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 22.96% per annum.
- PG price at the close of November 19, 2024 was $170.76 and was lower than the bottom border of the primary price channel by $0.99 (0.58%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 25.56% per annum.
- PG price at the close of November 19, 2024 was higher than the top border of the secondary price channel by $2.60 (1.55%). This indicates a possible reversal in the secondary trend direction.
- 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 PG 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 26, 2023
End date: October 2, 2024
a = 4.1526
b = 0.0006
s = 0.0203
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0006) – 1
= 22.96%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0203) – 1
= 8.45%
September 26, 2023 calculations
Top border of price channel:
Exp(Y967)
= Exp(a + b × X967 + 2 × s)
= Exp(a + b × 1,406 + 2 × s)
= Exp(4.1526 + 0.0006 × 1,406 + 2 × 0.0203)
= Exp(4.9894)
= $146.84
Bottom border of price channel:
Exp(Y967)
= Exp(a + b × X967 – 2 × s)
= Exp(a + b × 1,406 – 2 × s)
= Exp(4.1526 + 0.0006 × 1,406 – 2 × 0.0203)
= Exp(4.9082)
= $135.40
October 2, 2024 calculations
Top border of price channel:
Exp(Y1,223)
= Exp(a + b × X1,223 + 2 × s)
= Exp(a + b × 1,778 + 2 × s)
= Exp(4.1526 + 0.0006 × 1,778 + 2 × 0.0203)
= Exp(5.2000)
= $181.27
Bottom border of price channel:
Exp(Y1,223)
= Exp(a + b × X1,223 – 2 × s)
= Exp(a + b × 1,778 – 2 × s)
= Exp(4.1526 + 0.0006 × 1,778 – 2 × 0.0203)
= Exp(5.1189)
= $167.14
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 22.96% per annum.
- PG price at the close of November 19, 2024 was $170.76 and was lower than the bottom border of the primary price channel by $0.99 (0.58%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: September 3, 2024
End date: November 14, 2024
a = 6.5793
b = -0.0008
s = 0.0110
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0008) – 1
= -25.56%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0110) – 1
= 4.50%
September 3, 2024 calculations
Top border of price channel:
Exp(Y1,202)
= Exp(a + b × X1,202 + 2 × s)
= Exp(a + b × 1,749 + 2 × s)
= Exp(6.5793 + -0.0008 × 1,749 + 2 × 0.0110)
= Exp(5.1872)
= $178.96
Bottom border of price channel:
Exp(Y1,202)
= Exp(a + b × X1,202 – 2 × s)
= Exp(a + b × 1,749 – 2 × s)
= Exp(6.5793 + -0.0008 × 1,749 – 2 × 0.0110)
= Exp(5.1431)
= $171.25
November 14, 2024 calculations
Top border of price channel:
Exp(Y1,254)
= Exp(a + b × X1,254 + 2 × s)
= Exp(a + b × 1,821 + 2 × s)
= Exp(6.5793 + -0.0008 × 1,821 + 2 × 0.0110)
= Exp(5.1290)
= $168.84
Bottom border of price channel:
Exp(Y1,254)
= Exp(a + b × X1,254 – 2 × s)
= Exp(a + b × 1,821 – 2 × s)
= Exp(6.5793 + -0.0008 × 1,821 – 2 × 0.0110)
= Exp(5.0849)
= $161.57
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 25.56% per annum.
- PG price at the close of November 19, 2024 was higher than the top border of the secondary price channel by $2.60 (1.55%). 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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