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 60.93% per annum.
- JCI price at the close of May 1, 2024 was $60.47 and was lower than the bottom border of the primary price channel by $197.49 (76.56%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 6.61% per annum.
- JCI price at the close of May 1, 2024 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 JCI 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 9, 2021
End date: September 17, 2021
a = 3.1964
b = 0.0013
s = 0.0119
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0013) – 1
= 60.93%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0119) – 1
= 4.87%
April 9, 2021 calculations
Top border of price channel:
Exp(Y488)
= Exp(a + b × X488 + 2 × s)
= Exp(a + b × 708 + 2 × s)
= Exp(3.1964 + 0.0013 × 708 + 2 × 0.0119)
= Exp(4.1431)
= $62.99
Bottom border of price channel:
Exp(Y488)
= Exp(a + b × X488 – 2 × s)
= Exp(a + b × 708 – 2 × s)
= Exp(3.1964 + 0.0013 × 708 – 2 × 0.0119)
= Exp(4.0955)
= $60.07
September 17, 2021 calculations
Top border of price channel:
Exp(Y600)
= Exp(a + b × X600 + 2 × s)
= Exp(a + b × 869 + 2 × s)
= Exp(3.1964 + 0.0013 × 869 + 2 × 0.0119)
= Exp(4.3529)
= $77.70
Bottom border of price channel:
Exp(Y600)
= Exp(a + b × X600 – 2 × s)
= Exp(a + b × 869 – 2 × s)
= Exp(3.1964 + 0.0013 × 869 – 2 × 0.0119)
= Exp(4.3054)
= $74.10
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 60.93% per annum.
- JCI price at the close of May 1, 2024 was $60.47 and was lower than the bottom border of the primary price channel by $197.49 (76.56%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: April 9, 2021
End date: May 1, 2024
a = 4.3645
b = -0.0002
s = 0.1140
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0002) – 1
= -6.61%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1140) – 1
= 57.78%
April 9, 2021 calculations
Top border of price channel:
Exp(Y488)
= Exp(a + b × X488 + 2 × s)
= Exp(a + b × 708 + 2 × s)
= Exp(4.3645 + -0.0002 × 708 + 2 × 0.1140)
= Exp(4.4599)
= $86.48
Bottom border of price channel:
Exp(Y488)
= Exp(a + b × X488 – 2 × s)
= Exp(a + b × 708 – 2 × s)
= Exp(4.3645 + -0.0002 × 708 – 2 × 0.1140)
= Exp(4.0039)
= $54.81
May 1, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(4.3645 + -0.0002 × 1,826 + 2 × 0.1140)
= Exp(4.2505)
= $70.14
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.3645 + -0.0002 × 1,826 – 2 × 0.1140)
= Exp(3.7944)
= $44.45
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 6.61% per annum.
- JCI price at the close of May 1, 2024 was inside the secondary price channel.
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