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 61.08% per annum.
- OKE price at the close of August 8, 2023 was $64.15 and was lower than the bottom border of the primary price channel by $38.73 (37.65%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 8.41% per annum.
- OKE price at the close of August 8, 2023 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 OKE 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: June 10, 2022
a = 2.5184
b = 0.0013
s = 0.1342
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0013) – 1
= 61.08%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1342) – 1
= 71.05%
March 9, 2020 calculations
Top border of price channel:
Exp(Y396)
= Exp(a + b × X396 + 2 × s)
= Exp(a + b × 578 + 2 × s)
= Exp(2.5184 + 0.0013 × 578 + 2 × 0.1342)
= Exp(3.5417)
= $34.53
Bottom border of price channel:
Exp(Y396)
= Exp(a + b × X396 – 2 × s)
= Exp(a + b × 578 – 2 × s)
= Exp(2.5184 + 0.0013 × 578 – 2 × 0.1342)
= Exp(3.0049)
= $20.18
June 10, 2022 calculations
Top border of price channel:
Exp(Y966)
= Exp(a + b × X966 + 2 × s)
= Exp(a + b × 1,401 + 2 × s)
= Exp(2.5184 + 0.0013 × 1,401 + 2 × 0.1342)
= Exp(4.6166)
= $101.15
Bottom border of price channel:
Exp(Y966)
= Exp(a + b × X966 – 2 × s)
= Exp(a + b × 1,401 – 2 × s)
= Exp(2.5184 + 0.0013 × 1,401 – 2 × 0.1342)
= Exp(4.0798)
= $59.13
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 61.08% per annum.
- OKE price at the close of August 8, 2023 was $64.15 and was lower than the bottom border of the primary price channel by $38.73 (37.65%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: March 5, 2021
End date: August 8, 2023
a = 3.7940
b = 0.0002
s = 0.0792
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0002) – 1
= 8.41%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0792) – 1
= 37.26%
March 5, 2021 calculations
Top border of price channel:
Exp(Y646)
= Exp(a + b × X646 + 2 × s)
= Exp(a + b × 939 + 2 × s)
= Exp(3.7940 + 0.0002 × 939 + 2 × 0.0792)
= Exp(4.1600)
= $64.07
Bottom border of price channel:
Exp(Y646)
= Exp(a + b × X646 – 2 × s)
= Exp(a + b × 939 – 2 × s)
= Exp(3.7940 + 0.0002 × 939 – 2 × 0.0792)
= Exp(3.8433)
= $46.68
August 8, 2023 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(3.7940 + 0.0002 × 1,825 + 2 × 0.0792)
= Exp(4.3560)
= $77.94
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(3.7940 + 0.0002 × 1,825 – 2 × 0.0792)
= Exp(4.0393)
= $56.79
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 8.41% per annum.
- OKE price at the close of August 8, 2023 was inside the secondary price channel.
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