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 151.26% per annum.
- ETN price at the close of May 1, 2024 was $312.03 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 5.28% per annum.
- ETN price at the close of May 1, 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 ETN 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 13, 2023
End date: April 30, 2024
a = 1.1950
b = 0.0025
s = 0.0327
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0025) – 1
= 151.26%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0327) – 1
= 13.99%
October 13, 2023 calculations
Top border of price channel:
Exp(Y1,121)
= Exp(a + b × X1,121 + 2 × s)
= Exp(a + b × 1,625 + 2 × s)
= Exp(1.1950 + 0.0025 × 1,625 + 2 × 0.0327)
= Exp(5.3623)
= $213.22
Bottom border of price channel:
Exp(Y1,121)
= Exp(a + b × X1,121 – 2 × s)
= Exp(a + b × 1,625 – 2 × s)
= Exp(1.1950 + 0.0025 × 1,625 – 2 × 0.0327)
= Exp(5.2314)
= $187.06
April 30, 2024 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(1.1950 + 0.0025 × 1,825 + 2 × 0.0327)
= Exp(5.8672)
= $353.24
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(1.1950 + 0.0025 × 1,825 – 2 × 0.0327)
= Exp(5.7363)
= $309.90
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 151.26% per annum.
- ETN price at the close of May 1, 2024 was $312.03 and was inside the primary price channel.
Secondary Trend
Start date: March 20, 2024
End date: May 1, 2024
a = 5.5004
b = 0.0001
s = 0.0187
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0001) – 1
= 5.28%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0187) – 1
= 7.79%
March 20, 2024 calculations
Top border of price channel:
Exp(Y1,229)
= Exp(a + b × X1,229 + 2 × s)
= Exp(a + b × 1,784 + 2 × s)
= Exp(5.5004 + 0.0001 × 1,784 + 2 × 0.0187)
= Exp(5.7892)
= $326.75
Bottom border of price channel:
Exp(Y1,229)
= Exp(a + b × X1,229 – 2 × s)
= Exp(a + b × 1,784 – 2 × s)
= Exp(5.5004 + 0.0001 × 1,784 – 2 × 0.0187)
= Exp(5.7142)
= $303.15
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(5.5004 + 0.0001 × 1,826 + 2 × 0.0187)
= Exp(5.7951)
= $328.69
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(5.5004 + 0.0001 × 1,826 – 2 × 0.0187)
= Exp(5.7201)
= $304.94
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 5.28% per annum.
- ETN 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.
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