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 January 17, 2025 was $36.58 and was lower than the bottom border of the primary price channel by $12.68 (25.74%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 9.51% per annum.
- CMCSA price at the close of January 17, 2025 was inside the secondary price channel.
- 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 = 2.8170
b = 0.0007
s = 0.0679
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0007) – 1
= 27.56%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0679) – 1
= 31.18%
July 29, 2022 calculations
Top border of price channel:
Exp(Y636)
= Exp(a + b × X636 + 2 × s)
= Exp(a + b × 920 + 2 × s)
= Exp(2.8170 + 0.0007 × 920 + 2 × 0.0679)
= Exp(3.5663)
= $35.39
Bottom border of price channel:
Exp(Y636)
= Exp(a + b × X636 – 2 × s)
= Exp(a + b × 920 – 2 × s)
= Exp(2.8170 + 0.0007 × 920 – 2 × 0.0679)
= Exp(3.2949)
= $26.97
February 7, 2024 calculations
Top border of price channel:
Exp(Y1,019)
= Exp(a + b × X1,019 + 2 × s)
= Exp(a + b × 1,478 + 2 × s)
= Exp(2.8170 + 0.0007 × 1,478 + 2 × 0.0679)
= Exp(3.9384)
= $51.34
Bottom border of price channel:
Exp(Y1,019)
= Exp(a + b × X1,019 – 2 × s)
= Exp(a + b × 1,478 – 2 × s)
= Exp(2.8170 + 0.0007 × 1,478 – 2 × 0.0679)
= Exp(3.6670)
= $39.14
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 27.56% per annum.
- CMCSA price at the close of January 17, 2025 was $36.58 and was lower than the bottom border of the primary price channel by $12.68 (25.74%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: June 27, 2023
End date: September 23, 2024
a = 4.1057
b = -0.0003
s = 0.0381
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0003) – 1
= -9.51%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0381) – 1
= 16.47%
June 27, 2023 calculations
Top border of price channel:
Exp(Y864)
= Exp(a + b × X864 + 2 × s)
= Exp(a + b × 1,253 + 2 × s)
= Exp(4.1057 + -0.0003 × 1,253 + 2 × 0.0381)
= Exp(3.8390)
= $46.48
Bottom border of price channel:
Exp(Y864)
= Exp(a + b × X864 – 2 × s)
= Exp(a + b × 1,253 – 2 × s)
= Exp(4.1057 + -0.0003 × 1,253 – 2 × 0.0381)
= Exp(3.6865)
= $39.91
September 23, 2024 calculations
Top border of price channel:
Exp(Y1,176)
= Exp(a + b × X1,176 + 2 × s)
= Exp(a + b × 1,707 + 2 × s)
= Exp(4.1057 + -0.0003 × 1,707 + 2 × 0.0381)
= Exp(3.7147)
= $41.05
Bottom border of price channel:
Exp(Y1,176)
= Exp(a + b × X1,176 – 2 × s)
= Exp(a + b × 1,707 – 2 × s)
= Exp(4.1057 + -0.0003 × 1,707 – 2 × 0.0381)
= Exp(3.5623)
= $35.24
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 9.51% per annum.
- CMCSA price at the close of January 17, 2025 was inside the secondary price channel.
- 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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