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 59.61% per annum.
- ORCL price at the close of May 16, 2024 was $122.16 and was lower than the bottom border of the primary price channel by $15.66 (11.36%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 4.81% per annum.
- ORCL price at the close of May 16, 2024 was higher than the top border of the secondary price channel by $2.73 (2.29%). 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 ORCL 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 5, 2022
End date: September 21, 2023
a = 2.7313
b = 0.0013
s = 0.0722
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0013) – 1
= 59.61%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0722) – 1
= 33.50%
May 5, 2022 calculations
Top border of price channel:
Exp(Y748)
= Exp(a + b × X748 + 2 × s)
= Exp(a + b × 1,084 + 2 × s)
= Exp(2.7313 + 0.0013 × 1,084 + 2 × 0.0722)
= Exp(4.2644)
= $71.12
Bottom border of price channel:
Exp(Y748)
= Exp(a + b × X748 – 2 × s)
= Exp(a + b × 1,084 – 2 × s)
= Exp(2.7313 + 0.0013 × 1,084 – 2 × 0.0722)
= Exp(3.9755)
= $53.27
September 21, 2023 calculations
Top border of price channel:
Exp(Y1,094)
= Exp(a + b × X1,094 + 2 × s)
= Exp(a + b × 1,588 + 2 × s)
= Exp(2.7313 + 0.0013 × 1,588 + 2 × 0.0722)
= Exp(4.9100)
= $135.65
Bottom border of price channel:
Exp(Y1,094)
= Exp(a + b × X1,094 – 2 × s)
= Exp(a + b × 1,588 – 2 × s)
= Exp(2.7313 + 0.0013 × 1,588 – 2 × 0.0722)
= Exp(4.6211)
= $101.60
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 59.61% per annum.
- ORCL price at the close of May 16, 2024 was $122.16 and was lower than the bottom border of the primary price channel by $15.66 (11.36%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: May 25, 2023
End date: March 11, 2024
a = 4.9291
b = -0.0001
s = 0.0500
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -4.81%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0500) – 1
= 22.16%
May 25, 2023 calculations
Top border of price channel:
Exp(Y1,013)
= Exp(a + b × X1,013 + 2 × s)
= Exp(a + b × 1,469 + 2 × s)
= Exp(4.9291 + -0.0001 × 1,469 + 2 × 0.0500)
= Exp(4.8309)
= $125.33
Bottom border of price channel:
Exp(Y1,013)
= Exp(a + b × X1,013 – 2 × s)
= Exp(a + b × 1,469 – 2 × s)
= Exp(4.9291 + -0.0001 × 1,469 – 2 × 0.0500)
= Exp(4.6308)
= $102.59
March 11, 2024 calculations
Top border of price channel:
Exp(Y1,211)
= Exp(a + b × X1,211 + 2 × s)
= Exp(a + b × 1,760 + 2 × s)
= Exp(4.9291 + -0.0001 × 1,760 + 2 × 0.0500)
= Exp(4.7916)
= $120.50
Bottom border of price channel:
Exp(Y1,211)
= Exp(a + b × X1,211 – 2 × s)
= Exp(a + b × 1,760 – 2 × s)
= Exp(4.9291 + -0.0001 × 1,760 – 2 × 0.0500)
= Exp(4.5915)
= $98.64
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 4.81% per annum.
- ORCL price at the close of May 16, 2024 was higher than the top border of the secondary price channel by $2.73 (2.29%). 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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