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 2.93% per annum.
- DXCM price at the close of October 26, 2023 was $81.09 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 84.34% per annum.
- DXCM price at the close of October 26, 2023 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 DXCM 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: April 29, 2020
End date: October 26, 2023
a = 4.5648
b = 0.0001
s = 0.1722
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0001) – 1
= 2.93%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1722) – 1
= 99.15%
April 29, 2020 calculations
Top border of price channel:
Exp(Y308)
= Exp(a + b × X308 + 2 × s)
= Exp(a + b × 447 + 2 × s)
= Exp(4.5648 + 0.0001 × 447 + 2 × 0.1722)
= Exp(4.9446)
= $140.41
Bottom border of price channel:
Exp(Y308)
= Exp(a + b × X308 – 2 × s)
= Exp(a + b × 447 – 2 × s)
= Exp(4.5648 + 0.0001 × 447 – 2 × 0.1722)
= Exp(4.2557)
= $70.50
October 26, 2023 calculations
Top border of price channel:
Exp(Y1,188)
= Exp(a + b × X1,188 + 2 × s)
= Exp(a + b × 1,722 + 2 × s)
= Exp(4.5648 + 0.0001 × 1,722 + 2 × 0.1722)
= Exp(5.0453)
= $155.29
Bottom border of price channel:
Exp(Y1,188)
= Exp(a + b × X1,188 – 2 × s)
= Exp(a + b × 1,722 – 2 × s)
= Exp(4.5648 + 0.0001 × 1,722 – 2 × 0.1722)
= Exp(4.3564)
= $77.97
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 2.93% per annum.
- DXCM price at the close of October 26, 2023 was $81.09 and was inside the primary price channel.
Secondary Trend
Start date: July 10, 2023
End date: October 26, 2023
a = 13.1109
b = -0.0051
s = 0.0460
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0051) – 1
= -84.34%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0460) – 1
= 20.18%
July 10, 2023 calculations
Top border of price channel:
Exp(Y1,111)
= Exp(a + b × X1,111 + 2 × s)
= Exp(a + b × 1,614 + 2 × s)
= Exp(13.1109 + -0.0051 × 1,614 + 2 × 0.0460)
= Exp(5.0041)
= $149.02
Bottom border of price channel:
Exp(Y1,111)
= Exp(a + b × X1,111 – 2 × s)
= Exp(a + b × 1,614 – 2 × s)
= Exp(13.1109 + -0.0051 × 1,614 – 2 × 0.0460)
= Exp(4.8203)
= $124.00
October 26, 2023 calculations
Top border of price channel:
Exp(Y1,188)
= Exp(a + b × X1,188 + 2 × s)
= Exp(a + b × 1,722 + 2 × s)
= Exp(13.1109 + -0.0051 × 1,722 + 2 × 0.0460)
= Exp(4.4555)
= $86.10
Bottom border of price channel:
Exp(Y1,188)
= Exp(a + b × X1,188 – 2 × s)
= Exp(a + b × 1,722 – 2 × s)
= Exp(13.1109 + -0.0051 × 1,722 – 2 × 0.0460)
= Exp(4.2717)
= $71.64
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 84.34% per annum.
- DXCM price at the close of October 26, 2023 was inside the secondary price channel.
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