Stock Price Trends
Stock price trends estimated using linear regression.
Summary
Key facts
- The primary trend is decreasing.
- The decline rate of the primary trend is 85.51% per annum.
- REGN price at the close of November 19, 2024 was $744.60 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 95.75% per annum.
- REGN price at the close of November 19, 2024 was inside the secondary price channel.
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 REGN 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 23, 2024
End date: November 19, 2024
a = 16.3424
b = -0.0053
s = 0.0351
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0053) – 1
= -85.51%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0351) – 1
= 15.08%
August 23, 2024 calculations
Top border of price channel:
Exp(Y1,196)
= Exp(a + b × X1,196 + 2 × s)
= Exp(a + b × 1,738 + 2 × s)
= Exp(16.3424 + -0.0053 × 1,738 + 2 × 0.0351)
= Exp(7.2145)
= $1,359.00
Bottom border of price channel:
Exp(Y1,196)
= Exp(a + b × X1,196 – 2 × s)
= Exp(a + b × 1,738 – 2 × s)
= Exp(16.3424 + -0.0053 × 1,738 – 2 × 0.0351)
= Exp(7.0741)
= $1,180.96
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(16.3424 + -0.0053 × 1,826 + 2 × 0.0351)
= Exp(6.7488)
= $853.02
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(16.3424 + -0.0053 × 1,826 – 2 × 0.0351)
= Exp(6.6084)
= $741.26
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 85.51% per annum.
- REGN price at the close of November 19, 2024 was $744.60 and was inside the primary price channel.
Secondary Trend
Start date: October 14, 2024
End date: November 19, 2024
a = 22.4224
b = -0.0087
s = 0.0220
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0087) – 1
= -95.75%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0220) – 1
= 9.18%
October 14, 2024 calculations
Top border of price channel:
Exp(Y1,231)
= Exp(a + b × X1,231 + 2 × s)
= Exp(a + b × 1,790 + 2 × s)
= Exp(22.4224 + -0.0087 × 1,790 + 2 × 0.0220)
= Exp(6.9738)
= $1,068.29
Bottom border of price channel:
Exp(Y1,231)
= Exp(a + b × X1,231 – 2 × s)
= Exp(a + b × 1,790 – 2 × s)
= Exp(22.4224 + -0.0087 × 1,790 – 2 × 0.0220)
= Exp(6.8860)
= $978.46
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(22.4224 + -0.0087 × 1,826 + 2 × 0.0220)
= Exp(6.6622)
= $782.30
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(22.4224 + -0.0087 × 1,826 – 2 × 0.0220)
= Exp(6.5744)
= $716.52
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 95.75% per annum.
- REGN price at the close of November 19, 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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