Bollinger Bands are a way to compare a security's volatility and price levels over a period of time. Developed by John Bollinger.
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.
Number of periods for moving average.
A function or a string naming the function to be called.
The number of standard deviations to use.
Other arguments to be passed to the
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.
A object of the same class as
HLC or a matrix (if
try.xts fails) containing the columns:
The lower Bollinger Band.
The middle Moving Average (see notes).
The upper Bollinger Band.
The %B calculation.
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.
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