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 84.20% per annum.
- DIS price at the close of May 10, 2024 was $105.79 and was lower than the bottom border of the primary price channel by $3.27 (3.00%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 61.23% per annum.
- DIS price at the close of May 10, 2024 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 DIS 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: August 24, 2023
End date: May 6, 2024
a = 1.7337
b = 0.0017
s = 0.0472
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × 0.0017) – 1
= 84.20%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0472) – 1
= 20.76%
August 24, 2023 calculations
Top border of price channel:
Exp(Y1,079)
= Exp(a + b × X1,079 + 2 × s)
= Exp(a + b × 1,564 + 2 × s)
= Exp(1.7337 + 0.0017 × 1,564 + 2 × 0.0472)
= Exp(4.4454)
= $85.23
Bottom border of price channel:
Exp(Y1,079)
= Exp(a + b × X1,079 – 2 × s)
= Exp(a + b × 1,564 – 2 × s)
= Exp(1.7337 + 0.0017 × 1,564 – 2 × 0.0472)
= Exp(4.2568)
= $70.58
May 6, 2024 calculations
Top border of price channel:
Exp(Y1,254)
= Exp(a + b × X1,254 + 2 × s)
= Exp(a + b × 1,820 + 2 × s)
= Exp(1.7337 + 0.0017 × 1,820 + 2 × 0.0472)
= Exp(4.8738)
= $130.82
Bottom border of price channel:
Exp(Y1,254)
= Exp(a + b × X1,254 – 2 × s)
= Exp(a + b × 1,820 – 2 × s)
= Exp(1.7337 + 0.0017 × 1,820 – 2 × 0.0472)
= Exp(4.6852)
= $108.33
Description
- The primary trend is increasing.
- The growth rate of the primary trend is 84.20% per annum.
- DIS price at the close of May 10, 2024 was $105.79 and was lower than the bottom border of the primary price channel by $3.27 (3.00%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: March 25, 2024
End date: May 10, 2024
a = 9.4171
b = -0.0026
s = 0.0199
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0026) – 1
= -61.23%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0199) – 1
= 8.30%
March 25, 2024 calculations
Top border of price channel:
Exp(Y1,225)
= Exp(a + b × X1,225 + 2 × s)
= Exp(a + b × 1,778 + 2 × s)
= Exp(9.4171 + -0.0026 × 1,778 + 2 × 0.0199)
= Exp(4.8410)
= $126.60
Bottom border of price channel:
Exp(Y1,225)
= Exp(a + b × X1,225 – 2 × s)
= Exp(a + b × 1,778 – 2 × s)
= Exp(9.4171 + -0.0026 × 1,778 – 2 × 0.0199)
= Exp(4.7613)
= $116.89
May 10, 2024 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(9.4171 + -0.0026 × 1,824 + 2 × 0.0199)
= Exp(4.7216)
= $112.34
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(9.4171 + -0.0026 × 1,824 – 2 × 0.0199)
= Exp(4.6418)
= $103.73
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 61.23% per annum.
- DIS price at the close of May 10, 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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