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 53.73% per annum.
- WBD price at the close of November 4, 2022 was $10.43 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 72.32% per annum.
- WBD price at the close of November 4, 2022 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 WBD 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 26, 2021
End date: November 4, 2022
a = 5.4012
b = -0.0021
s = 0.1652
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0021) – 1
= -53.73%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1652) – 1
= 93.63%
January 26, 2021 calculations
Top border of price channel:
Exp(Y495)
= Exp(a + b × X495 + 2 × s)
= Exp(a + b × 719 + 2 × s)
= Exp(5.4012 + -0.0021 × 719 + 2 × 0.1652)
= Exp(4.2136)
= $67.60
Bottom border of price channel:
Exp(Y495)
= Exp(a + b × X495 – 2 × s)
= Exp(a + b × 719 – 2 × s)
= Exp(5.4012 + -0.0021 × 719 – 2 × 0.1652)
= Exp(3.5529)
= $34.91
November 4, 2022 calculations
Top border of price channel:
Exp(Y944)
= Exp(a + b × X944 + 2 × s)
= Exp(a + b × 1,366 + 2 × s)
= Exp(5.4012 + -0.0021 × 1,366 + 2 × 0.1652)
= Exp(2.8477)
= $17.25
Bottom border of price channel:
Exp(Y944)
= Exp(a + b × X944 – 2 × s)
= Exp(a + b × 1,366 – 2 × s)
= Exp(5.4012 + -0.0021 × 1,366 – 2 × 0.1652)
= Exp(2.1869)
= $8.91
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 53.73% per annum.
- WBD price at the close of November 4, 2022 was $10.43 and was inside the primary price channel.
Secondary Trend
Start date: January 7, 2022
End date: November 4, 2022
a = 7.1625
b = -0.0035
s = 0.1025
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0035) – 1
= -72.32%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1025) – 1
= 50.67%
January 7, 2022 calculations
Top border of price channel:
Exp(Y736)
= Exp(a + b × X736 + 2 × s)
= Exp(a + b × 1,065 + 2 × s)
= Exp(7.1625 + -0.0035 × 1,065 + 2 × 0.1025)
= Exp(3.6202)
= $37.34
Bottom border of price channel:
Exp(Y736)
= Exp(a + b × X736 – 2 × s)
= Exp(a + b × 1,065 – 2 × s)
= Exp(7.1625 + -0.0035 × 1,065 – 2 × 0.1025)
= Exp(3.2102)
= $24.79
November 4, 2022 calculations
Top border of price channel:
Exp(Y944)
= Exp(a + b × X944 + 2 × s)
= Exp(a + b × 1,366 + 2 × s)
= Exp(7.1625 + -0.0035 × 1,366 + 2 × 0.1025)
= Exp(2.5611)
= $12.95
Bottom border of price channel:
Exp(Y944)
= Exp(a + b × X944 – 2 × s)
= Exp(a + b × 1,366 – 2 × s)
= Exp(7.1625 + -0.0035 × 1,366 – 2 × 0.1025)
= Exp(2.1512)
= $8.59
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 72.32% per annum.
- WBD price at the close of November 4, 2022 was inside the secondary price channel.
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