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 27.56% per annum.
- CMCSA price at the close of November 19, 2024 was $42.32 and was lower than the bottom border of the primary price channel by $5.43 (11.38%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 10.58% per annum.
- CMCSA price at the close of November 19, 2024 was higher than the top border of the secondary price channel by $2.05 (5.09%). 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 CMCSA 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: July 29, 2022
End date: February 7, 2024
a = 2.7840
b = 0.0007
s = 0.0678
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0007) – 1
= 27.56%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0678) – 1
= 31.17%
July 29, 2022 calculations
Top border of price channel:
Exp(Y676)
= Exp(a + b × X676 + 2 × s)
= Exp(a + b × 982 + 2 × s)
= Exp(2.7840 + 0.0007 × 982 + 2 × 0.0678)
= Exp(3.5746)
= $35.68
Bottom border of price channel:
Exp(Y676)
= Exp(a + b × X676 – 2 × s)
= Exp(a + b × 982 – 2 × s)
= Exp(2.7840 + 0.0007 × 982 – 2 × 0.0678)
= Exp(3.3032)
= $27.20
February 7, 2024 calculations
Top border of price channel:
Exp(Y1,059)
= Exp(a + b × X1,059 + 2 × s)
= Exp(a + b × 1,540 + 2 × s)
= Exp(2.7840 + 0.0007 × 1,540 + 2 × 0.0678)
= Exp(3.9467)
= $51.76
Bottom border of price channel:
Exp(Y1,059)
= Exp(a + b × X1,059 – 2 × s)
= Exp(a + b × 1,540 – 2 × s)
= Exp(2.7840 + 0.0007 × 1,540 – 2 × 0.0678)
= Exp(3.6754)
= $39.46
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 27.56% per annum.
- CMCSA price at the close of November 19, 2024 was $42.32 and was lower than the bottom border of the primary price channel by $5.43 (11.38%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: July 10, 2023
End date: September 20, 2024
a = 4.1836
b = -0.0003
s = 0.0358
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0003) – 1
= -10.58%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0358) – 1
= 15.38%
July 10, 2023 calculations
Top border of price channel:
Exp(Y912)
= Exp(a + b × X912 + 2 × s)
= Exp(a + b × 1,328 + 2 × s)
= Exp(4.1836 + -0.0003 × 1,328 + 2 × 0.0358)
= Exp(3.8482)
= $46.91
Bottom border of price channel:
Exp(Y912)
= Exp(a + b × X912 – 2 × s)
= Exp(a + b × 1,328 – 2 × s)
= Exp(4.1836 + -0.0003 × 1,328 – 2 × 0.0358)
= Exp(3.7051)
= $40.65
September 20, 2024 calculations
Top border of price channel:
Exp(Y1,215)
= Exp(a + b × X1,215 + 2 × s)
= Exp(a + b × 1,766 + 2 × s)
= Exp(4.1836 + -0.0003 × 1,766 + 2 × 0.0358)
= Exp(3.7140)
= $41.02
Bottom border of price channel:
Exp(Y1,215)
= Exp(a + b × X1,215 – 2 × s)
= Exp(a + b × 1,766 – 2 × s)
= Exp(4.1836 + -0.0003 × 1,766 – 2 × 0.0358)
= Exp(3.5709)
= $35.55
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 10.58% per annum.
- CMCSA price at the close of November 19, 2024 was higher than the top border of the secondary price channel by $2.05 (5.09%). 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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