R: Construct (optionally further smoothed and centered )...

PBands {TTR} | R Documentation

## Construct (optionally further smoothed and centered ) volatility bands around prices

### Description

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`).

### Usage

    PBands(prices, n = 20, maType = "SMA", sd = 2, ..., fastn = 2,
      centered = FALSE, lavg = FALSE)

### Arguments

`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 higher-frequency 'noise'.
`centered` | Whether to center the bands around a series adjusted for high frequency noise, default `FALSE`.
`lavg` | Whether to use a longer `(n*2)` smoothing period for centering, default `FALSE`.
`...` | any other pass-thru parameters, usually for function named by `maType`.

### Details

This function applies a second moving average denoted by `fastn` to filter out higher-frequency 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 price-response function.

If you have multiple different price series in `prices`, and want to use this function, call this functions using `lapply(prices,PBands,...)`.

### Value

A object of the same class as `prices` or a matrix (if `try.xts` fails) containing the columns:

dn

  The lower price volatility Band.

center

  The smoothed centerline (see details).

up

  The upper price volatility Band.

### Author(s)

Brian G. Peterson

### See Also

`BBands`

### Examples

    data(ttrc)
      pbands.close <- PBands( ttrc[,"Close"] )

[Package TTR version 0.23-1 Index]