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 33.68% per annum.
- ROP price at the close of November 2, 2023 was $494.05 and was lower than the bottom border of the primary price channel by $10.71 (2.12%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 3.36% per annum.
- ROP price at the close of November 2, 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 ROP 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: January 30, 2023
End date: September 22, 2023
a = 4.8046
b = 0.0008
s = 0.0152
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0008) – 1
= 33.68%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0152) – 1
= 6.27%
January 30, 2023 calculations
Top border of price channel:
Exp(Y1,064)
= Exp(a + b × X1,064 + 2 × s)
= Exp(a + b × 1,547 + 2 × s)
= Exp(4.8046 + 0.0008 × 1,547 + 2 × 0.0152)
= Exp(6.0654)
= $430.70
Bottom border of price channel:
Exp(Y1,064)
= Exp(a + b × X1,064 – 2 × s)
= Exp(a + b × 1,547 – 2 × s)
= Exp(4.8046 + 0.0008 × 1,547 – 2 × 0.0152)
= Exp(6.0046)
= $405.28
September 22, 2023 calculations
Top border of price channel:
Exp(Y1,227)
= Exp(a + b × X1,227 + 2 × s)
= Exp(a + b × 1,782 + 2 × s)
= Exp(4.8046 + 0.0008 × 1,782 + 2 × 0.0152)
= Exp(6.2523)
= $519.21
Bottom border of price channel:
Exp(Y1,227)
= Exp(a + b × X1,227 – 2 × s)
= Exp(a + b × 1,782 – 2 × s)
= Exp(4.8046 + 0.0008 × 1,782 – 2 × 0.0152)
= Exp(6.1915)
= $488.56
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 33.68% per annum.
- ROP price at the close of November 2, 2023 was $494.05 and was lower than the bottom border of the primary price channel by $10.71 (2.12%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: July 21, 2023
End date: November 2, 2023
a = 6.3645
b = -0.0001
s = 0.0129
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -3.36%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0129) – 1
= 5.28%
July 21, 2023 calculations
Top border of price channel:
Exp(Y1,183)
= Exp(a + b × X1,183 + 2 × s)
= Exp(a + b × 1,719 + 2 × s)
= Exp(6.3645 + -0.0001 × 1,719 + 2 × 0.0129)
= Exp(6.2292)
= $507.34
Bottom border of price channel:
Exp(Y1,183)
= Exp(a + b × X1,183 – 2 × s)
= Exp(a + b × 1,719 – 2 × s)
= Exp(6.3645 + -0.0001 × 1,719 – 2 × 0.0129)
= Exp(6.1777)
= $481.90
November 2, 2023 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,823 + 2 × s)
= Exp(6.3645 + -0.0001 × 1,823 + 2 × 0.0129)
= Exp(6.2194)
= $502.42
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,823 – 2 × s)
= Exp(6.3645 + -0.0001 × 1,823 – 2 × 0.0129)
= Exp(6.1680)
= $477.22
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 3.36% per annum.
- ROP price at the close of November 2, 2023 was inside the secondary price channel.
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