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 71.73% per annum.
- WMT price at the close of November 19, 2024 was $86.60 and was inside the primary price channel.
- The secondary trend is increasing.
- The growth rate of the secondary trend is 88.09% per annum.
- WMT price at the close of November 19, 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 WMT 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: November 17, 2023
End date: November 19, 2024
a = 1.7315
b = 0.0015
s = 0.0269
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0015) – 1
= 71.73%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0269) – 1
= 11.38%
November 17, 2023 calculations
Top border of price channel:
Exp(Y1,005)
= Exp(a + b × X1,005 + 2 × s)
= Exp(a + b × 1,458 + 2 × s)
= Exp(1.7315 + 0.0015 × 1,458 + 2 × 0.0269)
= Exp(3.9455)
= $51.70
Bottom border of price channel:
Exp(Y1,005)
= Exp(a + b × X1,005 – 2 × s)
= Exp(a + b × 1,458 – 2 × s)
= Exp(1.7315 + 0.0015 × 1,458 – 2 × 0.0269)
= Exp(3.8377)
= $46.42
November 19, 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(1.7315 + 0.0015 × 1,826 + 2 × 0.0269)
= Exp(4.4907)
= $89.18
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(1.7315 + 0.0015 × 1,826 – 2 × 0.0269)
= Exp(4.3829)
= $80.07
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 71.73% per annum.
- WMT price at the close of November 19, 2024 was $86.60 and was inside the primary price channel.
Secondary Trend
Start date: April 11, 2024
End date: November 19, 2024
a = 1.2979
b = 0.0017
s = 0.0247
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0017) – 1
= 88.09%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0247) – 1
= 10.41%
April 11, 2024 calculations
Top border of price channel:
Exp(Y1,103)
= Exp(a + b × X1,103 + 2 × s)
= Exp(a + b × 1,604 + 2 × s)
= Exp(1.2979 + 0.0017 × 1,604 + 2 × 0.0247)
= Exp(4.1237)
= $61.79
Bottom border of price channel:
Exp(Y1,103)
= Exp(a + b × X1,103 – 2 × s)
= Exp(a + b × 1,604 – 2 × s)
= Exp(1.2979 + 0.0017 × 1,604 – 2 × 0.0247)
= Exp(4.0247)
= $55.96
November 19, 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(1.2979 + 0.0017 × 1,826 + 2 × 0.0247)
= Exp(4.5080)
= $90.74
Bottom border of price channel:
Exp(Y1,257)
= Exp(a + b × X1,257 – 2 × s)
= Exp(a + b × 1,826 – 2 × s)
= Exp(1.2979 + 0.0017 × 1,826 – 2 × 0.0247)
= Exp(4.4090)
= $82.19
Description
- The secondary trend is increasing.
- The growth rate of the secondary trend is 88.09% per annum.
- WMT price at the close of November 19, 2024 was inside the secondary price channel.
- 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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