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 2.01% per annum.
- XOM price at the close of May 16, 2024 was $117.87 and was higher than the top border of the primary price channel by $6.71 (6.04%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 133.49% per annum.
- XOM price at the close of May 16, 2024 was lower than the bottom border of the secondary price channel by $4.68 (3.82%). 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 XOM 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: October 19, 2022
End date: March 13, 2024
a = 4.7292
b = -0.0001
s = 0.0418
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -2.01%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0418) – 1
= 18.19%
October 19, 2022 calculations
Top border of price channel:
Exp(Y863)
= Exp(a + b × X863 + 2 × s)
= Exp(a + b × 1,251 + 2 × s)
= Exp(4.7292 + -0.0001 × 1,251 + 2 × 0.0418)
= Exp(4.7430)
= $114.78
Bottom border of price channel:
Exp(Y863)
= Exp(a + b × X863 – 2 × s)
= Exp(a + b × 1,251 – 2 × s)
= Exp(4.7292 + -0.0001 × 1,251 – 2 × 0.0418)
= Exp(4.5759)
= $97.12
March 13, 2024 calculations
Top border of price channel:
Exp(Y1,213)
= Exp(a + b × X1,213 + 2 × s)
= Exp(a + b × 1,762 + 2 × s)
= Exp(4.7292 + -0.0001 × 1,762 + 2 × 0.0418)
= Exp(4.7145)
= $111.56
Bottom border of price channel:
Exp(Y1,213)
= Exp(a + b × X1,213 – 2 × s)
= Exp(a + b × 1,762 – 2 × s)
= Exp(4.7292 + -0.0001 × 1,762 – 2 × 0.0418)
= Exp(4.5474)
= $94.39
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 2.01% per annum.
- XOM price at the close of May 16, 2024 was $117.87 and was higher than the top border of the primary price channel by $6.71 (6.04%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: January 8, 2024
End date: April 25, 2024
a = 0.6054
b = 0.0023
s = 0.0196
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0023) – 1
= 133.49%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0196) – 1
= 8.14%
January 8, 2024 calculations
Top border of price channel:
Exp(Y1,168)
= Exp(a + b × X1,168 + 2 × s)
= Exp(a + b × 1,697 + 2 × s)
= Exp(0.6054 + 0.0023 × 1,697 + 2 × 0.0196)
= Exp(4.5870)
= $98.20
Bottom border of price channel:
Exp(Y1,168)
= Exp(a + b × X1,168 – 2 × s)
= Exp(a + b × 1,697 – 2 × s)
= Exp(0.6054 + 0.0023 × 1,697 – 2 × 0.0196)
= Exp(4.5088)
= $90.81
April 25, 2024 calculations
Top border of price channel:
Exp(Y1,243)
= Exp(a + b × X1,243 + 2 × s)
= Exp(a + b × 1,805 + 2 × s)
= Exp(0.6054 + 0.0023 × 1,805 + 2 × 0.0196)
= Exp(4.8379)
= $126.21
Bottom border of price channel:
Exp(Y1,243)
= Exp(a + b × X1,243 – 2 × s)
= Exp(a + b × 1,805 – 2 × s)
= Exp(0.6054 + 0.0023 × 1,805 – 2 × 0.0196)
= Exp(4.7597)
= $116.71
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 133.49% per annum.
- XOM price at the close of May 16, 2024 was lower than the bottom border of the secondary price channel by $4.68 (3.82%). 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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