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 4.60% per annum.
- OXY price at the close of May 20, 2024 was $63.57 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 100.21% per annum.
- OXY price at the close of May 20, 2024 was lower than the bottom border of the secondary price channel by $4.95 (7.23%). 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 OXY 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: May 3, 2022
End date: March 28, 2024
a = 4.3192
b = -0.0001
s = 0.0592
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -4.60%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0592) – 1
= 26.71%
May 3, 2022 calculations
Top border of price channel:
Exp(Y744)
= Exp(a + b × X744 + 2 × s)
= Exp(a + b × 1,078 + 2 × s)
= Exp(4.3192 + -0.0001 × 1,078 + 2 × 0.0592)
= Exp(4.2984)
= $73.58
Bottom border of price channel:
Exp(Y744)
= Exp(a + b × X744 – 2 × s)
= Exp(a + b × 1,078 – 2 × s)
= Exp(4.3192 + -0.0001 × 1,078 – 2 × 0.0592)
= Exp(4.0617)
= $58.07
March 28, 2024 calculations
Top border of price channel:
Exp(Y1,222)
= Exp(a + b × X1,222 + 2 × s)
= Exp(a + b × 1,773 + 2 × s)
= Exp(4.3192 + -0.0001 × 1,773 + 2 × 0.0592)
= Exp(4.2086)
= $67.27
Bottom border of price channel:
Exp(Y1,222)
= Exp(a + b × X1,222 – 2 × s)
= Exp(a + b × 1,773 – 2 × s)
= Exp(4.3192 + -0.0001 × 1,773 – 2 × 0.0592)
= Exp(3.9719)
= $53.09
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 4.60% per annum.
- OXY price at the close of May 20, 2024 was $63.57 and was inside the primary price channel.
Secondary Trend
Start date: January 5, 2024
End date: April 29, 2024
a = 0.7980
b = 0.0019
s = 0.0219
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0019) – 1
= 100.21%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0219) – 1
= 9.14%
January 5, 2024 calculations
Top border of price channel:
Exp(Y1,165)
= Exp(a + b × X1,165 + 2 × s)
= Exp(a + b × 1,690 + 2 × s)
= Exp(0.7980 + 0.0019 × 1,690 + 2 × 0.0219)
= Exp(4.0560)
= $57.74
Bottom border of price channel:
Exp(Y1,165)
= Exp(a + b × X1,165 – 2 × s)
= Exp(a + b × 1,690 – 2 × s)
= Exp(0.7980 + 0.0019 × 1,690 – 2 × 0.0219)
= Exp(3.9685)
= $52.91
April 29, 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(0.7980 + 0.0019 × 1,805 + 2 × 0.0219)
= Exp(4.2747)
= $71.86
Bottom border of price channel:
Exp(Y1,243)
= Exp(a + b × X1,243 – 2 × s)
= Exp(a + b × 1,805 – 2 × s)
= Exp(0.7980 + 0.0019 × 1,805 – 2 × 0.0219)
= Exp(4.1873)
= $65.84
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 100.21% per annum.
- OXY price at the close of May 20, 2024 was lower than the bottom border of the secondary price channel by $4.95 (7.23%). 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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