I would like to do a linear regression of daily stock price returns, vs the price as a percentage of the 52 week high.

i.e. [next week return] = A * [Price / 52 Week High ] + B

where A and B are constants.

[Price / 52 Week High] will not be normally distributed, so the previous regression will not be very valid.

How can I normalise it to make it more valid?

Is there a better way for me to see how [Price / 52 Week High] affects the future return?



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.