240 – 2 × s)
= Exp(a + b × 1,800 – 2 × s)
= Exp(8.5078 + -0.0011 × 1,800 – 2 × 0.0167)
= Exp(6.5323)
= $686.97
March 27, 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(8.5078 + -0.0011 × 1,826 + 2 × 0.0167)
= Exp(6.5711)
= $714.16
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(8.5078 + -0.0011 × 1,826 – 2 × 0.0167)
= Exp(6.5042)
= $667.96
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 32.55% per annum.
- KLAC price at the close of March 27, 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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