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 89.92% per annum.
- FDX price at the close of November 20, 2024 was $288.03 and was lower than the bottom border of the primary price channel by $255.20 (46.98%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 18.35% per annum.
- FDX price at the close of November 20, 2024 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 FDX 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: September 16, 2022
End date: September 1, 2023
a = 3.1710
b = 0.0018
s = 0.0411
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0018) – 1
= 89.92%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0411) – 1
= 17.89%
September 16, 2022 calculations
Top border of price channel:
Exp(Y709)
= Exp(a + b × X709 + 2 × s)
= Exp(a + b × 1,030 + 2 × s)
= Exp(3.1710 + 0.0018 × 1,030 + 2 × 0.0411)
= Exp(5.0633)
= $158.11
Bottom border of price channel:
Exp(Y709)
= Exp(a + b × X709 – 2 × s)
= Exp(a + b × 1,030 – 2 × s)
= Exp(3.1710 + 0.0018 × 1,030 – 2 × 0.0411)
= Exp(4.8987)
= $134.12
September 1, 2023 calculations
Top border of price channel:
Exp(Y950)
= Exp(a + b × X950 + 2 × s)
= Exp(a + b × 1,380 + 2 × s)
= Exp(3.1710 + 0.0018 × 1,380 + 2 × 0.0411)
= Exp(5.6784)
= $292.47
Bottom border of price channel:
Exp(Y950)
= Exp(a + b × X950 – 2 × s)
= Exp(a + b × 1,380 – 2 × s)
= Exp(3.1710 + 0.0018 × 1,380 – 2 × 0.0411)
= Exp(5.5138)
= $248.09
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 89.92% per annum.
- FDX price at the close of November 20, 2024 was $288.03 and was lower than the bottom border of the primary price channel by $255.20 (46.98%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: February 1, 2023
End date: November 20, 2024
a = 4.8277
b = 0.0005
s = 0.0602
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0005) – 1
= 18.35%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0602) – 1
= 27.22%
February 1, 2023 calculations
Top border of price channel:
Exp(Y803)
= Exp(a + b × X803 + 2 × s)
= Exp(a + b × 1,168 + 2 × s)
= Exp(4.8277 + 0.0005 × 1,168 + 2 × 0.0602)
= Exp(5.4870)
= $241.54
Bottom border of price channel:
Exp(Y803)
= Exp(a + b × X803 – 2 × s)
= Exp(a + b × 1,168 – 2 × s)
= Exp(4.8277 + 0.0005 × 1,168 – 2 × 0.0602)
= Exp(5.2463)
= $189.86
November 20, 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(4.8277 + 0.0005 × 1,826 + 2 × 0.0602)
= Exp(5.7907)
= $327.23
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.8277 + 0.0005 × 1,826 – 2 × 0.0602)
= Exp(5.5499)
= $257.22
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 18.35% per annum.
- FDX price at the close of November 20, 2024 was inside the secondary price channel.
- 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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