Construct (optionally further smoothed and centered ) volatility bands around prices
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
A univariate series of prices.
Number of periods to average over.
A function or a string naming the function to be called.
The number of standard deviations to use.
Number of periods to use for smoothing higher-frequency 'noise'.
Whether to center the bands around a series adjusted for high
frequency noise, default
Whether to use a longer
any other pass-thru parameters, usually for function named by
This function applies a second moving average denoted by
filter out higher-frequency noise, making the bands somewhat more stable to
temporary fluctuations and spikes.
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
A object of the same class as
prices or a matrix (if
try.xts fails) containing the columns:
The lower price volatility Band.
The smoothed centerline (see details).
The upper price volatility Band.
Brian G. Peterson
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