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 42.69% per annum.
- CMCSA price at the close of May 20, 2024 was $39.21 and was lower than the bottom border of the primary price channel by $11.17 (22.16%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 12.32% per annum.
- CMCSA price at the close of May 20, 2024 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 CMCSA 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: August 26, 2022
End date: October 24, 2023
a = 2.2464
b = 0.0010
s = 0.0527
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0010) – 1
= 42.69%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0527) – 1
= 23.46%
August 26, 2022 calculations
Top border of price channel:
Exp(Y824)
= Exp(a + b × X824 + 2 × s)
= Exp(a + b × 1,193 + 2 × s)
= Exp(2.2464 + 0.0010 × 1,193 + 2 × 0.0527)
= Exp(3.5137)
= $33.57
Bottom border of price channel:
Exp(Y824)
= Exp(a + b × X824 – 2 × s)
= Exp(a + b × 1,193 – 2 × s)
= Exp(2.2464 + 0.0010 × 1,193 – 2 × 0.0527)
= Exp(3.3030)
= $27.19
October 24, 2023 calculations
Top border of price channel:
Exp(Y1,115)
= Exp(a + b × X1,115 + 2 × s)
= Exp(a + b × 1,617 + 2 × s)
= Exp(2.2464 + 0.0010 × 1,617 + 2 × 0.0527)
= Exp(3.9267)
= $50.74
Bottom border of price channel:
Exp(Y1,115)
= Exp(a + b × X1,115 – 2 × s)
= Exp(a + b × 1,617 – 2 × s)
= Exp(2.2464 + 0.0010 × 1,617 – 2 × 0.0527)
= Exp(3.7159)
= $41.10
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 42.69% per annum.
- CMCSA price at the close of May 20, 2024 was $39.21 and was lower than the bottom border of the primary price channel by $11.17 (22.16%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: July 27, 2023
End date: May 20, 2024
a = 4.3516
b = -0.0004
s = 0.0336
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0004) – 1
= -12.32%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0336) – 1
= 14.38%
July 27, 2023 calculations
Top border of price channel:
Exp(Y1,053)
= Exp(a + b × X1,053 + 2 × s)
= Exp(a + b × 1,528 + 2 × s)
= Exp(4.3516 + -0.0004 × 1,528 + 2 × 0.0336)
= Exp(3.8686)
= $47.87
Bottom border of price channel:
Exp(Y1,053)
= Exp(a + b × X1,053 – 2 × s)
= Exp(a + b × 1,528 – 2 × s)
= Exp(4.3516 + -0.0004 × 1,528 – 2 × 0.0336)
= Exp(3.7342)
= $41.86
May 20, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(4.3516 + -0.0004 × 1,826 + 2 × 0.0336)
= Exp(3.7613)
= $43.00
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.3516 + -0.0004 × 1,826 – 2 × 0.0336)
= Exp(3.6269)
= $37.60
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 12.32% per annum.
- CMCSA price at the close of May 20, 2024 was inside the secondary price channel.
- 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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