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 86.49% per annum.
- UAL price at the close of April 17, 2024 was $48.74 and was lower than the bottom border of the primary price channel by $222.64 (82.04%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 3.56% per annum.
- UAL price at the close of April 17, 2024 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 UAL 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: March 12, 2020
End date: July 6, 2021
a = 2.7197
b = 0.0017
s = 0.1170
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0017) – 1
= 86.49%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1170) – 1
= 59.66%
March 12, 2020 calculations
Top border of price channel:
Exp(Y226)
= Exp(a + b × X226 + 2 × s)
= Exp(a + b × 329 + 2 × s)
= Exp(2.7197 + 0.0017 × 329 + 2 × 0.1170)
= Exp(3.5154)
= $33.63
Bottom border of price channel:
Exp(Y226)
= Exp(a + b × X226 – 2 × s)
= Exp(a + b × 329 – 2 × s)
= Exp(2.7197 + 0.0017 × 329 – 2 × 0.1170)
= Exp(3.0475)
= $21.06
July 6, 2021 calculations
Top border of price channel:
Exp(Y557)
= Exp(a + b × X557 + 2 × s)
= Exp(a + b × 810 + 2 × s)
= Exp(2.7197 + 0.0017 × 810 + 2 × 0.1170)
= Exp(4.3367)
= $76.45
Bottom border of price channel:
Exp(Y557)
= Exp(a + b × X557 – 2 × s)
= Exp(a + b × 810 – 2 × s)
= Exp(2.7197 + 0.0017 × 810 – 2 × 0.1170)
= Exp(3.8688)
= $47.88
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 86.49% per annum.
- UAL price at the close of April 17, 2024 was $48.74 and was lower than the bottom border of the primary price channel by $222.64 (82.04%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: November 9, 2020
End date: April 17, 2024
a = 3.9250
b = -0.0001
s = 0.1259
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -3.56%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1259) – 1
= 65.49%
November 9, 2020 calculations
Top border of price channel:
Exp(Y394)
= Exp(a + b × X394 + 2 × s)
= Exp(a + b × 571 + 2 × s)
= Exp(3.9250 + -0.0001 × 571 + 2 × 0.1259)
= Exp(4.1201)
= $61.57
Bottom border of price channel:
Exp(Y394)
= Exp(a + b × X394 – 2 × s)
= Exp(a + b × 571 – 2 × s)
= Exp(3.9250 + -0.0001 × 571 – 2 × 0.1259)
= Exp(3.6164)
= $37.20
April 17, 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(3.9250 + -0.0001 × 1,826 + 2 × 0.1259)
= Exp(3.9953)
= $54.34
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(3.9250 + -0.0001 × 1,826 – 2 × 0.1259)
= Exp(3.4916)
= $32.84
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 3.56% per annum.
- UAL price at the close of April 17, 2024 was inside the secondary price channel.
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