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 74.26% per annum.
- NFLX price at the close of November 19, 2024 was $871.32 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 43.67% per annum.
- NFLX price at the close of November 19, 2024 was higher than the top border of the secondary price channel by $44.88 (5.43%).
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 NFLX 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 21, 2022
End date: November 19, 2024
a = 3.9263
b = 0.0015
s = 0.0893
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0015) – 1
= 74.26%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0893) – 1
= 42.92%
April 21, 2022 calculations
Top border of price channel:
Exp(Y608)
= Exp(a + b × X608 + 2 × s)
= Exp(a + b × 883 + 2 × s)
= Exp(3.9263 + 0.0015 × 883 + 2 × 0.0893)
= Exp(5.4484)
= $232.38
Bottom border of price channel:
Exp(Y608)
= Exp(a + b × X608 – 2 × s)
= Exp(a + b × 883 – 2 × s)
= Exp(3.9263 + 0.0015 × 883 – 2 × 0.0893)
= Exp(5.0913)
= $162.60
November 19, 2024 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(3.9263 + 0.0015 × 1,826 + 2 × 0.0893)
= Exp(6.8832)
= $975.78
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(3.9263 + 0.0015 × 1,826 – 2 × 0.0893)
= Exp(6.5261)
= $682.75
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 74.26% per annum.
- NFLX price at the close of November 19, 2024 was $871.32 and was inside the primary price channel.
Secondary Trend
Start date: January 24, 2024
End date: November 19, 2024
a = 4.8134
b = 0.0010
s = 0.0454
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0010) – 1
= 43.67%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0454) – 1
= 19.93%
January 24, 2024 calculations
Top border of price channel:
Exp(Y1,049)
= Exp(a + b × X1,049 + 2 × s)
= Exp(a + b × 1,526 + 2 × s)
= Exp(4.8134 + 0.0010 × 1,526 + 2 × 0.0454)
= Exp(6.4193)
= $613.57
Bottom border of price channel:
Exp(Y1,049)
= Exp(a + b × X1,049 – 2 × s)
= Exp(a + b × 1,526 – 2 × s)
= Exp(4.8134 + 0.0010 × 1,526 – 2 × 0.0454)
= Exp(6.2375)
= $511.59
November 19, 2024 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(4.8134 + 0.0010 × 1,826 + 2 × 0.0454)
= Exp(6.7171)
= $826.44
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.8134 + 0.0010 × 1,826 – 2 × 0.0454)
= Exp(6.5354)
= $689.09
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 43.67% per annum.
- NFLX price at the close of November 19, 2024 was higher than the top border of the secondary price channel by $44.88 (5.43%).
- 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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