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 13.89% per annum.
- APD price at the close of August 9, 2021 was $275.75 and was higher than the top border of the primary price channel by $4.32 (1.59%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 16.00% per annum.
- APD price at the close of August 9, 2021 was lower than the bottom border of the secondary price channel by $1.55 (0.56%). This indicates a possible reversal in the secondary trend direction.
- 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 APD 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: July 9, 2020
End date: March 25, 2021
a = 6.2761
b = -0.0004
s = 0.0377
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0004) – 1
= -13.89%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0377) – 1
= 16.29%
July 9, 2020 calculations
Top border of price channel:
Exp(Y984)
= Exp(a + b × X984 + 2 × s)
= Exp(a + b × 1,429 + 2 × s)
= Exp(6.2761 + -0.0004 × 1,429 + 2 × 0.0377)
= Exp(5.7660)
= $319.25
Bottom border of price channel:
Exp(Y984)
= Exp(a + b × X984 – 2 × s)
= Exp(a + b × 1,429 – 2 × s)
= Exp(6.2761 + -0.0004 × 1,429 – 2 × 0.0377)
= Exp(5.6151)
= $274.53
March 25, 2021 calculations
Top border of price channel:
Exp(Y1,163)
= Exp(a + b × X1,163 + 2 × s)
= Exp(a + b × 1,688 + 2 × s)
= Exp(6.2761 + -0.0004 × 1,688 + 2 × 0.0377)
= Exp(5.6598)
= $287.10
Bottom border of price channel:
Exp(Y1,163)
= Exp(a + b × X1,163 – 2 × s)
= Exp(a + b × 1,688 – 2 × s)
= Exp(6.2761 + -0.0004 × 1,688 – 2 × 0.0377)
= Exp(5.5089)
= $246.89
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 13.89% per annum.
- APD price at the close of August 9, 2021 was $275.75 and was higher than the top border of the primary price channel by $4.32 (1.59%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: November 12, 2020
End date: August 6, 2021
a = 4.9512
b = 0.0004
s = 0.0342
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0004) – 1
= 16.00%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0342) – 1
= 14.65%
November 12, 2020 calculations
Top border of price channel:
Exp(Y1,073)
= Exp(a + b × X1,073 + 2 × s)
= Exp(a + b × 1,555 + 2 × s)
= Exp(4.9512 + 0.0004 × 1,555 + 2 × 0.0342)
= Exp(5.6520)
= $284.85
Bottom border of price channel:
Exp(Y1,073)
= Exp(a + b × X1,073 – 2 × s)
= Exp(a + b × 1,555 – 2 × s)
= Exp(4.9512 + 0.0004 × 1,555 – 2 × 0.0342)
= Exp(5.5153)
= $248.46
August 6, 2021 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,822 + 2 × s)
= Exp(4.9512 + 0.0004 × 1,822 + 2 × 0.0342)
= Exp(5.7606)
= $317.52
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,822 – 2 × s)
= Exp(4.9512 + 0.0004 × 1,822 – 2 × 0.0342)
= Exp(5.6239)
= $276.96
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 16.00% per annum.
- APD price at the close of August 9, 2021 was lower than the bottom border of the secondary price channel by $1.55 (0.56%). This indicates a possible reversal in the secondary trend direction.
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