bollingerBands {TTR} | 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="SMA", sd=2, ...)
HLC |
High-Low-Close price series to use. 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 maType function. |
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 matrix containing the columns:
dn |
The lower Bollinger Band. |
ma |
The middle Moving Average (see notes). |
up |
The upper Bollinger Band. |
pctB |
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.
Josh Ulrich
The following site(s) were used to code/document this indicator:
http://www.fmlabs.com/reference/Bollinger.htm
http://www.fmlabs.com/reference/BollingerWidth.htm
http://www.equis.com/Customer/Resources/TAAZ/?c=3&p=36
http://www.linnsoft.com/tour/techind/bb.htm
http://stockcharts.com/education/IndicatorAnalysis/indic_Bbands.html
http://stockcharts.com/education/IndicatorAnalysis/indic_BBWidth.htm
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"] )