Bollinger Bandwidth
Bollinger Bandwidth provides a relative measure of the width of Bollinger Bands®. Its most popular use is to identify "The Squeeze", but is also useful in identifying trend changes.
| Of Closing Prices |
2 * d * STDDEVx.z / tAVGCx.z |
w=Formula, x=Period, d=StdDev, z=Offset, t=AverageType |
| Generalized Version |
2 * d * SQR(ABS(SUM((w) ^ 2, x) - x * AVG(w, x) ^ 2) / x) / tAVG(w, x) |
Where w can be any formula returning a numeric value.
Where x is the period which must be an integer.
Where d is the distance between the centerline and the Bollinger Bands in multiples of the standard deviation.
Where z is the offset. An offset of 1 would be for one bar ago.
Where t is the average type. Leave blank for simple, set to X for exponential, F for front weight, and H for Hull.
Examples
Simple Bollinger BandWidth 20, 2.00 for the current bar can be written as follows.
2 * 2 * STDDEV20.0 / AVGC20.0
But you can leave out the offset parameters because the current bar is just set to 0. You can also solve the 2 * 2 * portion of the formula to just get 4 * instead.
4 * STDDEV20 / AVGC20
The simple Bollinger BandWidth 50, 2.00 would be the following.
4 * STDDEV50 / AVGC50
Getting the value for the previous bar would involve adding back in the offset parameters.
4 * STDDEV50.1 / AVGC50.1
An exponential Bollinger BandWidth 10, 1.5 from 3 bars ago could be written as follows.
3 * STDDEV10.3 / XAVGC10.3
If you want the value given as a percentage with 0 at the bottom and 100 at the top instead of having 0 at the bottom and 1 at the top, then you would multiply the base formula by 100. So you would use the following for the current front weighted Bollinger Bandwidth 21, 2.5 if you wanted a percentage.
500 * STDDEV21 / FAVGC21
Read more about Bollinger Bandwidth at www.BollingerBands.com.
Bollinger Bands® are the registered trademark of John Bollinger, who developed them.