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 56.77% per annum.
- ORCL price at the close of March 26, 2024 was $126.47 and was lower than the bottom border of the primary price channel by $2.46 (1.91%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 7.31% per annum.
- ORCL price at the close of March 26, 2024 was higher than the top border of the secondary price channel by $6.72 (5.61%). This indicates a possible reversal in the secondary trend direction.
- 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 ORCL 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 5, 2022
End date: September 22, 2023
a = 2.7545
b = 0.0012
s = 0.0723
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0012) – 1
= 56.77%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0723) – 1
= 33.52%
May 5, 2022 calculations
Top border of price channel:
Exp(Y784)
= Exp(a + b × X784 + 2 × s)
= Exp(a + b × 1,135 + 2 × s)
= Exp(2.7545 + 0.0012 × 1,135 + 2 × 0.0723)
= Exp(4.2972)
= $73.49
Bottom border of price channel:
Exp(Y784)
= Exp(a + b × X784 – 2 × s)
= Exp(a + b × 1,135 – 2 × s)
= Exp(2.7545 + 0.0012 × 1,135 – 2 × 0.0723)
= Exp(4.0081)
= $55.04
September 22, 2023 calculations
Top border of price channel:
Exp(Y1,131)
= Exp(a + b × X1,131 + 2 × s)
= Exp(a + b × 1,640 + 2 × s)
= Exp(2.7545 + 0.0012 × 1,640 + 2 × 0.0723)
= Exp(4.9193)
= $136.90
Bottom border of price channel:
Exp(Y1,131)
= Exp(a + b × X1,131 – 2 × s)
= Exp(a + b × 1,640 – 2 × s)
= Exp(2.7545 + 0.0012 × 1,640 – 2 × 0.0723)
= Exp(4.6301)
= $102.53
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 56.77% per annum.
- ORCL price at the close of March 26, 2024 was $126.47 and was lower than the bottom border of the primary price channel by $2.46 (1.91%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: May 31, 2023
End date: March 11, 2024
a = 5.0676
b = -0.0002
s = 0.0488
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0002) – 1
= -7.31%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0488) – 1
= 21.54%
May 31, 2023 calculations
Top border of price channel:
Exp(Y1,052)
= Exp(a + b × X1,052 + 2 × s)
= Exp(a + b × 1,526 + 2 × s)
= Exp(5.0676 + -0.0002 × 1,526 + 2 × 0.0488)
= Exp(4.8478)
= $127.46
Bottom border of price channel:
Exp(Y1,052)
= Exp(a + b × X1,052 – 2 × s)
= Exp(a + b × 1,526 – 2 × s)
= Exp(5.0676 + -0.0002 × 1,526 – 2 × 0.0488)
= Exp(4.6527)
= $104.87
March 11, 2024 calculations
Top border of price channel:
Exp(Y1,247)
= Exp(a + b × X1,247 + 2 × s)
= Exp(a + b × 1,811 + 2 × s)
= Exp(5.0676 + -0.0002 × 1,811 + 2 × 0.0488)
= Exp(4.7886)
= $120.13
Bottom border of price channel:
Exp(Y1,247)
= Exp(a + b × X1,247 – 2 × s)
= Exp(a + b × 1,811 – 2 × s)
= Exp(5.0676 + -0.0002 × 1,811 – 2 × 0.0488)
= Exp(4.5935)
= $98.84
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 7.31% per annum.
- ORCL price at the close of March 26, 2024 was higher than the top border of the secondary price channel by $6.72 (5.61%). This indicates a possible reversal in the secondary trend direction.
- Discover a new approach to trend analysis.
- Check the power of mathematical statistics.
- Price channels have never been so accurately estimated.
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