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 53.60% per annum.
- MRNA price at the close of November 3, 2023 was $77.53 and was lower than the bottom border of the primary price channel by $4.84 (5.87%).
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 99.38% per annum.
- MRNA price at the close of November 3, 2023 was higher than the top border of the secondary price channel by $1.48 (1.95%). This indicates a possible reversal in the secondary trend direction.
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 MRNA 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 14, 2022
End date: October 18, 2023
a = 8.3105
b = -0.0021
s = 0.0645
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0021) – 1
= -53.60%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0645) – 1
= 29.44%
November 14, 2022 calculations
Top border of price channel:
Exp(Y991)
= Exp(a + b × X991 + 2 × s)
= Exp(a + b × 1,438 + 2 × s)
= Exp(8.3105 + -0.0021 × 1,438 + 2 × 0.0645)
= Exp(5.4140)
= $224.53
Bottom border of price channel:
Exp(Y991)
= Exp(a + b × X991 – 2 × s)
= Exp(a + b × 1,438 – 2 × s)
= Exp(8.3105 + -0.0021 × 1,438 – 2 × 0.0645)
= Exp(5.1560)
= $173.47
October 18, 2023 calculations
Top border of price channel:
Exp(Y1,223)
= Exp(a + b × X1,223 + 2 × s)
= Exp(a + b × 1,776 + 2 × s)
= Exp(8.3105 + -0.0021 × 1,776 + 2 × 0.0645)
= Exp(4.7029)
= $110.26
Bottom border of price channel:
Exp(Y1,223)
= Exp(a + b × X1,223 – 2 × s)
= Exp(a + b × 1,776 – 2 × s)
= Exp(8.3105 + -0.0021 × 1,776 – 2 × 0.0645)
= Exp(4.4448)
= $85.19
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 53.60% per annum.
- MRNA price at the close of November 3, 2023 was $77.53 and was lower than the bottom border of the primary price channel by $4.84 (5.87%).
Secondary Trend
Start date: October 2, 2023
End date: November 2, 2023
a = 29.1705
b = -0.0139
s = 0.0429
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0139) – 1
= -99.38%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0429) – 1
= 18.70%
October 2, 2023 calculations
Top border of price channel:
Exp(Y1,211)
= Exp(a + b × X1,211 + 2 × s)
= Exp(a + b × 1,760 + 2 × s)
= Exp(29.1705 + -0.0139 × 1,760 + 2 × 0.0429)
= Exp(4.7765)
= $118.69
Bottom border of price channel:
Exp(Y1,211)
= Exp(a + b × X1,211 – 2 × s)
= Exp(a + b × 1,760 – 2 × s)
= Exp(29.1705 + -0.0139 × 1,760 – 2 × 0.0429)
= Exp(4.6051)
= $99.99
November 2, 2023 calculations
Top border of price channel:
Exp(Y1,234)
= Exp(a + b × X1,234 + 2 × s)
= Exp(a + b × 1,791 + 2 × s)
= Exp(29.1705 + -0.0139 × 1,791 + 2 × 0.0429)
= Exp(4.3453)
= $77.11
Bottom border of price channel:
Exp(Y1,234)
= Exp(a + b × X1,234 – 2 × s)
= Exp(a + b × 1,791 – 2 × s)
= Exp(29.1705 + -0.0139 × 1,791 – 2 × 0.0429)
= Exp(4.1739)
= $64.97
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 99.38% per annum.
- MRNA price at the close of November 3, 2023 was higher than the top border of the secondary price channel by $1.48 (1.95%). This indicates a possible reversal in the secondary trend direction.
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