[R-SIG-Finance] Interesting behaviour in BBands
BBands
bbands at gmail.com
Fri Apr 13 22:07:06 CEST 2012
Sorry, missed this when it hit. I'd say that if standard deviation = 0
then Bollinger Bands and the derived indicators such as %b are not
defined for that period and NaN would be the correct treatment.
Best,
John Bollinger
On Sat, Feb 18, 2012 at 3:52 PM, Stergios Marinopoulos
<stergios_marinopoulos at yahoo.com> wrote:
> There's an interesting behavior in BBands when dn, mavg, and up are the same
> value. Here's an example:
>
>
> library(quantmod);
>
> getSymbols("SPY", from="1993-01-31", to="1996-01-01" ) ;
> bb <- BBands(Cl(SPY), n=3, sd=0.3, maType=EMA) ;
>
>
> bb[bb$pctB==Inf,]
> dn mavg up pctB
> 1993-04-16 44.92297 44.92297 44.92297 Inf
> 1995-02-09 48.25296 48.25296 48.25296 Inf
>
>
> And here's the graphic display for the fist Inf occurrence:
>
>
> chartSeries(SPY["1993-04-10::1993-04-20",])
> addTA(bb,on=1)
>
>
> Notice pctB is Inf when the dn & up are coincident with mavg. I don't think
> Inf is the right interpretation here, as the mavg line is not Inf % between
> the up and down. Would zero be a better interpretation here?
>
>
> Thanks for your thoughts.
>
> --
> Stergios Marinopoulos
> [[alternative HTML version deleted]]
>
>
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--
John Bollinger, CFA, CMT
www.BollingerBands.com
If you advance far enough, you arrive at the beginning.
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