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 10.85% per annum.
- GD price at the close of October 28, 2020 was $132.43 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 23.26% per annum.
- GD price at the close of October 28, 2020 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 GD 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: May 23, 2017
End date: October 28, 2020
a = 5.5683
b = -0.0003
s = 0.0830
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0003) – 1
= -10.85%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0830) – 1
= 39.39%
May 23, 2017 calculations
Top border of price channel:
Exp(Y393)
= Exp(a + b × X393 + 2 × s)
= Exp(a + b × 572 + 2 × s)
= Exp(5.5683 + -0.0003 × 572 + 2 × 0.0830)
= Exp(5.5544)
= $258.38
Bottom border of price channel:
Exp(Y393)
= Exp(a + b × X393 – 2 × s)
= Exp(a + b × 572 – 2 × s)
= Exp(5.5683 + -0.0003 × 572 – 2 × 0.0830)
= Exp(5.2223)
= $185.36
October 28, 2020 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(5.5683 + -0.0003 × 1,826 + 2 × 0.0830)
= Exp(5.1600)
= $174.17
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(5.5683 + -0.0003 × 1,826 – 2 × 0.0830)
= Exp(4.8279)
= $124.95
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 10.85% per annum.
- GD price at the close of October 28, 2020 was $132.43 and was inside the primary price channel.
Secondary Trend
Start date: June 28, 2019
End date: October 28, 2020
a = 6.2319
b = -0.0007
s = 0.0886
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0007) – 1
= -23.26%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0886) – 1
= 42.51%
June 28, 2019 calculations
Top border of price channel:
Exp(Y921)
= Exp(a + b × X921 + 2 × s)
= Exp(a + b × 1,338 + 2 × s)
= Exp(6.2319 + -0.0007 × 1,338 + 2 × 0.0886)
= Exp(5.4383)
= $230.05
Bottom border of price channel:
Exp(Y921)
= Exp(a + b × X921 – 2 × s)
= Exp(a + b × 1,338 – 2 × s)
= Exp(6.2319 + -0.0007 × 1,338 – 2 × 0.0886)
= Exp(5.0841)
= $161.43
October 28, 2020 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(6.2319 + -0.0007 × 1,826 + 2 × 0.0886)
= Exp(5.0843)
= $161.46
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(6.2319 + -0.0007 × 1,826 – 2 × 0.0886)
= Exp(4.7300)
= $113.30
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 23.26% per annum.
- GD price at the close of October 28, 2020 was inside the secondary price channel.
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