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1 | sclass BollingerBands extends CandleBasedIndicator<DoubleRange> { |
2 | replace Candle with TradingCandle. |
3 | |
4 | // length parameter is in base class |
5 | |
6 | // The magic average + standard deviation generator |
7 | new Welford welford; |
8 | |
9 | // Probably wrong word. Defines how many times the standard deviation |
10 | // we use as the tunnel size (well, twice that, actually) |
11 | settable double deviation = 2; |
12 | |
13 | // result |
14 | settable DoubleRange range; |
15 | |
16 | // Bands collected as tickers |
17 | gettable TickerSequence upperBand = new TickerSequence("Upper Bollinger Band"); |
18 | gettable TickerSequence lowerBand = new TickerSequence("Lower Bollinger Band"); |
19 | |
20 | gettable AverageAndStandardDeviation as; |
21 | |
22 | { |
23 | onCandleRemoved(candle -> welford.remove(candle.endPrice())); |
24 | |
25 | onCandleAdded(candle -> { |
26 | welford.add(candle.endPrice()); |
27 | |
28 | if (l(candles()) >= length) { |
29 | var bCandles = candles().asList(); |
30 | //var prices = mapToDoubleArray(bCandles, ->.endPrice()); |
31 | //as = averageAndStandardDeviation(prices); |
32 | as = welford!; |
33 | range(bollingerRange(as, deviation)); |
34 | upperBand?.addIfPriceChanged(range.end(), candle.endTime().toLong()); |
35 | lowerBand?.addIfPriceChanged(range.start(), candle.endTime().toLong()); |
36 | change(); |
37 | } |
38 | }); |
39 | } |
40 | |
41 | L<TickerSequence> bandsAsTickers(L<TradingCandle> candles) { |
42 | feed(candles); |
43 | ret ll(upperBand, lowerBand); |
44 | } |
45 | |
46 | DoubleRange value() { ret range(); } |
47 | |
48 | void reset :: after { |
49 | resetFields(this, "welford range upperBand lowerBand as"); |
50 | } |
51 | } |
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Snippet ID: | #1036442 |
Snippet name: | BollingerBands |
Eternal ID of this version: | #1036442/26 |
Text MD5: | cb6d7bee9dca0e84ad246ad924140696 |
Transpilation MD5: | bbea99efb18702e680699ef730799b9c |
Author: | stefan |
Category: | javax / trading |
Type: | JavaX fragment (include) |
Public (visible to everyone): | Yes |
Archived (hidden from active list): | No |
Created/modified: | 2022-12-16 06:23:57 |
Source code size: | 1602 bytes / 51 lines |
Pitched / IR pitched: | No / No |
Views / Downloads: | 204 / 360 |
Version history: | 25 change(s) |
Referenced in: | [show references] |