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 23.22% per annum.
- ROST price at the close of December 7, 2022 was $115.36 and was higher than the top border of the primary price channel by $22.12 (23.73%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 107.22% per annum.
- ROST price at the close of December 7, 2022 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 ROST 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: December 17, 2020
End date: October 24, 2022
a = 5.6951
b = -0.0007
s = 0.0806
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0007) – 1
= -23.22%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0806) – 1
= 38.04%
December 17, 2020 calculations
Top border of price channel:
Exp(Y761)
= Exp(a + b × X761 + 2 × s)
= Exp(a + b × 1,105 + 2 × s)
= Exp(5.6951 + -0.0007 × 1,105 + 2 × 0.0806)
= Exp(5.0563)
= $157.01
Bottom border of price channel:
Exp(Y761)
= Exp(a + b × X761 – 2 × s)
= Exp(a + b × 1,105 – 2 × s)
= Exp(5.6951 + -0.0007 × 1,105 – 2 × 0.0806)
= Exp(4.7340)
= $113.75
October 24, 2022 calculations
Top border of price channel:
Exp(Y1,226)
= Exp(a + b × X1,226 + 2 × s)
= Exp(a + b × 1,781 + 2 × s)
= Exp(5.6951 + -0.0007 × 1,781 + 2 × 0.0806)
= Exp(4.5670)
= $96.25
Bottom border of price channel:
Exp(Y1,226)
= Exp(a + b × X1,226 – 2 × s)
= Exp(a + b × 1,781 – 2 × s)
= Exp(5.6951 + -0.0007 × 1,781 – 2 × 0.0806)
= Exp(4.2446)
= $69.73
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 23.22% per annum.
- ROST price at the close of December 7, 2022 was $115.36 and was higher than the top border of the primary price channel by $22.12 (23.73%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: June 9, 2022
End date: December 7, 2022
a = 1.0094
b = 0.0020
s = 0.0660
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0020) – 1
= 107.22%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0660) – 1
= 30.19%
June 9, 2022 calculations
Top border of price channel:
Exp(Y1,132)
= Exp(a + b × X1,132 + 2 × s)
= Exp(a + b × 1,644 + 2 × s)
= Exp(1.0094 + 0.0020 × 1,644 + 2 × 0.0660)
= Exp(4.4231)
= $83.36
Bottom border of price channel:
Exp(Y1,132)
= Exp(a + b × X1,132 – 2 × s)
= Exp(a + b × 1,644 – 2 × s)
= Exp(1.0094 + 0.0020 × 1,644 – 2 × 0.0660)
= Exp(4.1593)
= $64.02
December 7, 2022 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(1.0094 + 0.0020 × 1,825 + 2 × 0.0660)
= Exp(4.7844)
= $119.63
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(1.0094 + 0.0020 × 1,825 – 2 × 0.0660)
= Exp(4.5206)
= $91.89
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 107.22% per annum.
- ROST price at the close of December 7, 2022 was inside the secondary price channel.
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