Financial Time Series Toolbox

bollinger

Bollinger band

Syntax

• [mid, uppr, lowr] = bollinger(data, wsize, wts, nstd)
  [midfts, upprfts, lowrfts] = bollinger(tsobj, wsize, wts, nstd)
  

Arguments

data	Data vector
wsize	(Optional) Window size. Default = 20.
wts	(Optional) Weight factor. Determines the type of moving average used. Default = 0 (box). 1 = linear.
nstd	(Optional) Number of standard deviations for upper and lower bands. Default = 2.
tsobj	Financial time series object

Description

[mid, uppr, lowr] = bollinger(data, wsize, wts, nstd) calculates the middle, upper, and lower bands that make up the Bollinger bands from the vector data.

mid is the vector that represents the middle band, a simple moving average with default window size of 20. uppr and lowr are vectors that represent the upper and lower bands. These bands are +2 times and -2 times moving standard deviations away from the middle band.

[midfts, upprfts, lowrfts] = bollinger(tsobj, wsize, wts, nstd) calculates the middle, upper, and lower bands that make up the Bollinger bands from a financial time series object tsobj.

midfts is a financial time series object that represents the middle band for all series in tsobj. Both upprfts and lowrfts are financial time series objects that represent the upper and lower bands of all series, which are +2 times and -2 times moving standard deviations away from the middle band.

Examples

Compute the Bollinger bands for Disney stock closing prices and plot the results:

• load disney.mat
  [dis_Mid,dis_Uppr,dis_Lowr]= bollinger(dis);
  dis_CloseBolling = [dis_Mid.CLOSE, dis_Uppr.CLOSE,... 
  dis_Lowr.CLOSE];
  plot(dis_CloseBolling)
  title('Bollinger Bands for Disney Closing Prices')
  
  
  

See Also

tsmovavg

Reference

Achelis, Steven B., Technical Analysis from A To Z, Second printing, McGraw-Hill, 1995, pp. 72 - 74.

bar3, bar3h

boxcox