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 39.46% per annum.
- KMI price at the close of April 29, 2020 was $15.71 and was lower than the bottom border of the primary price channel by $42.86 (73.18%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 0.22% per annum.
- KMI price at the close of April 29, 2020 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 KMI 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: December 3, 2015
End date: March 7, 2017
a = 2.5464
b = 0.0009
s = 0.0701
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0009) – 1
= 39.46%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0701) – 1
= 32.38%
December 3, 2015 calculations
Top border of price channel:
Exp(Y151)
= Exp(a + b × X151 + 2 × s)
= Exp(a + b × 217 + 2 × s)
= Exp(2.5464 + 0.0009 × 217 + 2 × 0.0701)
= Exp(2.8844)
= $17.89
Bottom border of price channel:
Exp(Y151)
= Exp(a + b × X151 – 2 × s)
= Exp(a + b × 217 – 2 × s)
= Exp(2.5464 + 0.0009 × 217 – 2 × 0.0701)
= Exp(2.6039)
= $13.52
March 7, 2017 calculations
Top border of price channel:
Exp(Y466)
= Exp(a + b × X466 + 2 × s)
= Exp(a + b × 677 + 2 × s)
= Exp(2.5464 + 0.0009 × 677 + 2 × 0.0701)
= Exp(3.3035)
= $27.21
Bottom border of price channel:
Exp(Y466)
= Exp(a + b × X466 – 2 × s)
= Exp(a + b × 677 – 2 × s)
= Exp(2.5464 + 0.0009 × 677 – 2 × 0.0701)
= Exp(3.0231)
= $20.55
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 39.46% per annum.
- KMI price at the close of April 29, 2020 was $15.71 and was lower than the bottom border of the primary price channel by $42.86 (73.18%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: February 17, 2016
End date: March 11, 2020
a = 2.9568
b = 0.0000
s = 0.0973
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0000) – 1
= -0.22%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0973) – 1
= 47.57%
February 17, 2016 calculations
Top border of price channel:
Exp(Y201)
= Exp(a + b × X201 + 2 × s)
= Exp(a + b × 293 + 2 × s)
= Exp(2.9568 + 0.0000 × 293 + 2 × 0.0973)
= Exp(3.1496)
= $23.33
Bottom border of price channel:
Exp(Y201)
= Exp(a + b × X201 – 2 × s)
= Exp(a + b × 293 – 2 × s)
= Exp(2.9568 + 0.0000 × 293 – 2 × 0.0973)
= Exp(2.7605)
= $15.81
March 11, 2020 calculations
Top border of price channel:
Exp(Y1,224)
= Exp(a + b × X1,224 + 2 × s)
= Exp(a + b × 1,777 + 2 × s)
= Exp(2.9568 + 0.0000 × 1,777 + 2 × 0.0973)
= Exp(3.1408)
= $23.12
Bottom border of price channel:
Exp(Y1,224)
= Exp(a + b × X1,224 – 2 × s)
= Exp(a + b × 1,777 – 2 × s)
= Exp(2.9568 + 0.0000 × 1,777 – 2 × 0.0973)
= Exp(2.7516)
= $15.67
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 0.22% per annum.
- KMI price at the close of April 29, 2020 was inside the secondary price channel.
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