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 80.39% per annum.
- REGN price at the close of January 17, 2025 was $681.58 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 41.94% per annum.
- REGN price at the close of January 17, 2025 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 13, 2024
End date: January 3, 2025
a = 14.5793
b = -0.0045
s = 0.0439
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0045) – 1
= -80.39%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0439) – 1
= 19.21%
August 13, 2024 calculations
Top border of price channel:
Exp(Y1,148)
= Exp(a + b × X1,148 + 2 × s)
= Exp(a + b × 1,666 + 2 × s)
= Exp(14.5793 + -0.0045 × 1,666 + 2 × 0.0439)
= Exp(7.2322)
= $1,383.33
Bottom border of price channel:
Exp(Y1,148)
= Exp(a + b × X1,148 – 2 × s)
= Exp(a + b × 1,666 – 2 × s)
= Exp(14.5793 + -0.0045 × 1,666 – 2 × 0.0439)
= Exp(7.0565)
= $1,160.43
January 3, 2025 calculations
Top border of price channel:
Exp(Y1,247)
= Exp(a + b × X1,247 + 2 × s)
= Exp(a + b × 1,809 + 2 × s)
= Exp(14.5793 + -0.0045 × 1,809 + 2 × 0.0439)
= Exp(6.5941)
= $730.75
Bottom border of price channel:
Exp(Y1,247)
= Exp(a + b × X1,247 – 2 × s)
= Exp(a + b × 1,809 – 2 × s)
= Exp(14.5793 + -0.0045 × 1,809 – 2 × 0.0439)
= Exp(6.4184)
= $613.01
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 80.39% per annum.
- REGN price at the close of January 17, 2025 was $681.58 and was inside the primary price channel.
Secondary Trend
Start date: November 14, 2024
End date: January 17, 2025
a = 9.2655
b = -0.0015
s = 0.0237
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0015) – 1
= -41.94%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0237) – 1
= 9.93%
November 14, 2024 calculations
Top border of price channel:
Exp(Y1,214)
= Exp(a + b × X1,214 + 2 × s)
= Exp(a + b × 1,759 + 2 × s)
= Exp(9.2655 + -0.0015 × 1,759 + 2 × 0.0237)
= Exp(6.6927)
= $806.53
Bottom border of price channel:
Exp(Y1,214)
= Exp(a + b × X1,214 – 2 × s)
= Exp(a + b × 1,759 – 2 × s)
= Exp(9.2655 + -0.0015 × 1,759 – 2 × 0.0237)
= Exp(6.5980)
= $733.65
January 17, 2025 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,823 + 2 × s)
= Exp(9.2655 + -0.0015 × 1,823 + 2 × 0.0237)
= Exp(6.5974)
= $733.19
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,823 – 2 × s)
= Exp(9.2655 + -0.0015 × 1,823 – 2 × 0.0237)
= Exp(6.5027)
= $666.94
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 41.94% per annum.
- REGN 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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