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 5.95% per annum.
- TWX price at the close of April 26, 2018 was $93.67 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 20.00% per annum.
- TWX price at the close of April 26, 2018 was lower than the bottom border of the secondary price channel by $1.02 (1.07%). 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 TWX 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: February 23, 2017
End date: April 26, 2018
a = 4.8475
b = -0.0002
s = 0.0352
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0002) – 1
= -5.95%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0352) – 1
= 15.13%
February 23, 2017 calculations
Top border of price channel:
Exp(Y963)
= Exp(a + b × X963 + 2 × s)
= Exp(a + b × 1,396 + 2 × s)
= Exp(4.8475 + -0.0002 × 1,396 + 2 × 0.0352)
= Exp(4.6832)
= $108.11
Bottom border of price channel:
Exp(Y963)
= Exp(a + b × X963 – 2 × s)
= Exp(a + b × 1,396 – 2 × s)
= Exp(4.8475 + -0.0002 × 1,396 – 2 × 0.0352)
= Exp(4.5422)
= $93.90
April 26, 2018 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,823 + 2 × s)
= Exp(4.8475 + -0.0002 × 1,823 + 2 × 0.0352)
= Exp(4.6113)
= $100.62
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,823 – 2 × s)
= Exp(4.8475 + -0.0002 × 1,823 – 2 × 0.0352)
= Exp(4.4704)
= $87.39
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 5.95% per annum.
- TWX price at the close of April 26, 2018 was $93.67 and was inside the primary price channel.
Secondary Trend
Start date: November 8, 2017
End date: April 26, 2018
a = 3.6661
b = 0.0005
s = 0.0131
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0005) – 1
= 20.00%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0131) – 1
= 5.39%
November 8, 2017 calculations
Top border of price channel:
Exp(Y1,142)
= Exp(a + b × X1,142 + 2 × s)
= Exp(a + b × 1,654 + 2 × s)
= Exp(3.6661 + 0.0005 × 1,654 + 2 × 0.0131)
= Exp(4.5186)
= $91.71
Bottom border of price channel:
Exp(Y1,142)
= Exp(a + b × X1,142 – 2 × s)
= Exp(a + b × 1,654 – 2 × s)
= Exp(3.6661 + 0.0005 × 1,654 – 2 × 0.0131)
= Exp(4.4661)
= $87.02
April 26, 2018 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,823 + 2 × s)
= Exp(3.6661 + 0.0005 × 1,823 + 2 × 0.0131)
= Exp(4.6031)
= $99.79
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,823 – 2 × s)
= Exp(3.6661 + 0.0005 × 1,823 – 2 × 0.0131)
= Exp(4.5506)
= $94.69
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 20.00% per annum.
- TWX price at the close of April 26, 2018 was lower than the bottom border of the secondary price channel by $1.02 (1.07%). This indicates a possible reversal in the secondary trend direction.
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