Bollinger Bands

Algo Trading Business
1

Please can you help me the code snippet for Bollinger Bands ie want to create an order when price is below lower bollinger band.

 

2

A sample code on Bollinger Band strategy is below 



import numpy as np

import time



lookback = 100 



def initialize(context):

    context.stock = symbol('AAPL')      

         

def handle_data(context, data):           

    prices = data.history(context.stock, 'close', lookback, '1m')       

    mean_price, std_dev = getMeanStd(prices)

    z_score = (prices.iloc[0]-mean_price)/std_dev



    # Bollinger bands, if price is 2 std deviation away from the mean then initiate trade

    print z_score

    if z_score > 2:

       # long

       order_target(context.stock, 1)

       time.sleep(20)       

    if z_score < -2:

       # short

       order_target(context.stock, -1)    

       time.sleep(20)



def getMeanStd(prices):

    mean_price = prices.mean()

    std_dev = prices.std()    

    if mean_price is not None and std_dev is not None :

        return (mean_price, std_dev)

    else:

        return None

3

Thank you very much…