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 31.11% per annum.
- DVN price at the close of November 8, 2023 was $44.18 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 8.68% per annum.
- DVN price at the close of November 8, 2023 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 DVN 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 11, 2022
End date: November 8, 2023
a = 5.6590
b = -0.0010
s = 0.0748
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0010) – 1
= -31.11%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0748) – 1
= 34.90%
August 11, 2022 calculations
Top border of price channel:
Exp(Y943)
= Exp(a + b × X943 + 2 × s)
= Exp(a + b × 1,371 + 2 × s)
= Exp(5.6590 + -0.0010 × 1,371 + 2 × 0.0748)
= Exp(4.4091)
= $82.19
Bottom border of price channel:
Exp(Y943)
= Exp(a + b × X943 – 2 × s)
= Exp(a + b × 1,371 – 2 × s)
= Exp(5.6590 + -0.0010 × 1,371 – 2 × 0.0748)
= Exp(4.1097)
= $60.93
November 8, 2023 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(5.6590 + -0.0010 × 1,825 + 2 × 0.0748)
= Exp(3.9456)
= $51.71
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(5.6590 + -0.0010 × 1,825 – 2 × 0.0748)
= Exp(3.6463)
= $38.33
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 31.11% per annum.
- DVN price at the close of November 8, 2023 was $44.18 and was inside the primary price channel.
Secondary Trend
Start date: March 9, 2023
End date: November 8, 2023
a = 4.3257
b = -0.0002
s = 0.0494
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0002) – 1
= -8.68%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0494) – 1
= 21.86%
March 9, 2023 calculations
Top border of price channel:
Exp(Y1,087)
= Exp(a + b × X1,087 + 2 × s)
= Exp(a + b × 1,581 + 2 × s)
= Exp(4.3257 + -0.0002 × 1,581 + 2 × 0.0494)
= Exp(4.0311)
= $56.32
Bottom border of price channel:
Exp(Y1,087)
= Exp(a + b × X1,087 – 2 × s)
= Exp(a + b × 1,581 – 2 × s)
= Exp(4.3257 + -0.0002 × 1,581 – 2 × 0.0494)
= Exp(3.8334)
= $46.22
November 8, 2023 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(4.3257 + -0.0002 × 1,825 + 2 × 0.0494)
= Exp(3.9704)
= $53.01
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(4.3257 + -0.0002 × 1,825 – 2 × 0.0494)
= Exp(3.7727)
= $43.50
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 8.68% per annum.
- DVN price at the close of November 8, 2023 was inside the secondary price channel.
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