Question

I am using the great TTR package quite often these days. It really is does most of the things I ever imagined I would need. I would like to use VWAP function with a little addition to its current functionality. I would like to get standard deviation (sd) bands around VWAP. How to do that in the most (computationally) effective way?

All ideas/hints/pointers to resources highly appreciated.

Answer 1

Just use Bollinger Bands (BBands) on the result from VWAP:

require(quantmod)
getSymbols('SPY')
v <- VWAP(Cl(SPY),Vo(SPY))
b <- BBands(v)
plot(v)
lines(b[,'dn'], col='red')
lines(b[,'mavg'], col='blue')
lines(b[,'up'], col='red')