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 34.34% per annum.
- VRTX price at the close of February 15, 2024 was $426.29 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 25.81% per annum.
- VRTX price at the close of February 15, 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 VRTX 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 11, 2021
End date: February 15, 2024
a = 4.5613
b = 0.0008
s = 0.0669
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0008) – 1
= 34.34%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0669) – 1
= 30.70%
June 11, 2021 calculations
Top border of price channel:
Exp(Y583)
= Exp(a + b × X583 + 2 × s)
= Exp(a + b × 843 + 2 × s)
= Exp(4.5613 + 0.0008 × 843 + 2 × 0.0669)
= Exp(5.3770)
= $216.36
Bottom border of price channel:
Exp(Y583)
= Exp(a + b × X583 – 2 × s)
= Exp(a + b × 843 – 2 × s)
= Exp(4.5613 + 0.0008 × 843 – 2 × 0.0669)
= Exp(5.1092)
= $165.54
February 15, 2024 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,822 + 2 × s)
= Exp(4.5613 + 0.0008 × 1,822 + 2 × 0.0669)
= Exp(6.1687)
= $477.55
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,822 – 2 × s)
= Exp(4.5613 + 0.0008 × 1,822 – 2 × 0.0669)
= Exp(5.9009)
= $365.37
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 34.34% per annum.
- VRTX price at the close of February 15, 2024 was $426.29 and was inside the primary price channel.
Secondary Trend
Start date: March 15, 2022
End date: February 15, 2024
a = 4.8405
b = 0.0006
s = 0.0487
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0006) – 1
= 25.81%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0487) – 1
= 21.49%
March 15, 2022 calculations
Top border of price channel:
Exp(Y774)
= Exp(a + b × X774 + 2 × s)
= Exp(a + b × 1,120 + 2 × s)
= Exp(4.8405 + 0.0006 × 1,120 + 2 × 0.0487)
= Exp(5.6424)
= $282.14
Bottom border of price channel:
Exp(Y774)
= Exp(a + b × X774 – 2 × s)
= Exp(a + b × 1,120 – 2 × s)
= Exp(4.8405 + 0.0006 × 1,120 – 2 × 0.0487)
= Exp(5.4477)
= $232.23
February 15, 2024 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,822 + 2 × s)
= Exp(4.8405 + 0.0006 × 1,822 + 2 × 0.0487)
= Exp(6.0840)
= $438.78
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,822 – 2 × s)
= Exp(4.8405 + 0.0006 × 1,822 – 2 × 0.0487)
= Exp(5.8893)
= $361.17
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 25.81% per annum.
- VRTX price at the close of February 15, 2024 was inside the secondary price channel.
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