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 133.39% per annum.
- MRO price at the close of August 4, 2022 was $21.47 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 34.28% per annum.
- MRO price at the close of August 4, 2022 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 MRO 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 9, 2020
End date: August 3, 2022
a = -0.8432
b = 0.0023
s = 0.1817
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0023) – 1
= 133.39%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1817) – 1
= 106.84%
March 9, 2020 calculations
Top border of price channel:
Exp(Y650)
= Exp(a + b × X650 + 2 × s)
= Exp(a + b × 945 + 2 × s)
= Exp(-0.8432 + 0.0023 × 945 + 2 × 0.1817)
= Exp(1.7145)
= $5.55
Bottom border of price channel:
Exp(Y650)
= Exp(a + b × X650 – 2 × s)
= Exp(a + b × 945 – 2 × s)
= Exp(-0.8432 + 0.0023 × 945 – 2 × 0.1817)
= Exp(0.9877)
= $2.69
August 3, 2022 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,822 + 2 × s)
= Exp(-0.8432 + 0.0023 × 1,822 + 2 × 0.1817)
= Exp(3.7509)
= $42.56
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,822 – 2 × s)
= Exp(-0.8432 + 0.0023 × 1,822 – 2 × 0.1817)
= Exp(3.0241)
= $20.58
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 133.39% per annum.
- MRO price at the close of August 4, 2022 was $21.47 and was inside the primary price channel.
Secondary Trend
Start date: March 21, 2022
End date: August 4, 2022
a = 5.2488
b = -0.0012
s = 0.1058
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0012) – 1
= -34.28%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1058) – 1
= 52.65%
March 21, 2022 calculations
Top border of price channel:
Exp(Y1,163)
= Exp(a + b × X1,163 + 2 × s)
= Exp(a + b × 1,687 + 2 × s)
= Exp(5.2488 + -0.0012 × 1,687 + 2 × 0.1058)
= Exp(3.5201)
= $33.79
Bottom border of price channel:
Exp(Y1,163)
= Exp(a + b × X1,163 – 2 × s)
= Exp(a + b × 1,687 – 2 × s)
= Exp(5.2488 + -0.0012 × 1,687 – 2 × 0.1058)
= Exp(3.0971)
= $22.13
August 4, 2022 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,823 + 2 × s)
= Exp(5.2488 + -0.0012 × 1,823 + 2 × 0.1058)
= Exp(3.3637)
= $28.90
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,823 – 2 × s)
= Exp(5.2488 + -0.0012 × 1,823 – 2 × 0.1058)
= Exp(2.9407)
= $18.93
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 34.28% per annum.
- MRO price at the close of August 4, 2022 was inside the secondary price channel.
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