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 21.28% per annum.
- LYB price at the close of August 2, 2019 was $76.14 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 1.94% per annum.
- LYB price at the close of August 2, 2019 was lower than the bottom border of the secondary price channel by $1.93 (2.47%).
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 LYB 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: December 20, 2017
End date: August 2, 2019
a = 5.5846
b = -0.0007
s = 0.0616
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0007) – 1
= -21.28%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0616) – 1
= 27.94%
December 20, 2017 calculations
Top border of price channel:
Exp(Y853)
= Exp(a + b × X853 + 2 × s)
= Exp(a + b × 1,234 + 2 × s)
= Exp(5.5846 + -0.0007 × 1,234 + 2 × 0.0616)
= Exp(4.8987)
= $134.11
Bottom border of price channel:
Exp(Y853)
= Exp(a + b × X853 – 2 × s)
= Exp(a + b × 1,234 – 2 × s)
= Exp(5.5846 + -0.0007 × 1,234 – 2 × 0.0616)
= Exp(4.6523)
= $104.82
August 2, 2019 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(5.5846 + -0.0007 × 1,824 + 2 × 0.0616)
= Exp(4.5118)
= $91.09
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(5.5846 + -0.0007 × 1,824 – 2 × 0.0616)
= Exp(4.2654)
= $71.20
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 21.28% per annum.
- LYB price at the close of August 2, 2019 was $76.14 and was inside the primary price channel.
Secondary Trend
Start date: December 6, 2018
End date: August 2, 2019
a = 4.5383
b = -0.0001
s = 0.0415
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -1.94%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0415) – 1
= 18.06%
December 6, 2018 calculations
Top border of price channel:
Exp(Y1,094)
= Exp(a + b × X1,094 + 2 × s)
= Exp(a + b × 1,585 + 2 × s)
= Exp(4.5383 + -0.0001 × 1,585 + 2 × 0.0415)
= Exp(4.5365)
= $93.36
Bottom border of price channel:
Exp(Y1,094)
= Exp(a + b × X1,094 – 2 × s)
= Exp(a + b × 1,585 – 2 × s)
= Exp(4.5383 + -0.0001 × 1,585 – 2 × 0.0415)
= Exp(4.3704)
= $79.08
August 2, 2019 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(4.5383 + -0.0001 × 1,824 + 2 × 0.0415)
= Exp(4.5237)
= $92.17
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(4.5383 + -0.0001 × 1,824 – 2 × 0.0415)
= Exp(4.3576)
= $78.07
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 1.94% per annum.
- LYB price at the close of August 2, 2019 was lower than the bottom border of the secondary price channel by $1.93 (2.47%).
Check current LYB price trends.
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