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 39.58% per annum.
- ADP price at the close of April 29, 2022 was $218.18 and was lower than the bottom border of the primary price channel by $17.05 (7.25%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 18.01% per annum.
- ADP price at the close of April 29, 2022 was inside the secondary price channel.
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 ADP 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: March 12, 2020
End date: January 19, 2022
a = 3.9008
b = 0.0009
s = 0.0534
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0009) – 1
= 39.58%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0534) – 1
= 23.81%
March 12, 2020 calculations
Top border of price channel:
Exp(Y721)
= Exp(a + b × X721 + 2 × s)
= Exp(a + b × 1,046 + 2 × s)
= Exp(3.9008 + 0.0009 × 1,046 + 2 × 0.0534)
= Exp(4.9633)
= $143.06
Bottom border of price channel:
Exp(Y721)
= Exp(a + b × X721 – 2 × s)
= Exp(a + b × 1,046 – 2 × s)
= Exp(3.9008 + 0.0009 × 1,046 – 2 × 0.0534)
= Exp(4.7497)
= $115.55
January 19, 2022 calculations
Top border of price channel:
Exp(Y1,189)
= Exp(a + b × X1,189 + 2 × s)
= Exp(a + b × 1,724 + 2 × s)
= Exp(3.9008 + 0.0009 × 1,724 + 2 × 0.0534)
= Exp(5.5828)
= $265.81
Bottom border of price channel:
Exp(Y1,189)
= Exp(a + b × X1,189 – 2 × s)
= Exp(a + b × 1,724 – 2 × s)
= Exp(3.9008 + 0.0009 × 1,724 – 2 × 0.0534)
= Exp(5.3692)
= $214.69
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 39.58% per annum.
- ADP price at the close of April 29, 2022 was $218.18 and was lower than the bottom border of the primary price channel by $17.05 (7.25%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: March 9, 2021
End date: April 29, 2022
a = 4.6124
b = 0.0005
s = 0.0531
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0005) – 1
= 18.01%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0531) – 1
= 23.68%
March 9, 2021 calculations
Top border of price channel:
Exp(Y970)
= Exp(a + b × X970 + 2 × s)
= Exp(a + b × 1,408 + 2 × s)
= Exp(4.6124 + 0.0005 × 1,408 + 2 × 0.0531)
= Exp(5.3574)
= $212.17
Bottom border of price channel:
Exp(Y970)
= Exp(a + b × X970 – 2 × s)
= Exp(a + b × 1,408 – 2 × s)
= Exp(4.6124 + 0.0005 × 1,408 – 2 × 0.0531)
= Exp(5.1449)
= $171.55
April 29, 2022 calculations
Top border of price channel:
Exp(Y1,259)
= Exp(a + b × X1,259 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(4.6124 + 0.0005 × 1,824 + 2 × 0.0531)
= Exp(5.5461)
= $256.24
Bottom border of price channel:
Exp(Y1,259)
= Exp(a + b × X1,259 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(4.6124 + 0.0005 × 1,824 – 2 × 0.0531)
= Exp(5.3336)
= $207.18
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 18.01% per annum.
- ADP price at the close of April 29, 2022 was inside the secondary price channel.
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