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 7.03% per annum.
- F price at the close of November 19, 2024 was $11.05 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 0.57% per annum.
- F price at the close of November 19, 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 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: May 26, 2021
End date: November 19, 2024
a = 2.7263
b = -0.0002
s = 0.1340
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0002) – 1
= -7.03%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1340) – 1
= 70.90%
May 26, 2021 calculations
Top border of price channel:
Exp(Y380)
= Exp(a + b × X380 + 2 × s)
= Exp(a + b × 553 + 2 × s)
= Exp(2.7263 + -0.0002 × 553 + 2 × 0.1340)
= Exp(2.8838)
= $17.88
Bottom border of price channel:
Exp(Y380)
= Exp(a + b × X380 – 2 × s)
= Exp(a + b × 553 – 2 × s)
= Exp(2.7263 + -0.0002 × 553 – 2 × 0.1340)
= Exp(2.3479)
= $10.46
November 19, 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(2.7263 + -0.0002 × 1,826 + 2 × 0.1340)
= Exp(2.6295)
= $13.87
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(2.7263 + -0.0002 × 1,826 – 2 × 0.1340)
= Exp(2.0936)
= $8.11
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 7.03% per annum.
- F price at the close of November 19, 2024 was $11.05 and was inside the primary price channel.
Secondary Trend
Start date: September 20, 2022
End date: November 19, 2024
a = 2.4455
b = 0.0000
s = 0.0841
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0000) – 1
= -0.57%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0841) – 1
= 39.96%
September 20, 2022 calculations
Top border of price channel:
Exp(Y712)
= Exp(a + b × X712 + 2 × s)
= Exp(a + b × 1,035 + 2 × s)
= Exp(2.4455 + 0.0000 × 1,035 + 2 × 0.0841)
= Exp(2.5974)
= $13.43
Bottom border of price channel:
Exp(Y712)
= Exp(a + b × X712 – 2 × s)
= Exp(a + b × 1,035 – 2 × s)
= Exp(2.4455 + 0.0000 × 1,035 – 2 × 0.0841)
= Exp(2.2612)
= $9.59
November 19, 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(2.4455 + 0.0000 × 1,826 + 2 × 0.0841)
= Exp(2.5851)
= $13.26
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(2.4455 + 0.0000 × 1,826 – 2 × 0.0841)
= Exp(2.2488)
= $9.48
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 0.57% per annum.
- F price at the close of November 19, 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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