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 15.45% per annum.
- KMB price at the close of April 23, 2021 was $132.11 and was lower than the bottom border of the primary price channel by $16.72 (11.24%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 1.08% per annum.
- KMB price at the close of April 23, 2021 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 KMB 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: February 5, 2018
End date: October 21, 2020
a = 4.3846
b = 0.0004
s = 0.0498
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0004) – 1
= 15.45%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0498) – 1
= 22.02%
February 5, 2018 calculations
Top border of price channel:
Exp(Y449)
= Exp(a + b × X449 + 2 × s)
= Exp(a + b × 651 + 2 × s)
= Exp(4.3846 + 0.0004 × 651 + 2 × 0.0498)
= Exp(4.7403)
= $114.47
Bottom border of price channel:
Exp(Y449)
= Exp(a + b × X449 – 2 × s)
= Exp(a + b × 651 – 2 × s)
= Exp(4.3846 + 0.0004 × 651 – 2 × 0.0498)
= Exp(4.5412)
= $93.81
October 21, 2020 calculations
Top border of price channel:
Exp(Y1,132)
= Exp(a + b × X1,132 + 2 × s)
= Exp(a + b × 1,640 + 2 × s)
= Exp(4.3846 + 0.0004 × 1,640 + 2 × 0.0498)
= Exp(5.1295)
= $168.93
Bottom border of price channel:
Exp(Y1,132)
= Exp(a + b × X1,132 – 2 × s)
= Exp(a + b × 1,640 – 2 × s)
= Exp(4.3846 + 0.0004 × 1,640 – 2 × 0.0498)
= Exp(4.9304)
= $138.44
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 15.45% per annum.
- KMB price at the close of April 23, 2021 was $132.11 and was lower than the bottom border of the primary price channel by $16.72 (11.24%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: May 20, 2019
End date: April 23, 2021
a = 4.8865
b = 0.0000
s = 0.0499
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0000) – 1
= 1.08%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0499) – 1
= 22.09%
May 20, 2019 calculations
Top border of price channel:
Exp(Y772)
= Exp(a + b × X772 + 2 × s)
= Exp(a + b × 1,120 + 2 × s)
= Exp(4.8865 + 0.0000 × 1,120 + 2 × 0.0499)
= Exp(5.0194)
= $151.31
Bottom border of price channel:
Exp(Y772)
= Exp(a + b × X772 – 2 × s)
= Exp(a + b × 1,120 – 2 × s)
= Exp(4.8865 + 0.0000 × 1,120 – 2 × 0.0499)
= Exp(4.8197)
= $123.93
April 23, 2021 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(4.8865 + 0.0000 × 1,824 + 2 × 0.0499)
= Exp(5.0401)
= $154.49
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(4.8865 + 0.0000 × 1,824 – 2 × 0.0499)
= Exp(4.8405)
= $126.53
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 1.08% per annum.
- KMB price at the close of April 23, 2021 was inside the secondary price channel.
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