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 9.55% per annum.
- IQV price at the close of November 1, 2023 was $180.01 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 70.57% per annum.
- IQV price at the close of November 1, 2023 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 IQV 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 23, 2021
End date: November 1, 2023
a = 5.7824
b = -0.0003
s = 0.0748
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0003) – 1
= -9.55%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0748) – 1
= 34.87%
April 23, 2021 calculations
Top border of price channel:
Exp(Y620)
= Exp(a + b × X620 + 2 × s)
= Exp(a + b × 903 + 2 × s)
= Exp(5.7824 + -0.0003 × 903 + 2 × 0.0748)
= Exp(5.6838)
= $294.05
Bottom border of price channel:
Exp(Y620)
= Exp(a + b × X620 – 2 × s)
= Exp(a + b × 903 – 2 × s)
= Exp(5.7824 + -0.0003 × 903 – 2 × 0.0748)
= Exp(5.3846)
= $218.03
November 1, 2023 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(5.7824 + -0.0003 × 1,825 + 2 × 0.0748)
= Exp(5.4304)
= $228.23
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(5.7824 + -0.0003 × 1,825 – 2 × 0.0748)
= Exp(5.1312)
= $169.22
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 9.55% per annum.
- IQV price at the close of November 1, 2023 was $180.01 and was inside the primary price channel.
Secondary Trend
Start date: August 28, 2023
End date: November 1, 2023
a = 11.3110
b = -0.0034
s = 0.0219
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0034) – 1
= -70.57%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0219) – 1
= 9.16%
August 28, 2023 calculations
Top border of price channel:
Exp(Y1,210)
= Exp(a + b × X1,210 + 2 × s)
= Exp(a + b × 1,760 + 2 × s)
= Exp(11.3110 + -0.0034 × 1,760 + 2 × 0.0219)
= Exp(5.4575)
= $234.51
Bottom border of price channel:
Exp(Y1,210)
= Exp(a + b × X1,210 – 2 × s)
= Exp(a + b × 1,760 – 2 × s)
= Exp(11.3110 + -0.0034 × 1,760 – 2 × 0.0219)
= Exp(5.3699)
= $214.83
November 1, 2023 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(11.3110 + -0.0034 × 1,825 + 2 × 0.0219)
= Exp(5.2397)
= $188.62
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(11.3110 + -0.0034 × 1,825 – 2 × 0.0219)
= Exp(5.1521)
= $172.79
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 70.57% per annum.
- IQV price at the close of November 1, 2023 was inside the secondary price channel.
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