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 18.18% per annum.
- GIS price at the close of December 18, 2019 was $53.18 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 4.01% per annum.
- GIS price at the close of December 18, 2019 was inside the secondary price channel.
- The direction of the secondary trend is opposite to the direction of the primary trend. This indicates a possible reversal in the direction of the primary trend.
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 GIS 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: April 19, 2018
End date: December 18, 2019
a = 3.1668
b = 0.0005
s = 0.0619
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0005) – 1
= 18.18%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0619) – 1
= 28.09%
April 19, 2018 calculations
Top border of price channel:
Exp(Y837)
= Exp(a + b × X837 + 2 × s)
= Exp(a + b × 1,217 + 2 × s)
= Exp(3.1668 + 0.0005 × 1,217 + 2 × 0.0619)
= Exp(3.8474)
= $46.87
Bottom border of price channel:
Exp(Y837)
= Exp(a + b × X837 – 2 × s)
= Exp(a + b × 1,217 – 2 × s)
= Exp(3.1668 + 0.0005 × 1,217 – 2 × 0.0619)
= Exp(3.5999)
= $36.59
December 18, 2019 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(3.1668 + 0.0005 × 1,825 + 2 × 0.0619)
= Exp(4.1256)
= $61.91
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(3.1668 + 0.0005 × 1,825 – 2 × 0.0619)
= Exp(3.8781)
= $48.33
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 18.18% per annum.
- GIS price at the close of December 18, 2019 was $53.18 and was inside the primary price channel.
Secondary Trend
Start date: June 12, 2019
End date: December 18, 2019
a = 4.1692
b = -0.0001
s = 0.0201
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -4.01%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0201) – 1
= 8.38%
June 12, 2019 calculations
Top border of price channel:
Exp(Y1,125)
= Exp(a + b × X1,125 + 2 × s)
= Exp(a + b × 1,636 + 2 × s)
= Exp(4.1692 + -0.0001 × 1,636 + 2 × 0.0201)
= Exp(4.0261)
= $56.04
Bottom border of price channel:
Exp(Y1,125)
= Exp(a + b × X1,125 – 2 × s)
= Exp(a + b × 1,636 – 2 × s)
= Exp(4.1692 + -0.0001 × 1,636 – 2 × 0.0201)
= Exp(3.9457)
= $51.71
December 18, 2019 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(4.1692 + -0.0001 × 1,825 + 2 × 0.0201)
= Exp(4.0050)
= $54.87
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(4.1692 + -0.0001 × 1,825 – 2 × 0.0201)
= Exp(3.9245)
= $50.63
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 4.01% per annum.
- GIS price at the close of December 18, 2019 was inside the secondary price channel.
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