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 16.31% per annum.
- F price at the close of May 20, 2024 was $12.15 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 93.88% per annum.
- F price at the close of May 20, 2024 was lower than the bottom border of the secondary price channel by $0.87 (6.69%). 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 F 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 7, 2021
End date: February 6, 2024
a = 3.1671
b = -0.0005
s = 0.1289
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0005) – 1
= -16.31%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1289) – 1
= 67.50%
October 7, 2021 calculations
Top border of price channel:
Exp(Y601)
= Exp(a + b × X601 + 2 × s)
= Exp(a + b × 870 + 2 × s)
= Exp(3.1671 + -0.0005 × 870 + 2 × 0.1289)
= Exp(3.0006)
= $20.10
Bottom border of price channel:
Exp(Y601)
= Exp(a + b × X601 – 2 × s)
= Exp(a + b × 870 – 2 × s)
= Exp(3.1671 + -0.0005 × 870 – 2 × 0.1289)
= Exp(2.4848)
= $12.00
February 6, 2024 calculations
Top border of price channel:
Exp(Y1,186)
= Exp(a + b × X1,186 + 2 × s)
= Exp(a + b × 1,722 + 2 × s)
= Exp(3.1671 + -0.0005 × 1,722 + 2 × 0.1289)
= Exp(2.5850)
= $13.26
Bottom border of price channel:
Exp(Y1,186)
= Exp(a + b × X1,186 – 2 × s)
= Exp(a + b × 1,722 – 2 × s)
= Exp(3.1671 + -0.0005 × 1,722 – 2 × 0.1289)
= Exp(2.0692)
= $7.92
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 16.31% per annum.
- F price at the close of May 20, 2024 was $12.15 and was inside the primary price channel.
Secondary Trend
Start date: October 27, 2023
End date: April 12, 2024
a = -0.6647
b = 0.0018
s = 0.0405
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0018) – 1
= 93.88%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0405) – 1
= 17.57%
October 27, 2023 calculations
Top border of price channel:
Exp(Y1,118)
= Exp(a + b × X1,118 + 2 × s)
= Exp(a + b × 1,620 + 2 × s)
= Exp(-0.6647 + 0.0018 × 1,620 + 2 × 0.0405)
= Exp(2.3548)
= $10.54
Bottom border of price channel:
Exp(Y1,118)
= Exp(a + b × X1,118 – 2 × s)
= Exp(a + b × 1,620 – 2 × s)
= Exp(-0.6647 + 0.0018 × 1,620 – 2 × 0.0405)
= Exp(2.1929)
= $8.96
April 12, 2024 calculations
Top border of price channel:
Exp(Y1,232)
= Exp(a + b × X1,232 + 2 × s)
= Exp(a + b × 1,788 + 2 × s)
= Exp(-0.6647 + 0.0018 × 1,788 + 2 × 0.0405)
= Exp(2.6595)
= $14.29
Bottom border of price channel:
Exp(Y1,232)
= Exp(a + b × X1,232 – 2 × s)
= Exp(a + b × 1,788 – 2 × s)
= Exp(-0.6647 + 0.0018 × 1,788 – 2 × 0.0405)
= Exp(2.4976)
= $12.15
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 93.88% per annum.
- F price at the close of May 20, 2024 was lower than the bottom border of the secondary price channel by $0.87 (6.69%). 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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