BBands | R Documentation |
Bollinger Bands are a way to compare a security's volatility and price levels over a period of time. Developed by John Bollinger.
BBands(HLC, n = 20, maType, sd = 2, ...)
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 |
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.
Joshua Ulrich
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
See EMA
, SMA
, etc. for moving average
options; and note Warning section.
## 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"] )
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