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 21.97% per annum.
- MDLZ price at the close of May 17, 2024 was $71.23 and was higher than the top border of the primary price channel by $9.74 (15.83%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 0.24% per annum.
- MDLZ price at the close of May 17, 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 MDLZ 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: April 20, 2023
End date: November 9, 2023
a = 5.2943
b = -0.0007
s = 0.0322
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0007) – 1
= -21.97%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0322) – 1
= 13.74%
April 20, 2023 calculations
Top border of price channel:
Exp(Y987)
= Exp(a + b × X987 + 2 × s)
= Exp(a + b × 1,431 + 2 × s)
= Exp(5.2943 + -0.0007 × 1,431 + 2 × 0.0322)
= Exp(4.3861)
= $80.32
Bottom border of price channel:
Exp(Y987)
= Exp(a + b × X987 – 2 × s)
= Exp(a + b × 1,431 – 2 × s)
= Exp(5.2943 + -0.0007 × 1,431 – 2 × 0.0322)
= Exp(4.2573)
= $70.62
November 9, 2023 calculations
Top border of price channel:
Exp(Y1,128)
= Exp(a + b × X1,128 + 2 × s)
= Exp(a + b × 1,634 + 2 × s)
= Exp(5.2943 + -0.0007 × 1,634 + 2 × 0.0322)
= Exp(4.2481)
= $69.97
Bottom border of price channel:
Exp(Y1,128)
= Exp(a + b × X1,128 – 2 × s)
= Exp(a + b × 1,634 – 2 × s)
= Exp(5.2943 + -0.0007 × 1,634 – 2 × 0.0322)
= Exp(4.1193)
= $61.52
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 21.97% per annum.
- MDLZ price at the close of May 17, 2024 was $71.23 and was higher than the top border of the primary price channel by $9.74 (15.83%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: May 24, 2023
End date: May 17, 2024
a = 4.2421
b = 0.0000
s = 0.0407
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0000) – 1
= 0.24%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0407) – 1
= 17.67%
May 24, 2023 calculations
Top border of price channel:
Exp(Y1,011)
= Exp(a + b × X1,011 + 2 × s)
= Exp(a + b × 1,465 + 2 × s)
= Exp(4.2421 + 0.0000 × 1,465 + 2 × 0.0407)
= Exp(4.3331)
= $76.18
Bottom border of price channel:
Exp(Y1,011)
= Exp(a + b × X1,011 – 2 × s)
= Exp(a + b × 1,465 – 2 × s)
= Exp(4.2421 + 0.0000 × 1,465 – 2 × 0.0407)
= Exp(4.1704)
= $64.74
May 17, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(4.2421 + 0.0000 × 1,824 + 2 × 0.0407)
= Exp(4.3354)
= $76.36
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(4.2421 + 0.0000 × 1,824 – 2 × 0.0407)
= Exp(4.1727)
= $64.89
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 0.24% per annum.
- MDLZ price at the close of May 17, 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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