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 46.11% per annum.
- NOV price at the close of August 3, 2016 was $32.66 and was higher than the top border of the primary price channel by $6.19 (23.41%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 27.56% per annum.
- NOV price at the close of August 3, 2016 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 NOV 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 29, 2014
End date: April 26, 2016
a = 6.2397
b = -0.0017
s = 0.0644
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0017) – 1
= -46.11%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0644) – 1
= 29.36%
May 29, 2014 calculations
Top border of price channel:
Exp(Y707)
= Exp(a + b × X707 + 2 × s)
= Exp(a + b × 1,029 + 2 × s)
= Exp(6.2397 + -0.0017 × 1,029 + 2 × 0.0644)
= Exp(4.6257)
= $102.07
Bottom border of price channel:
Exp(Y707)
= Exp(a + b × X707 – 2 × s)
= Exp(a + b × 1,029 – 2 × s)
= Exp(6.2397 + -0.0017 × 1,029 – 2 × 0.0644)
= Exp(4.3682)
= $78.90
April 26, 2016 calculations
Top border of price channel:
Exp(Y1,188)
= Exp(a + b × X1,188 + 2 × s)
= Exp(a + b × 1,727 + 2 × s)
= Exp(6.2397 + -0.0017 × 1,727 + 2 × 0.0644)
= Exp(3.4435)
= $31.30
Bottom border of price channel:
Exp(Y1,188)
= Exp(a + b × X1,188 – 2 × s)
= Exp(a + b × 1,727 – 2 × s)
= Exp(6.2397 + -0.0017 × 1,727 – 2 × 0.0644)
= Exp(3.1861)
= $24.19
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 46.11% per annum.
- NOV price at the close of August 3, 2016 was $32.66 and was higher than the top border of the primary price channel by $6.19 (23.41%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: January 6, 2016
End date: August 3, 2016
a = 2.2995
b = 0.0007
s = 0.0596
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0007) – 1
= 27.56%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0596) – 1
= 26.90%
January 6, 2016 calculations
Top border of price channel:
Exp(Y1,112)
= Exp(a + b × X1,112 + 2 × s)
= Exp(a + b × 1,616 + 2 × s)
= Exp(2.2995 + 0.0007 × 1,616 + 2 × 0.0596)
= Exp(3.4963)
= $32.99
Bottom border of price channel:
Exp(Y1,112)
= Exp(a + b × X1,112 – 2 × s)
= Exp(a + b × 1,616 – 2 × s)
= Exp(2.2995 + 0.0007 × 1,616 – 2 × 0.0596)
= Exp(3.2581)
= $26.00
August 3, 2016 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(2.2995 + 0.0007 × 1,826 + 2 × 0.0596)
= Exp(3.6363)
= $37.95
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(2.2995 + 0.0007 × 1,826 – 2 × 0.0596)
= Exp(3.3981)
= $29.91
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 27.56% per annum.
- NOV price at the close of August 3, 2016 was inside the secondary price channel.