R help - Nov 2003 - Bollinger Bands

Is there a way to create Bollinger Bands without having to loop on the
observations of a time serie?

Any help appreciated

Thanks

On Mon, 2003-11-24 at 09:19, Arnaud_Amsellem at ssga.com
wrote:
> Is there a way to create Bollinger Bands without having to loop on the
> observations of a time serie?
> 
> Any help appreciated
> 
> Thanks

Have you considered matlines() or matplot()?

Each will generate a plot or add lines to an existing plot based upon
matrices of values.

See the examples in ?matlines or ?matplot to get a feel for what they
can do.

HTH,

Marc Schwartz

I assume you are looking to apply some function, f, over the
last k points of your time series for each point in the 
series (except for the first k-1 points).

Let z be a vector that represents your time series.  Then 
the j-th column of 

  zl <- matrix(c(z,NA),length(z),k)[-seq(k-1),]   # ignore warning

is z lagged by j-1.  Now apply f to the rows:

  apply(zl,1,f)

--- 
Date: Mon, 24 Nov 2003 15:19:10 +0000 
From: <Arnaud_Amsellem at ssga.com>
To: <r-help at stat.math.ethz.ch> 
Subject: [R] Bollinger Bands 

 
 
Is there a way to create Bollinger Bands without having to loop on the
observations of a time serie?

Any help appreciated

Thanks

You might wish to have a look at the 'its' package for irregular 
time-series on CRAN.  If your prices are in an its called price, 
then the following will get you on your way.  Since it is not efficient 
either in storage or computation, I offer it because it might be 
convenient for display, further processing, etc.

library(its)
...
tmp <- lagdistIts(diff(log(price)),1,20)
rollvol <- its(as.matrix(sqrt(apply(tmp,1,var,na.rm=TRUE))))

- Giles
> -----Original Message-----
> From: Arnaud_Amsellem at ssga.com [mailto:Arnaud_Amsellem at ssga.com]
> Sent: 24 November 2003 15:19
> To: r-help at stat.math.ethz.ch
> Subject: [R] Bollinger Bands
> 
> 
> Is there a way to create Bollinger Bands without having to loop on the
> observations of a time serie?
> 
> Any help appreciated
> 
> Thanks
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help
> 

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