Module backtrader.indicators.bollinger

Expand source code 
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2015-2023 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

from . import Indicator, MovAv, StdDev


class BollingerBands(Indicator):
    '''
    Defined by John Bollinger in the 80s. It measures volatility by defining
    upper and lower bands at distance x standard deviations

    Formula:
      - midband = SimpleMovingAverage(close, period)
      - topband = midband + devfactor * StandardDeviation(data, period)
      - botband = midband - devfactor * StandardDeviation(data, period)

    See:
      - http://en.wikipedia.org/wiki/Bollinger_Bands
    '''
    alias = ('BBands',)

    lines = ('mid', 'top', 'bot',)
    params = (('period', 20), ('devfactor', 2.0), ('movav', MovAv.Simple),)

    plotinfo = dict(subplot=False)
    plotlines = dict(
        mid=dict(ls='--'),
        top=dict(_samecolor=True),
        bot=dict(_samecolor=True),
    )

    def _plotlabel(self):
        plabels = [self.p.period, self.p.devfactor]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        self.lines.mid = ma = self.p.movav(self.data, period=self.p.period)
        stddev = self.p.devfactor * StdDev(self.data, ma, period=self.p.period,
                                           movav=self.p.movav)
        self.lines.top = ma + stddev
        self.lines.bot = ma - stddev

        super(BollingerBands, self).__init__()


class BollingerBandsPct(BollingerBands):
    '''
    Extends the Bollinger Bands with a Percentage line
    '''
    lines = ('pctb',)
    plotlines = dict(pctb=dict(_name='%B'))  # display the line as %B on chart

    def __init__(self):
        super(BollingerBandsPct, self).__init__()
        self.l.pctb = (self.data - self.l.bot) / (self.l.top - self.l.bot)

Classes

class BBands

Defined by John Bollinger in the 80s. It measures volatility by defining upper and lower bands at distance x standard deviations

Formula

  • midband = SimpleMovingAverage(close, period)
  • topband = midband + devfactor * StandardDeviation(data, period)
  • botband = midband - devfactor * StandardDeviation(data, period)

See

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class BollingerBands

Defined by John Bollinger in the 80s. It measures volatility by defining upper and lower bands at distance x standard deviations

Formula

  • midband = SimpleMovingAverage(close, period)
  • topband = midband + devfactor * StandardDeviation(data, period)
  • botband = midband - devfactor * StandardDeviation(data, period)

See

Expand source code 
class BollingerBands(Indicator):
    '''
    Defined by John Bollinger in the 80s. It measures volatility by defining
    upper and lower bands at distance x standard deviations

    Formula:
      - midband = SimpleMovingAverage(close, period)
      - topband = midband + devfactor * StandardDeviation(data, period)
      - botband = midband - devfactor * StandardDeviation(data, period)

    See:
      - http://en.wikipedia.org/wiki/Bollinger_Bands
    '''
    alias = ('BBands',)

    lines = ('mid', 'top', 'bot',)
    params = (('period', 20), ('devfactor', 2.0), ('movav', MovAv.Simple),)

    plotinfo = dict(subplot=False)
    plotlines = dict(
        mid=dict(ls='--'),
        top=dict(_samecolor=True),
        bot=dict(_samecolor=True),
    )

    def _plotlabel(self):
        plabels = [self.p.period, self.p.devfactor]
        plabels += [self.p.movav] * self.p.notdefault('movav')
        return plabels

    def __init__(self):
        self.lines.mid = ma = self.p.movav(self.data, period=self.p.period)
        stddev = self.p.devfactor * StdDev(self.data, ma, period=self.p.period,
                                           movav=self.p.movav)
        self.lines.top = ma + stddev
        self.lines.bot = ma - stddev

        super(BollingerBands, self).__init__()

Ancestors

Subclasses

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members

class BollingerBandsPct

Extends the Bollinger Bands with a Percentage line

Expand source code 
class BollingerBandsPct(BollingerBands):
    '''
    Extends the Bollinger Bands with a Percentage line
    '''
    lines = ('pctb',)
    plotlines = dict(pctb=dict(_name='%B'))  # display the line as %B on chart

    def __init__(self):
        super(BollingerBandsPct, self).__init__()
        self.l.pctb = (self.data - self.l.bot) / (self.l.top - self.l.bot)

Ancestors

Class variables

var alias
var aliased
var frompackages
var linealias
var packages
var params
var plotinfo
var plotlines

Inherited members