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 32.83% per annum.
- VRTX price at the close of February 20, 2025 was $480.33 and was lower than the bottom border of the primary price channel by $2.14 (0.44%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 17.49% per annum.
- VRTX price at the close of February 20, 2025 was higher than the top border of the secondary price channel by $8.64 (1.83%). This indicates a possible reversal in the secondary trend direction.
- 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 VRTX 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: May 25, 2021
End date: November 14, 2024
a = 4.8872
b = 0.0008
s = 0.0643
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0008) – 1
= 32.83%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0643) – 1
= 29.32%
May 25, 2021 calculations
Top border of price channel:
Exp(Y317)
= Exp(a + b × X317 + 2 × s)
= Exp(a + b × 459 + 2 × s)
= Exp(4.8872 + 0.0008 × 459 + 2 × 0.0643)
= Exp(5.3728)
= $215.46
Bottom border of price channel:
Exp(Y317)
= Exp(a + b × X317 – 2 × s)
= Exp(a + b × 459 – 2 × s)
= Exp(4.8872 + 0.0008 × 459 – 2 × 0.0643)
= Exp(5.1157)
= $166.61
November 14, 2024 calculations
Top border of price channel:
Exp(Y1,192)
= Exp(a + b × X1,192 + 2 × s)
= Exp(a + b × 1,728 + 2 × s)
= Exp(4.8872 + 0.0008 × 1,728 + 2 × 0.0643)
= Exp(6.3598)
= $578.13
Bottom border of price channel:
Exp(Y1,192)
= Exp(a + b × X1,192 – 2 × s)
= Exp(a + b × 1,728 – 2 × s)
= Exp(4.8872 + 0.0008 × 1,728 – 2 × 0.0643)
= Exp(6.1027)
= $447.06
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 32.83% per annum.
- VRTX price at the close of February 20, 2025 was $480.33 and was lower than the bottom border of the primary price channel by $2.14 (0.44%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: June 3, 2024
End date: January 31, 2025
a = 7.0313
b = -0.0005
s = 0.0435
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0005) – 1
= -17.49%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0435) – 1
= 19.02%
June 3, 2024 calculations
Top border of price channel:
Exp(Y1,077)
= Exp(a + b × X1,077 + 2 × s)
= Exp(a + b × 1,564 + 2 × s)
= Exp(7.0313 + -0.0005 × 1,564 + 2 × 0.0435)
= Exp(6.2944)
= $541.51
Bottom border of price channel:
Exp(Y1,077)
= Exp(a + b × X1,077 – 2 × s)
= Exp(a + b × 1,564 – 2 × s)
= Exp(7.0313 + -0.0005 × 1,564 – 2 × 0.0435)
= Exp(6.1202)
= $454.96
January 31, 2025 calculations
Top border of price channel:
Exp(Y1,243)
= Exp(a + b × X1,243 + 2 × s)
= Exp(a + b × 1,806 + 2 × s)
= Exp(7.0313 + -0.0005 × 1,806 + 2 × 0.0435)
= Exp(6.1669)
= $476.69
Bottom border of price channel:
Exp(Y1,243)
= Exp(a + b × X1,243 – 2 × s)
= Exp(a + b × 1,806 – 2 × s)
= Exp(7.0313 + -0.0005 × 1,806 – 2 × 0.0435)
= Exp(5.9927)
= $400.50
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 17.49% per annum.
- VRTX price at the close of February 20, 2025 was higher than the top border of the secondary price channel by $8.64 (1.83%). This indicates a possible reversal in the secondary trend direction.
- 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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