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 13.79% per annum.
- REGN price at the close of May 16, 2024 was $967.98 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 20.67% per annum.
- REGN price at the close of May 16, 2024 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 REGN 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 2, 2020
End date: December 27, 2023
a = 6.1039
b = 0.0004
s = 0.0930
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0004) – 1
= 13.79%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0930) – 1
= 45.06%
March 2, 2020 calculations
Top border of price channel:
Exp(Y198)
= Exp(a + b × X198 + 2 × s)
= Exp(a + b × 290 + 2 × s)
= Exp(6.1039 + 0.0004 × 290 + 2 × 0.0930)
= Exp(6.3925)
= $597.37
Bottom border of price channel:
Exp(Y198)
= Exp(a + b × X198 – 2 × s)
= Exp(a + b × 290 – 2 × s)
= Exp(6.1039 + 0.0004 × 290 – 2 × 0.0930)
= Exp(6.0206)
= $411.81
December 27, 2023 calculations
Top border of price channel:
Exp(Y1,161)
= Exp(a + b × X1,161 + 2 × s)
= Exp(a + b × 1,685 + 2 × s)
= Exp(6.1039 + 0.0004 × 1,685 + 2 × 0.0930)
= Exp(6.8863)
= $978.75
Bottom border of price channel:
Exp(Y1,161)
= Exp(a + b × X1,161 – 2 × s)
= Exp(a + b × 1,685 – 2 × s)
= Exp(6.1039 + 0.0004 × 1,685 – 2 × 0.0930)
= Exp(6.5143)
= $674.71
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 13.79% per annum.
- REGN price at the close of May 16, 2024 was $967.98 and was inside the primary price channel.
Secondary Trend
Start date: November 24, 2020
End date: May 16, 2024
a = 5.9070
b = 0.0005
s = 0.0682
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0005) – 1
= 20.67%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0682) – 1
= 31.37%
November 24, 2020 calculations
Top border of price channel:
Exp(Y385)
= Exp(a + b × X385 + 2 × s)
= Exp(a + b × 557 + 2 × s)
= Exp(5.9070 + 0.0005 × 557 + 2 × 0.0682)
= Exp(6.3302)
= $561.28
Bottom border of price channel:
Exp(Y385)
= Exp(a + b × X385 – 2 × s)
= Exp(a + b × 557 – 2 × s)
= Exp(5.9070 + 0.0005 × 557 – 2 × 0.0682)
= Exp(6.0574)
= $427.26
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(5.9070 + 0.0005 × 1,826 + 2 × 0.0682)
= Exp(6.9836)
= $1,078.77
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(5.9070 + 0.0005 × 1,826 – 2 × 0.0682)
= Exp(6.7108)
= $821.19
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 20.67% per annum.
- REGN 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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