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
).
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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. 
fastn 
Number of periods to use for smoothing higherfrequency 'noise'. 
centered 
Whether to center the bands around a series adjusted for high
frequency noise, default 
lavg 
Whether to use a longer 
... 
any other passthru parameters, usually for function named by

This function applies a second moving average denoted by fastn
to
filter out higherfrequency 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 priceresponse function.
If you have multiple different price series in prices
, and want to use
this function, call this functions using lapply(prices,PBands,...)
.
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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Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
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