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 37.92% per annum.
- NKE price at the close of November 19, 2024 was $73.91 and was higher than the top border of the primary price channel by $33.03 (80.78%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 16.76% per annum.
- NKE price at the close of November 19, 2024 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 NKE 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: June 25, 2021
End date: November 10, 2022
a = 5.9425
b = -0.0013
s = 0.0765
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0013) – 1
= -37.92%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0765) – 1
= 35.81%
June 25, 2021 calculations
Top border of price channel:
Exp(Y401)
= Exp(a + b × X401 + 2 × s)
= Exp(a + b × 583 + 2 × s)
= Exp(5.9425 + -0.0013 × 583 + 2 × 0.0765)
= Exp(5.3341)
= $207.29
Bottom border of price channel:
Exp(Y401)
= Exp(a + b × X401 – 2 × s)
= Exp(a + b × 583 – 2 × s)
= Exp(5.9425 + -0.0013 × 583 – 2 × 0.0765)
= Exp(5.0280)
= $152.63
November 10, 2022 calculations
Top border of price channel:
Exp(Y749)
= Exp(a + b × X749 + 2 × s)
= Exp(a + b × 1,086 + 2 × s)
= Exp(5.9425 + -0.0013 × 1,086 + 2 × 0.0765)
= Exp(4.6772)
= $107.47
Bottom border of price channel:
Exp(Y749)
= Exp(a + b × X749 – 2 × s)
= Exp(a + b × 1,086 – 2 × s)
= Exp(5.9425 + -0.0013 × 1,086 – 2 × 0.0765)
= Exp(4.3711)
= $79.13
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 37.92% per annum.
- NKE price at the close of November 19, 2024 was $73.91 and was higher than the top border of the primary price channel by $33.03 (80.78%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: June 25, 2021
End date: November 19, 2024
a = 5.3074
b = -0.0005
s = 0.1138
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0005) – 1
= -16.76%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1138) – 1
= 57.63%
June 25, 2021 calculations
Top border of price channel:
Exp(Y401)
= Exp(a + b × X401 + 2 × s)
= Exp(a + b × 583 + 2 × s)
= Exp(5.3074 + -0.0005 × 583 + 2 × 0.1138)
= Exp(5.2419)
= $189.03
Bottom border of price channel:
Exp(Y401)
= Exp(a + b × X401 – 2 × s)
= Exp(a + b × 583 – 2 × s)
= Exp(5.3074 + -0.0005 × 583 – 2 × 0.1138)
= Exp(4.7868)
= $119.92
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(5.3074 + -0.0005 × 1,826 + 2 × 0.1138)
= Exp(4.6170)
= $101.19
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(5.3074 + -0.0005 × 1,826 – 2 × 0.1138)
= Exp(4.1619)
= $64.19
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 16.76% per annum.
- NKE price at the close of November 19, 2024 was inside the secondary price channel.
- 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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