TTR: bollingerBands – R documentation

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bollingerBands

Bollinger Bands

Description

Bollinger Bands are a way to compare a security's volatility and price levels over a period of time. Developed by John Bollinger.

Usage

BBands(HLC, n = 20, maType, sd = 2, ...)

Arguments

`HLC`	Object that is coercible to xts or matrix and contains High-Low-Close prices. If only a univariate series is given, it will be used. See details.
`n`	Number of periods for moving average.
`maType`	A function or a string naming the function to be called.
`sd`	The number of standard deviations to use.
`...`	Other arguments to be passed to the `maType` function.

Details

Bollinger Bands consist of three lines:

The middle band is generally a 20-period SMA of the typical price ([high + low + close]/3). The upper and lower bands are sd standard deviations (generally 2) above and below the MA.

The middle band is usually calculated using the typical price, but if a univariate series (e.g. Close, Weighted Close, Median Price, etc.) is provided, it will be used instead.

Value

A object of the same class as HLC or a matrix (if try.xts fails) containing the columns:

dn: The lower Bollinger Band.
mavg: The middle Moving Average (see notes).
up: The upper Bollinger Band.
pctB: The %B calculation.

Note

Using any moving average other than SMA will result in inconsistencies between the moving average calculation and the standard deviation calculation. Since, by definition, a rolling standard deviation uses a simple moving average.

Author(s)

Joshua Ulrich

References

The following site(s) were used to code/document this indicator:
https://www.fmlabs.com/reference/Bollinger.htm
https://www.fmlabs.com/reference/BollingerWidth.htm
https://www.metastock.com/Customer/Resources/TAAZ/?p=36
https://www.linnsoft.com/techind/bollinger-bands
https://school.stockcharts.com/doku.php?id=technical_indicators:bollinger_bands
https://school.stockcharts.com/doku.php?id=technical_indicators:bollinger_band_width

Examples

## The examples below show the differences between using a
## High-Low-Close series, and just a close series when
## calculating Bollinger Bands.
data(ttrc)
bbands.HLC <- BBands( ttrc[,c("High","Low","Close")] )
bbands.close <- BBands( ttrc[,"Close"] )

TTR

Technical Trading Rules

v0.24.2

GPL (>= 2)

Authors