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 31.35% per annum.
- NOC price at the close of April 27, 2023 was $457.68 and was lower than the bottom border of the primary price channel by $66.04 (12.61%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 29.66% per annum.
- NOC price at the close of April 27, 2023 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 NOC 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 30, 2020
End date: January 6, 2023
a = 4.9988
b = 0.0007
s = 0.0499
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0007) – 1
= 31.35%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0499) – 1
= 22.08%
September 30, 2020 calculations
Top border of price channel:
Exp(Y610)
= Exp(a + b × X610 + 2 × s)
= Exp(a + b × 884 + 2 × s)
= Exp(4.9988 + 0.0007 × 884 + 2 × 0.0499)
= Exp(5.7590)
= $317.02
Bottom border of price channel:
Exp(Y610)
= Exp(a + b × X610 – 2 × s)
= Exp(a + b × 884 – 2 × s)
= Exp(4.9988 + 0.0007 × 884 – 2 × 0.0499)
= Exp(5.5595)
= $259.69
January 6, 2023 calculations
Top border of price channel:
Exp(Y1,181)
= Exp(a + b × X1,181 + 2 × s)
= Exp(a + b × 1,712 + 2 × s)
= Exp(4.9988 + 0.0007 × 1,712 + 2 × 0.0499)
= Exp(6.3775)
= $588.47
Bottom border of price channel:
Exp(Y1,181)
= Exp(a + b × X1,181 – 2 × s)
= Exp(a + b × 1,712 – 2 × s)
= Exp(4.9988 + 0.0007 × 1,712 – 2 × 0.0499)
= Exp(6.1780)
= $482.05
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 31.35% per annum.
- NOC price at the close of April 27, 2023 was $457.68 and was lower than the bottom border of the primary price channel by $66.04 (12.61%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: October 18, 2022
End date: April 27, 2023
a = 7.8573
b = -0.0010
s = 0.0472
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0010) – 1
= -29.66%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0472) – 1
= 20.77%
October 18, 2022 calculations
Top border of price channel:
Exp(Y1,126)
= Exp(a + b × X1,126 + 2 × s)
= Exp(a + b × 1,632 + 2 × s)
= Exp(7.8573 + -0.0010 × 1,632 + 2 × 0.0472)
= Exp(6.3788)
= $589.21
Bottom border of price channel:
Exp(Y1,126)
= Exp(a + b × X1,126 – 2 × s)
= Exp(a + b × 1,632 – 2 × s)
= Exp(7.8573 + -0.0010 × 1,632 – 2 × 0.0472)
= Exp(6.1901)
= $487.88
April 27, 2023 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,823 + 2 × s)
= Exp(7.8573 + -0.0010 × 1,823 + 2 × 0.0472)
= Exp(6.1947)
= $490.15
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,823 – 2 × s)
= Exp(7.8573 + -0.0010 × 1,823 – 2 × 0.0472)
= Exp(6.0060)
= $405.85
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 29.66% per annum.
- NOC price at the close of April 27, 2023 was inside the secondary price channel.
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