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 94.38% per annum.
- CMI price at the close of May 1, 2024 was $283.87 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 55.17% per annum.
- CMI price at the close of May 1, 2024 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 CMI 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: October 20, 2023
End date: April 29, 2024
a = 2.3782
b = 0.0018
s = 0.0295
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0018) – 1
= 94.38%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0295) – 1
= 12.54%
October 20, 2023 calculations
Top border of price channel:
Exp(Y1,126)
= Exp(a + b × X1,126 + 2 × s)
= Exp(a + b × 1,632 + 2 × s)
= Exp(2.3782 + 0.0018 × 1,632 + 2 × 0.0295)
= Exp(5.4092)
= $223.45
Bottom border of price channel:
Exp(Y1,126)
= Exp(a + b × X1,126 – 2 × s)
= Exp(a + b × 1,632 – 2 × s)
= Exp(2.3782 + 0.0018 × 1,632 – 2 × 0.0295)
= Exp(5.2910)
= $198.55
April 29, 2024 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(2.3782 + 0.0018 × 1,824 + 2 × 0.0295)
= Exp(5.7588)
= $316.98
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(2.3782 + 0.0018 × 1,824 – 2 × 0.0295)
= Exp(5.6407)
= $281.65
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 94.38% per annum.
- CMI price at the close of May 1, 2024 was $283.87 and was inside the primary price channel.
Secondary Trend
Start date: April 5, 2024
End date: May 1, 2024
a = 9.6699
b = -0.0022
s = 0.0108
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0022) – 1
= -55.17%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0108) – 1
= 4.42%
April 5, 2024 calculations
Top border of price channel:
Exp(Y1,240)
= Exp(a + b × X1,240 + 2 × s)
= Exp(a + b × 1,800 + 2 × s)
= Exp(9.6699 + -0.0022 × 1,800 + 2 × 0.0108)
= Exp(5.7344)
= $309.34
Bottom border of price channel:
Exp(Y1,240)
= Exp(a + b × X1,240 – 2 × s)
= Exp(a + b × 1,800 – 2 × s)
= Exp(9.6699 + -0.0022 × 1,800 – 2 × 0.0108)
= Exp(5.6912)
= $296.26
May 1, 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(9.6699 + -0.0022 × 1,826 + 2 × 0.0108)
= Exp(5.6773)
= $292.16
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(9.6699 + -0.0022 × 1,826 – 2 × 0.0108)
= Exp(5.6341)
= $279.80
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 55.17% per annum.
- CMI price at the close of May 1, 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.
Check out CMI and 1,499 other stocks on our new website