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 9.57% per annum.
- F price at the close of February 20, 2025 was $9.39 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 3.18% per annum.
- F price at the close of February 20, 2025 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 F 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 27, 2021
End date: February 20, 2025
a = 2.7760
b = -0.0003
s = 0.1270
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0003) – 1
= -9.57%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1270) – 1
= 66.20%
September 27, 2021 calculations
Top border of price channel:
Exp(Y403)
= Exp(a + b × X403 + 2 × s)
= Exp(a + b × 584 + 2 × s)
= Exp(2.7760 + -0.0003 × 584 + 2 × 0.1270)
= Exp(2.8692)
= $17.62
Bottom border of price channel:
Exp(Y403)
= Exp(a + b × X403 – 2 × s)
= Exp(a + b × 584 – 2 × s)
= Exp(2.7760 + -0.0003 × 584 – 2 × 0.1270)
= Exp(2.3612)
= $10.60
February 20, 2025 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(2.7760 + -0.0003 × 1,826 + 2 × 0.1270)
= Exp(2.5271)
= $12.52
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(2.7760 + -0.0003 × 1,826 – 2 × 0.1270)
= Exp(2.0190)
= $7.53
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 9.57% per annum.
- F price at the close of February 20, 2025 was $9.39 and was inside the primary price channel.
Secondary Trend
Start date: May 6, 2022
End date: February 20, 2025
a = 2.5043
b = -0.0001
s = 0.0918
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -3.18%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0918) – 1
= 44.38%
May 6, 2022 calculations
Top border of price channel:
Exp(Y557)
= Exp(a + b × X557 + 2 × s)
= Exp(a + b × 805 + 2 × s)
= Exp(2.5043 + -0.0001 × 805 + 2 × 0.0918)
= Exp(2.6167)
= $13.69
Bottom border of price channel:
Exp(Y557)
= Exp(a + b × X557 – 2 × s)
= Exp(a + b × 805 – 2 × s)
= Exp(2.5043 + -0.0001 × 805 – 2 × 0.0918)
= Exp(2.2494)
= $9.48
February 20, 2025 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(2.5043 + -0.0001 × 1,826 + 2 × 0.0918)
= Exp(2.5263)
= $12.51
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(2.5043 + -0.0001 × 1,826 – 2 × 0.0918)
= Exp(2.1590)
= $8.66
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 3.18% per annum.
- F price at the close of February 20, 2025 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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