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 94.92% per annum.
- DAL price at the close of July 13, 2022 was $29.70 and was lower than the bottom border of the primary price channel by $58.78 (66.43%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 15.97% per annum.
- DAL price at the close of July 13, 2022 was lower than the bottom border of the secondary price channel by $2.20 (6.88%).
- 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 DAL 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: March 17, 2020
End date: June 16, 2021
a = 1.3368
b = 0.0018
s = 0.0955
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0018) – 1
= 94.92%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0955) – 1
= 46.53%
March 17, 2020 calculations
Top border of price channel:
Exp(Y672)
= Exp(a + b × X672 + 2 × s)
= Exp(a + b × 977 + 2 × s)
= Exp(1.3368 + 0.0018 × 977 + 2 × 0.0955)
= Exp(3.3143)
= $27.50
Bottom border of price channel:
Exp(Y672)
= Exp(a + b × X672 – 2 × s)
= Exp(a + b × 977 – 2 × s)
= Exp(1.3368 + 0.0018 × 977 – 2 × 0.0955)
= Exp(2.9322)
= $18.77
June 16, 2021 calculations
Top border of price channel:
Exp(Y987)
= Exp(a + b × X987 + 2 × s)
= Exp(a + b × 1,433 + 2 × s)
= Exp(1.3368 + 0.0018 × 1,433 + 2 × 0.0955)
= Exp(4.1481)
= $63.31
Bottom border of price channel:
Exp(Y987)
= Exp(a + b × X987 – 2 × s)
= Exp(a + b × 1,433 – 2 × s)
= Exp(1.3368 + 0.0018 × 1,433 – 2 × 0.0955)
= Exp(3.7660)
= $43.21
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 94.92% per annum.
- DAL price at the close of July 13, 2022 was $29.70 and was lower than the bottom border of the primary price channel by $58.78 (66.43%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: February 8, 2021
End date: June 15, 2022
a = 4.4688
b = -0.0005
s = 0.0680
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0005) – 1
= -15.97%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0680) – 1
= 31.26%
February 8, 2021 calculations
Top border of price channel:
Exp(Y898)
= Exp(a + b × X898 + 2 × s)
= Exp(a + b × 1,305 + 2 × s)
= Exp(4.4688 + -0.0005 × 1,305 + 2 × 0.0680)
= Exp(3.9825)
= $53.65
Bottom border of price channel:
Exp(Y898)
= Exp(a + b × X898 – 2 × s)
= Exp(a + b × 1,305 – 2 × s)
= Exp(4.4688 + -0.0005 × 1,305 – 2 × 0.0680)
= Exp(3.7104)
= $40.87
June 15, 2022 calculations
Top border of price channel:
Exp(Y1,239)
= Exp(a + b × X1,239 + 2 × s)
= Exp(a + b × 1,797 + 2 × s)
= Exp(4.4688 + -0.0005 × 1,797 + 2 × 0.0680)
= Exp(3.7479)
= $42.43
Bottom border of price channel:
Exp(Y1,239)
= Exp(a + b × X1,239 – 2 × s)
= Exp(a + b × 1,797 – 2 × s)
= Exp(4.4688 + -0.0005 × 1,797 – 2 × 0.0680)
= Exp(3.4758)
= $32.32
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 15.97% per annum.
- DAL price at the close of July 13, 2022 was lower than the bottom border of the secondary price channel by $2.20 (6.88%).
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