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 34.02% per annum.
- ON price at the close of April 24, 2024 was $65.53 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 87.02% per annum.
- ON price at the close of April 24, 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 ON 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: June 6, 2023
End date: April 24, 2024
a = 6.3081
b = -0.0011
s = 0.0909
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0011) – 1
= -34.02%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0909) – 1
= 43.85%
June 6, 2023 calculations
Top border of price channel:
Exp(Y1,036)
= Exp(a + b × X1,036 + 2 × s)
= Exp(a + b × 1,503 + 2 × s)
= Exp(6.3081 + -0.0011 × 1,503 + 2 × 0.0909)
= Exp(4.7778)
= $118.85
Bottom border of price channel:
Exp(Y1,036)
= Exp(a + b × X1,036 – 2 × s)
= Exp(a + b × 1,503 – 2 × s)
= Exp(6.3081 + -0.0011 × 1,503 – 2 × 0.0909)
= Exp(4.4143)
= $82.62
April 24, 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(6.3081 + -0.0011 × 1,826 + 2 × 0.0909)
= Exp(4.4099)
= $82.26
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(6.3081 + -0.0011 × 1,826 – 2 × 0.0909)
= Exp(4.0463)
= $57.19
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 34.02% per annum.
- ON price at the close of April 24, 2024 was $65.53 and was inside the primary price channel.
Secondary Trend
Start date: March 7, 2024
End date: April 24, 2024
a = 14.3481
b = -0.0056
s = 0.0276
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0056) – 1
= -87.02%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0276) – 1
= 11.65%
March 7, 2024 calculations
Top border of price channel:
Exp(Y1,225)
= Exp(a + b × X1,225 + 2 × s)
= Exp(a + b × 1,778 + 2 × s)
= Exp(14.3481 + -0.0056 × 1,778 + 2 × 0.0276)
= Exp(4.4580)
= $86.31
Bottom border of price channel:
Exp(Y1,225)
= Exp(a + b × X1,225 – 2 × s)
= Exp(a + b × 1,778 – 2 × s)
= Exp(14.3481 + -0.0056 × 1,778 – 2 × 0.0276)
= Exp(4.3477)
= $77.30
April 24, 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(14.3481 + -0.0056 × 1,826 + 2 × 0.0276)
= Exp(4.1895)
= $65.99
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(14.3481 + -0.0056 × 1,826 – 2 × 0.0276)
= Exp(4.0793)
= $59.10
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 87.02% per annum.
- ON price at the close of April 24, 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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