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 32.77% per annum.
- VLO price at the close of October 30, 2024 was $127.76 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 82.65% per annum.
- VLO price at the close of October 30, 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 VLO 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: March 18, 2024
End date: October 30, 2024
a = 6.8691
b = -0.0011
s = 0.0325
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0011) – 1
= -32.77%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0325) – 1
= 13.89%
March 18, 2024 calculations
Top border of price channel:
Exp(Y1,100)
= Exp(a + b × X1,100 + 2 × s)
= Exp(a + b × 1,600 + 2 × s)
= Exp(6.8691 + -0.0011 × 1,600 + 2 × 0.0325)
= Exp(5.1934)
= $180.08
Bottom border of price channel:
Exp(Y1,100)
= Exp(a + b × X1,100 – 2 × s)
= Exp(a + b × 1,600 – 2 × s)
= Exp(6.8691 + -0.0011 × 1,600 – 2 × 0.0325)
= Exp(5.0633)
= $158.12
October 30, 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(6.8691 + -0.0011 × 1,826 + 2 × 0.0325)
= Exp(4.9475)
= $140.82
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(6.8691 + -0.0011 × 1,826 – 2 × 0.0325)
= Exp(4.8175)
= $123.65
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 32.77% per annum.
- VLO price at the close of October 30, 2024 was $127.76 and was inside the primary price channel.
Secondary Trend
Start date: October 10, 2024
End date: October 30, 2024
a = 13.6138
b = -0.0048
s = 0.0129
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0048) – 1
= -82.65%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0129) – 1
= 5.31%
October 10, 2024 calculations
Top border of price channel:
Exp(Y1,243)
= Exp(a + b × X1,243 + 2 × s)
= Exp(a + b × 1,806 + 2 × s)
= Exp(13.6138 + -0.0048 × 1,806 + 2 × 0.0129)
= Exp(4.9729)
= $144.45
Bottom border of price channel:
Exp(Y1,243)
= Exp(a + b × X1,243 – 2 × s)
= Exp(a + b × 1,806 – 2 × s)
= Exp(13.6138 + -0.0048 × 1,806 – 2 × 0.0129)
= Exp(4.9212)
= $137.16
October 30, 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(13.6138 + -0.0048 × 1,826 + 2 × 0.0129)
= Exp(4.8770)
= $131.23
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(13.6138 + -0.0048 × 1,826 – 2 × 0.0129)
= Exp(4.8252)
= $124.61
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 82.65% per annum.
- VLO price at the close of October 30, 2024 was inside the secondary price channel.
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