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 42.69% per annum.
- CMCSA price at the close of May 9, 2024 was $38.54 and was lower than the bottom border of the primary price channel by $11.30 (22.67%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 11.78% per annum.
- CMCSA price at the close of May 9, 2024 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: August 26, 2022
End date: October 24, 2023
a = 2.2357
b = 0.0010
s = 0.0527
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0010) – 1
= 42.69%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0527) – 1
= 23.46%
August 26, 2022 calculations
Top border of price channel:
Exp(Y831)
= Exp(a + b × X831 + 2 × s)
= Exp(a + b × 1,204 + 2 × s)
= Exp(2.2357 + 0.0010 × 1,204 + 2 × 0.0527)
= Exp(3.5137)
= $33.57
Bottom border of price channel:
Exp(Y831)
= Exp(a + b × X831 – 2 × s)
= Exp(a + b × 1,204 – 2 × s)
= Exp(2.2357 + 0.0010 × 1,204 – 2 × 0.0527)
= Exp(3.3030)
= $27.19
October 24, 2023 calculations
Top border of price channel:
Exp(Y1,122)
= Exp(a + b × X1,122 + 2 × s)
= Exp(a + b × 1,628 + 2 × s)
= Exp(2.2357 + 0.0010 × 1,628 + 2 × 0.0527)
= Exp(3.9267)
= $50.74
Bottom border of price channel:
Exp(Y1,122)
= Exp(a + b × X1,122 – 2 × s)
= Exp(a + b × 1,628 – 2 × s)
= Exp(2.2357 + 0.0010 × 1,628 – 2 × 0.0527)
= Exp(3.7159)
= $41.10
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 42.69% per annum.
- CMCSA price at the close of May 9, 2024 was $38.54 and was lower than the bottom border of the primary price channel by $11.30 (22.67%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: July 27, 2023
End date: May 9, 2024
a = 4.3285
b = -0.0003
s = 0.0339
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0003) – 1
= -11.78%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0339) – 1
= 14.51%
July 27, 2023 calculations
Top border of price channel:
Exp(Y1,060)
= Exp(a + b × X1,060 + 2 × s)
= Exp(a + b × 1,539 + 2 × s)
= Exp(4.3285 + -0.0003 × 1,539 + 2 × 0.0339)
= Exp(3.8676)
= $47.83
Bottom border of price channel:
Exp(Y1,060)
= Exp(a + b × X1,060 – 2 × s)
= Exp(a + b × 1,539 – 2 × s)
= Exp(4.3285 + -0.0003 × 1,539 – 2 × 0.0339)
= Exp(3.7321)
= $41.77
May 9, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(4.3285 + -0.0003 × 1,826 + 2 × 0.0339)
= Exp(3.7690)
= $43.34
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.3285 + -0.0003 × 1,826 – 2 × 0.0339)
= Exp(3.6335)
= $37.84
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 11.78% per annum.
- CMCSA price at the close of May 9, 2024 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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