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 38.60% per annum.
- ISRG price at the close of May 16, 2024 was $396.43 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 5.67% per annum.
- ISRG price at the close of May 16, 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 ISRG 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 9, 2022
End date: May 16, 2024
a = 4.3297
b = 0.0009
s = 0.0895
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0009) – 1
= 38.60%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0895) – 1
= 43.07%
May 9, 2022 calculations
Top border of price channel:
Exp(Y750)
= Exp(a + b × X750 + 2 × s)
= Exp(a + b × 1,088 + 2 × s)
= Exp(4.3297 + 0.0009 × 1,088 + 2 × 0.0895)
= Exp(5.4818)
= $240.29
Bottom border of price channel:
Exp(Y750)
= Exp(a + b × X750 – 2 × s)
= Exp(a + b × 1,088 – 2 × s)
= Exp(4.3297 + 0.0009 × 1,088 – 2 × 0.0895)
= Exp(5.1236)
= $167.95
May 16, 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(4.3297 + 0.0009 × 1,826 + 2 × 0.0895)
= Exp(6.1419)
= $464.93
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.3297 + 0.0009 × 1,826 – 2 × 0.0895)
= Exp(5.7837)
= $324.96
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 38.60% per annum.
- ISRG price at the close of May 16, 2024 was $396.43 and was inside the primary price channel.
Secondary Trend
Start date: February 1, 2024
End date: May 16, 2024
a = 6.2373
b = -0.0002
s = 0.0200
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0002) – 1
= -5.67%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0200) – 1
= 8.33%
February 1, 2024 calculations
Top border of price channel:
Exp(Y1,185)
= Exp(a + b × X1,185 + 2 × s)
= Exp(a + b × 1,721 + 2 × s)
= Exp(6.2373 + -0.0002 × 1,721 + 2 × 0.0200)
= Exp(6.0020)
= $404.23
Bottom border of price channel:
Exp(Y1,185)
= Exp(a + b × X1,185 – 2 × s)
= Exp(a + b × 1,721 – 2 × s)
= Exp(6.2373 + -0.0002 × 1,721 – 2 × 0.0200)
= Exp(5.9220)
= $373.15
May 16, 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(6.2373 + -0.0002 × 1,826 + 2 × 0.0200)
= Exp(5.9852)
= $397.50
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(6.2373 + -0.0002 × 1,826 – 2 × 0.0200)
= Exp(5.9052)
= $366.93
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 5.67% per annum.
- ISRG price at the close of May 16, 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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