BollingerPercentB

Summary

BollingerPercentB is RTTA's streaming implementation of: Bollinger %B position of price inside a rolling mean and standard-deviation envelope.

Update API

result = rtta.BollingerPercentB().update(value)

The update(...) call consumes one observation using value. advance(...) uses the same inputs when the caller wants to update state without materializing a Python return value.

Theory Of Operation

BollingerPercentB reports where the current price sits between the lower and upper Bollinger bands. Values near 0 hug the lower band, near 1 hug the upper band, and values outside \([0,1]\) are outside the envelope.

Recurrence

Let \(z_t = value_t\), \(n\) the window, and \(k\) the standard-deviation multiplier (num_std, default 2).

\[M_t = \operatorname{mean}_n(z_t), \qquad S_t = \operatorname{stddev}_n(z_t)\]

\[U_t = M_t + k S_t, \qquad L_t = M_t - k S_t, \qquad \%B_t = \frac{z_t - L_t}{U_t - L_t}\]

Variance uses the same population form as BollingerBands (\(1/n\) mean of squares).

The return value is the current scalar indicator value.

Composed Primitives

BollingerBands, SMA, StdDev

Implementation Notes

The recurrence is implemented in src/rtta/indicator.cpp in class BollingerPercentB.

Reference

Background reference