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 57.77% per annum.
- HAL price at the close of February 13, 2019 was $31.40 and was higher than the top border of the primary price channel by $1.31 (4.37%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 465.20% per annum.
- HAL price at the close of February 13, 2019 was lower than the bottom border of the secondary price channel by $0.63 (1.96%). This indicates a possible reversal in the secondary trend direction.
- 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 HAL 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 12, 2018
End date: January 17, 2019
a = 7.5999
b = -0.0024
s = 0.0570
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0024) – 1
= -57.77%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0570) – 1
= 25.63%
April 12, 2018 calculations
Top border of price channel:
Exp(Y1,046)
= Exp(a + b × X1,046 + 2 × s)
= Exp(a + b × 1,518 + 2 × s)
= Exp(7.5999 + -0.0024 × 1,518 + 2 × 0.0570)
= Exp(4.1291)
= $62.12
Bottom border of price channel:
Exp(Y1,046)
= Exp(a + b × X1,046 – 2 × s)
= Exp(a + b × 1,518 – 2 × s)
= Exp(7.5999 + -0.0024 × 1,518 – 2 × 0.0570)
= Exp(3.9009)
= $49.45
January 17, 2019 calculations
Top border of price channel:
Exp(Y1,239)
= Exp(a + b × X1,239 + 2 × s)
= Exp(a + b × 1,798 + 2 × s)
= Exp(7.5999 + -0.0024 × 1,798 + 2 × 0.0570)
= Exp(3.4678)
= $32.07
Bottom border of price channel:
Exp(Y1,239)
= Exp(a + b × X1,239 – 2 × s)
= Exp(a + b × 1,798 – 2 × s)
= Exp(7.5999 + -0.0024 × 1,798 – 2 × 0.0570)
= Exp(3.2397)
= $25.53
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 57.77% per annum.
- HAL price at the close of February 13, 2019 was $31.40 and was higher than the top border of the primary price channel by $1.31 (4.37%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: December 19, 2018
End date: February 6, 2019
a = -5.1280
b = 0.0047
s = 0.0327
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0047) – 1
= 465.20%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0327) – 1
= 14.00%
December 19, 2018 calculations
Top border of price channel:
Exp(Y1,220)
= Exp(a + b × X1,220 + 2 × s)
= Exp(a + b × 1,769 + 2 × s)
= Exp(-5.1280 + 0.0047 × 1,769 + 2 × 0.0327)
= Exp(3.3319)
= $27.99
Bottom border of price channel:
Exp(Y1,220)
= Exp(a + b × X1,220 – 2 × s)
= Exp(a + b × 1,769 – 2 × s)
= Exp(-5.1280 + 0.0047 × 1,769 – 2 × 0.0327)
= Exp(3.2009)
= $24.55
February 6, 2019 calculations
Top border of price channel:
Exp(Y1,252)
= Exp(a + b × X1,252 + 2 × s)
= Exp(a + b × 1,818 + 2 × s)
= Exp(-5.1280 + 0.0047 × 1,818 + 2 × 0.0327)
= Exp(3.5644)
= $35.32
Bottom border of price channel:
Exp(Y1,252)
= Exp(a + b × X1,252 – 2 × s)
= Exp(a + b × 1,818 – 2 × s)
= Exp(-5.1280 + 0.0047 × 1,818 – 2 × 0.0327)
= Exp(3.4334)
= $30.98
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 465.20% per annum.
- HAL price at the close of February 13, 2019 was lower than the bottom border of the secondary price channel by $0.63 (1.96%). This indicates a possible reversal in the secondary trend direction.
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