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 5.48% per annum.
- MDT price at the close of November 19, 2024 was $85.00 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 52.08% per annum.
- MDT price at the close of November 19, 2024 was lower than the bottom border of the secondary price channel by $2.20 (2.52%). This indicates a possible reversal in the secondary trend direction.
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 MDT 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: September 21, 2022
End date: November 19, 2024
a = 4.1726
b = 0.0001
s = 0.0546
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0001) – 1
= 5.48%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0546) – 1
= 24.43%
September 21, 2022 calculations
Top border of price channel:
Exp(Y713)
= Exp(a + b × X713 + 2 × s)
= Exp(a + b × 1,036 + 2 × s)
= Exp(4.1726 + 0.0001 × 1,036 + 2 × 0.0546)
= Exp(4.4333)
= $84.21
Bottom border of price channel:
Exp(Y713)
= Exp(a + b × X713 – 2 × s)
= Exp(a + b × 1,036 – 2 × s)
= Exp(4.1726 + 0.0001 × 1,036 – 2 × 0.0546)
= Exp(4.2147)
= $67.67
November 19, 2024 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(4.1726 + 0.0001 × 1,826 + 2 × 0.0546)
= Exp(4.5487)
= $94.51
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(4.1726 + 0.0001 × 1,826 – 2 × 0.0546)
= Exp(4.3301)
= $75.95
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 5.48% per annum.
- MDT price at the close of November 19, 2024 was $85.00 and was inside the primary price channel.
Secondary Trend
Start date: June 14, 2024
End date: November 19, 2024
a = 2.4320
b = 0.0011
s = 0.0306
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0011) – 1
= 52.08%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0306) – 1
= 13.01%
June 14, 2024 calculations
Top border of price channel:
Exp(Y1,148)
= Exp(a + b × X1,148 + 2 × s)
= Exp(a + b × 1,668 + 2 × s)
= Exp(2.4320 + 0.0011 × 1,668 + 2 × 0.0306)
= Exp(4.4090)
= $82.19
Bottom border of price channel:
Exp(Y1,148)
= Exp(a + b × X1,148 – 2 × s)
= Exp(a + b × 1,668 – 2 × s)
= Exp(2.4320 + 0.0011 × 1,668 – 2 × 0.0306)
= Exp(4.2867)
= $72.73
November 19, 2024 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,826 + 2 × s)
= Exp(2.4320 + 0.0011 × 1,826 + 2 × 0.0306)
= Exp(4.5905)
= $98.54
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(2.4320 + 0.0011 × 1,826 – 2 × 0.0306)
= Exp(4.4682)
= $87.20
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 52.08% per annum.
- MDT price at the close of November 19, 2024 was lower than the bottom border of the secondary price channel by $2.20 (2.52%). This indicates a possible reversal in the secondary trend direction.
- Discover a new approach to trend analysis.
- Check the power of mathematical statistics.
- Price channels have never been so accurately estimated.
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