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 17.84% per annum.
- FDX price at the close of May 17, 2024 was $257.25 and was higher than the top border of the primary price channel by $76.29 (42.16%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 85.63% per annum.
- FDX price at the close of May 17, 2024 was lower than the bottom border of the secondary price channel by $136.42 (34.65%). 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 FDX 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: September 9, 2020
End date: March 16, 2023
a = 5.9591
b = -0.0005
s = 0.1104
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0005) – 1
= -17.84%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1104) – 1
= 55.54%
September 9, 2020 calculations
Top border of price channel:
Exp(Y330)
= Exp(a + b × X330 + 2 × s)
= Exp(a + b × 478 + 2 × s)
= Exp(5.9591 + -0.0005 × 478 + 2 × 0.1104)
= Exp(5.9227)
= $373.42
Bottom border of price channel:
Exp(Y330)
= Exp(a + b × X330 – 2 × s)
= Exp(a + b × 478 – 2 × s)
= Exp(5.9591 + -0.0005 × 478 – 2 × 0.1104)
= Exp(5.4810)
= $240.08
March 16, 2023 calculations
Top border of price channel:
Exp(Y963)
= Exp(a + b × X963 + 2 × s)
= Exp(a + b × 1,396 + 2 × s)
= Exp(5.9591 + -0.0005 × 1,396 + 2 × 0.1104)
= Exp(5.4286)
= $227.83
Bottom border of price channel:
Exp(Y963)
= Exp(a + b × X963 – 2 × s)
= Exp(a + b × 1,396 – 2 × s)
= Exp(5.9591 + -0.0005 × 1,396 – 2 × 0.1104)
= Exp(4.9869)
= $146.48
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 17.84% per annum.
- FDX price at the close of May 17, 2024 was $257.25 and was higher than the top border of the primary price channel by $76.29 (42.16%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: September 16, 2022
End date: September 1, 2023
a = 2.9664
b = 0.0017
s = 0.0411
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0017) – 1
= 85.63%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0411) – 1
= 17.87%
September 16, 2022 calculations
Top border of price channel:
Exp(Y839)
= Exp(a + b × X839 + 2 × s)
= Exp(a + b × 1,215 + 2 × s)
= Exp(2.9664 + 0.0017 × 1,215 + 2 × 0.0411)
= Exp(5.1078)
= $165.30
Bottom border of price channel:
Exp(Y839)
= Exp(a + b × X839 – 2 × s)
= Exp(a + b × 1,215 – 2 × s)
= Exp(2.9664 + 0.0017 × 1,215 – 2 × 0.0411)
= Exp(4.9434)
= $140.24
September 1, 2023 calculations
Top border of price channel:
Exp(Y1,080)
= Exp(a + b × X1,080 + 2 × s)
= Exp(a + b × 1,565 + 2 × s)
= Exp(2.9664 + 0.0017 × 1,565 + 2 × 0.0411)
= Exp(5.7009)
= $299.15
Bottom border of price channel:
Exp(Y1,080)
= Exp(a + b × X1,080 – 2 × s)
= Exp(a + b × 1,565 – 2 × s)
= Exp(2.9664 + 0.0017 × 1,565 – 2 × 0.0411)
= Exp(5.5366)
= $253.80
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 85.63% per annum.
- FDX price at the close of May 17, 2024 was lower than the bottom border of the secondary price channel by $136.42 (34.65%). 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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