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 45.17% per annum.
- ALGN price at the close of November 3, 2023 was $197.44 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 33.79% per annum.
- ALGN price at the close of November 3, 2023 was lower than the bottom border of the secondary price channel by $54.17 (21.53%). 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 ALGN 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: December 1, 2020
End date: February 1, 2023
a = 7.9358
b = -0.0016
s = 0.2414
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0016) – 1
= -45.17%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.2414) – 1
= 162.63%
December 1, 2020 calculations
Top border of price channel:
Exp(Y521)
= Exp(a + b × X521 + 2 × s)
= Exp(a + b × 757 + 2 × s)
= Exp(7.9358 + -0.0016 × 757 + 2 × 0.2414)
= Exp(7.1722)
= $1,302.76
Bottom border of price channel:
Exp(Y521)
= Exp(a + b × X521 – 2 × s)
= Exp(a + b × 757 – 2 × s)
= Exp(7.9358 + -0.0016 × 757 – 2 × 0.2414)
= Exp(6.2067)
= $496.05
February 1, 2023 calculations
Top border of price channel:
Exp(Y1,066)
= Exp(a + b × X1,066 + 2 × s)
= Exp(a + b × 1,549 + 2 × s)
= Exp(7.9358 + -0.0016 × 1,549 + 2 × 0.2414)
= Exp(5.8683)
= $353.63
Bottom border of price channel:
Exp(Y1,066)
= Exp(a + b × X1,066 – 2 × s)
= Exp(a + b × 1,549 – 2 × s)
= Exp(7.9358 + -0.0016 × 1,549 – 2 × 0.2414)
= Exp(4.9027)
= $134.65
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 45.17% per annum.
- ALGN price at the close of November 3, 2023 was $197.44 and was inside the primary price channel.
Secondary Trend
Start date: May 5, 2022
End date: October 11, 2023
a = 4.3909
b = 0.0008
s = 0.1588
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0008) – 1
= 33.79%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1588) – 1
= 88.73%
May 5, 2022 calculations
Top border of price channel:
Exp(Y880)
= Exp(a + b × X880 + 2 × s)
= Exp(a + b × 1,277 + 2 × s)
= Exp(4.3909 + 0.0008 × 1,277 + 2 × 0.1588)
= Exp(5.7268)
= $306.99
Bottom border of price channel:
Exp(Y880)
= Exp(a + b × X880 – 2 × s)
= Exp(a + b × 1,277 – 2 × s)
= Exp(4.3909 + 0.0008 × 1,277 – 2 × 0.1588)
= Exp(5.0917)
= $162.67
October 11, 2023 calculations
Top border of price channel:
Exp(Y1,240)
= Exp(a + b × X1,240 + 2 × s)
= Exp(a + b × 1,801 + 2 × s)
= Exp(4.3909 + 0.0008 × 1,801 + 2 × 0.1588)
= Exp(6.1447)
= $466.23
Bottom border of price channel:
Exp(Y1,240)
= Exp(a + b × X1,240 – 2 × s)
= Exp(a + b × 1,801 – 2 × s)
= Exp(4.3909 + 0.0008 × 1,801 – 2 × 0.1588)
= Exp(5.5096)
= $247.04
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 33.79% per annum.
- ALGN price at the close of November 3, 2023 was lower than the bottom border of the secondary price channel by $54.17 (21.53%). This indicates a possible reversal in the secondary trend direction.
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