TTR: priceBands – R documentation

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priceBands

Construct (optionally further smoothed and centered ) volatility bands around prices

Description

John Bollinger's famous adaptive volatility bands most often use the typical price of an HLC series, or may be calculated on a univariate price series (see BBands).

Usage

PBands(
  prices,
  n = 20,
  maType = "SMA",
  sd = 2,
  ...,
  fastn = 2,
  centered = FALSE,
  lavg = FALSE
)

Arguments

`prices`	A univariate series of prices.
`n`	Number of periods to average over.
`maType`	A function or a string naming the function to be called.
`sd`	The number of standard deviations to use.
`...`	any other pass-thru parameters, usually for function named by `maType`.
`fastn`	Number of periods to use for smoothing higher-frequency 'noise'.
`centered`	Whether to center the bands around a series adjusted for high frequency noise, default `FALSE`.
`lavg`	Whether to use a longer `(n*2)` smoothing period for centering, default `FALSE`.

Details

This function applies a second moving average denoted by fastn to filter out higher-frequency noise, making the bands somewhat more stable to temporary fluctuations and spikes.

If centered is TRUE, the function also further smoothes and centers the bands around a centerline adjusted to remove this higher frequency noise. If lavg is also TRUE, the smoothing applied for the middle band (but not the volatility bands) is doubled to further smooth the price-response function.

If you have multiple different price series in prices, and want to use this function, call this functions using lapply(prices,PBands,...).

Value

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

dn: The lower price volatility Band.
center: The smoothed centerline (see details).
up: The upper price volatility Band.

Author(s)

Brian G. Peterson

Examples

data(ttrc)
  pbands.close <- PBands( ttrc[,"Close"] )

TTR

Technical Trading Rules

v0.24.2

GPL (>= 2)

Authors

Joshua Ulrich

Initial release