Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / financial-0.4.0 / bolling.m

diff --git a/octave_packages/financial-0.4.0/bolling.m b/octave_packages/financial-0.4.0/bolling.m
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+## Copyright (C) 2008 Bill Denney <bill@denney.ws>
+##
+## 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/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {} bolling (@var{asset}, @var{samples})
+## @deftypefnx {Function File} {} bolling (@var{asset}, @var{samples}, @var{alpha})
+## @deftypefnx {Function File} {} bolling (@var{asset}, @var{samples}, @var{alpha}, @var{width})
+## @deftypefnx {Function File} {[@var{movavg}, @var{upperband}, @var{lowerband}] =} bolling (@var{asset}, @var{samples}, ...)
+##
+## If no output is requested, plot the bollinger bands of the
+## @var{asset}. If output is requested, return the values for the
+## bollinger bands. If given, @var{alpha} is the weighting power of the
+## moving average; 0 (default) is the simple moving average, see
+## @code{movavg} for the full definition.  @var{width} is the number of
+## standard deviations to plot above and below the moving average
+## (default: 2).
+##
+## @seealso{movavg, candle, dateaxis, highlow, pointfig}
+## @end deftypefn
+
+function [varargout] = bolling (asset, samples, alpha, width)
+
+  ## Check input and set the defaults
+  if nargin < 2 || nargin > 4
+    print_usage ();
+  elseif nargin < 3
+    alpha = 0;
+  endif
+  if nargin < 4
+    width = 2;
+  endif
+
+  if samples > length (asset)
+    error ("Samples must be <= the length of the asset")
+  endif
+
+  ## the moving average and the standard deviation
+  avg = movavg(asset, samples, samples, alpha);
+  s   = zeros(size(avg));
+
+  ## Assume that the standard deviation is constant for the first samples
+  ## FIXME: is this what matlab assumes
+  s(1:samples) = std (asset(1:samples));
+  for i = samples+1:length (asset)
+    s(i) = std (asset(i - samples + 1:i));
+  endfor
+
+  if nargout > 0
+    varargout{1} = avg;
+  else
+    plot((1:length(avg))', [avg(:), avg(:)+s(:), avg(:)-s(:)]);
+  endif
+  if nargout > 1
+    varargout{2} = avg + s;
+  endif
+  if nargout > 2
+    varargout{3} = avg - s;
+  endif
+
+endfunction