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 44.06% per annum.
- HSY price at the close of July 27, 2023 was $233.56 and was inside the primary price channel.
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 56.06% per annum.
- HSY price at the close of July 27, 2023 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 HSY 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: April 27, 2023
End date: July 27, 2023
a = 8.3789
b = -0.0016
s = 0.0158
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0016) – 1
= -44.06%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0158) – 1
= 6.52%
April 27, 2023 calculations
Top border of price channel:
Exp(Y1,194)
= Exp(a + b × X1,194 + 2 × s)
= Exp(a + b × 1,732 + 2 × s)
= Exp(8.3789 + -0.0016 × 1,732 + 2 × 0.0158)
= Exp(5.6542)
= $285.49
Bottom border of price channel:
Exp(Y1,194)
= Exp(a + b × X1,194 – 2 × s)
= Exp(a + b × 1,732 – 2 × s)
= Exp(8.3789 + -0.0016 × 1,732 – 2 × 0.0158)
= Exp(5.5911)
= $268.02
July 27, 2023 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,823 + 2 × s)
= Exp(8.3789 + -0.0016 × 1,823 + 2 × 0.0158)
= Exp(5.5094)
= $247.01
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,823 – 2 × s)
= Exp(8.3789 + -0.0016 × 1,823 – 2 × 0.0158)
= Exp(5.4462)
= $231.89
Description
- The primary trend is decreasing.
- The decline rate of the primary trend is 44.06% per annum.
- HSY price at the close of July 27, 2023 was $233.56 and was inside the primary price channel.
Secondary Trend
Start date: June 14, 2023
End date: July 27, 2023
a = 9.5758
b = -0.0023
s = 0.0170
Annual growth rate:
Exp(365 × b) – 1
= Exp(365 × -0.0023) – 1
= -56.06%
Price channel spread:
Exp(4 × s) – 1
= Exp(4 × 0.0170) – 1
= 7.03%
June 14, 2023 calculations
Top border of price channel:
Exp(Y1,227)
= Exp(a + b × X1,227 + 2 × s)
= Exp(a + b × 1,780 + 2 × s)
= Exp(9.5758 + -0.0023 × 1,780 + 2 × 0.0170)
= Exp(5.5991)
= $270.18
Bottom border of price channel:
Exp(Y1,227)
= Exp(a + b × X1,227 – 2 × s)
= Exp(a + b × 1,780 – 2 × s)
= Exp(9.5758 + -0.0023 × 1,780 – 2 × 0.0170)
= Exp(5.5311)
= $252.43
July 27, 2023 calculations
Top border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 + 2 × s)
= Exp(a + b × 1,823 + 2 × s)
= Exp(9.5758 + -0.0023 × 1,823 + 2 × 0.0170)
= Exp(5.5022)
= $245.23
Bottom border of price channel:
Exp(Y1,256)
= Exp(a + b × X1,256 – 2 × s)
= Exp(a + b × 1,823 – 2 × s)
= Exp(9.5758 + -0.0023 × 1,823 – 2 × 0.0170)
= Exp(5.4342)
= $229.12
Description
- The secondary trend is decreasing.
- The decline rate of the secondary trend is 56.06% per annum.
- HSY price at the close of July 27, 2023 was inside the secondary price channel.
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