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 37.75% per annum.
- KHC price at the close of July 31, 2020 was $34.38 and was higher than the top border of the primary price channel by $8.50 (32.85%). This indicates a possible reversal in the primary trend direction.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 3.77% per annum.
- KHC price at the close of July 31, 2020 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 KHC 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 8, 2017
End date: April 8, 2020
a = 5.4001
b = -0.0013
s = 0.1109
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0013) – 1
= -37.75%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.1109) – 1
= 55.83%
February 8, 2017 calculations
Top border of price channel:
Exp(Y383)
= Exp(a + b × X383 + 2 × s)
= Exp(a + b × 555 + 2 × s)
= Exp(5.4001 + -0.0013 × 555 + 2 × 0.1109)
= Exp(4.9012)
= $134.45
Bottom border of price channel:
Exp(Y383)
= Exp(a + b × X383 – 2 × s)
= Exp(a + b × 555 – 2 × s)
= Exp(5.4001 + -0.0013 × 555 – 2 × 0.1109)
= Exp(4.4576)
= $86.28
April 8, 2020 calculations
Top border of price channel:
Exp(Y1,179)
= Exp(a + b × X1,179 + 2 × s)
= Exp(a + b × 1,710 + 2 × s)
= Exp(5.4001 + -0.0013 × 1,710 + 2 × 0.1109)
= Exp(3.4014)
= $30.01
Bottom border of price channel:
Exp(Y1,179)
= Exp(a + b × X1,179 – 2 × s)
= Exp(a + b × 1,710 – 2 × s)
= Exp(5.4001 + -0.0013 × 1,710 – 2 × 0.1109)
= Exp(2.9578)
= $19.26
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 37.75% per annum.
- KHC price at the close of July 31, 2020 was $34.38 and was higher than the top border of the primary price channel by $8.50 (32.85%). This indicates a possible reversal in the primary trend direction.
Secondary Trend
Start date: February 25, 2019
End date: July 31, 2020
a = 3.5630
b = -0.0001
s = 0.0975
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0001) – 1
= -3.77%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0975) – 1
= 47.71%
February 25, 2019 calculations
Top border of price channel:
Exp(Y896)
= Exp(a + b × X896 + 2 × s)
= Exp(a + b × 1,302 + 2 × s)
= Exp(3.5630 + -0.0001 × 1,302 + 2 × 0.0975)
= Exp(3.6209)
= $37.37
Bottom border of price channel:
Exp(Y896)
= Exp(a + b × X896 – 2 × s)
= Exp(a + b × 1,302 – 2 × s)
= Exp(3.5630 + -0.0001 × 1,302 – 2 × 0.0975)
= Exp(3.2308)
= $25.30
July 31, 2020 calculations
Top border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 + 2 × s)
= Exp(a + b × 1,824 + 2 × s)
= Exp(3.5630 + -0.0001 × 1,824 + 2 × 0.0975)
= Exp(3.5659)
= $35.37
Bottom border of price channel:
Exp(Y1,258)
= Exp(a + b × X1,258 – 2 × s)
= Exp(a + b × 1,824 – 2 × s)
= Exp(3.5630 + -0.0001 × 1,824 – 2 × 0.0975)
= Exp(3.1758)
= $23.95
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 3.77% per annum.
- KHC price at the close of July 31, 2020 was inside the secondary price channel.
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