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 8.25% per annum.
- URI price at the close of January 25, 2023 was $392.48 and was higher than the top border of the primary price channel by $46.56 (13.46%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 202.51% per annum.
- URI price at the close of January 25, 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 URI 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 22, 2021
End date: November 9, 2022
a = 6.0989
b = -0.0002
s = 0.0890
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0002) – 1
= -8.25%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0890) – 1
= 42.77%
February 22, 2021 calculations
Top border of price channel:
Exp(Y772)
= Exp(a + b × X772 + 2 × s)
= Exp(a + b × 1,123 + 2 × s)
= Exp(6.0989 + -0.0002 × 1,123 + 2 × 0.0890)
= Exp(6.0119)
= $408.24
Bottom border of price channel:
Exp(Y772)
= Exp(a + b × X772 – 2 × s)
= Exp(a + b × 1,123 – 2 × s)
= Exp(6.0989 + -0.0002 × 1,123 – 2 × 0.0890)
= Exp(5.6558)
= $285.95
November 9, 2022 calculations
Top border of price channel:
Exp(Y1,206)
= Exp(a + b × X1,206 + 2 × s)
= Exp(a + b × 1,748 + 2 × s)
= Exp(6.0989 + -0.0002 × 1,748 + 2 × 0.0890)
= Exp(5.8644)
= $352.26
Bottom border of price channel:
Exp(Y1,206)
= Exp(a + b × X1,206 – 2 × s)
= Exp(a + b × 1,748 – 2 × s)
= Exp(6.0989 + -0.0002 × 1,748 – 2 × 0.0890)
= Exp(5.5083)
= $246.74
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 8.25% per annum.
- URI price at the close of January 25, 2023 was $392.48 and was higher than the top border of the primary price channel by $46.56 (13.46%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: September 20, 2022
End date: January 25, 2023
a = 0.4622
b = 0.0030
s = 0.0417
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0030) – 1
= 202.51%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0417) – 1
= 18.13%
September 20, 2022 calculations
Top border of price channel:
Exp(Y1,170)
= Exp(a + b × X1,170 + 2 × s)
= Exp(a + b × 1,698 + 2 × s)
= Exp(0.4622 + 0.0030 × 1,698 + 2 × 0.0417)
= Exp(5.6952)
= $297.43
Bottom border of price channel:
Exp(Y1,170)
= Exp(a + b × X1,170 – 2 × s)
= Exp(a + b × 1,698 – 2 × s)
= Exp(0.4622 + 0.0030 × 1,698 – 2 × 0.0417)
= Exp(5.5285)
= $251.77
January 25, 2023 calculations
Top border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 + 2 × s)
= Exp(a + b × 1,825 + 2 × s)
= Exp(0.4622 + 0.0030 × 1,825 + 2 × 0.0417)
= Exp(6.0803)
= $437.17
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,825 – 2 × s)
= Exp(0.4622 + 0.0030 × 1,825 – 2 × 0.0417)
= Exp(5.9137)
= $370.07
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 202.51% per annum.
- URI price at the close of January 25, 2023 was inside the secondary price channel.
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