Bollinger Bands with Laguerre-Smoothed Price and Deviation

Summary

This indicator adapts Bollinger Bands using recursive smoothing based on the Laguerre-style equations described in the document. It estimates a central line from the median of each bar’s high and low, then builds upper and lower bands from a smoothed measure of the absolute difference between that median and the center line.

The calculation uses a period to set the smoothing factor and a deviation multiplier to scale band width. The document says the revised bands track price more closely and react to volatility changes faster than conventional Bollinger Bands, attributing the approach to an article by Dennis McNicholl published in Futures in October 1998. It provides formulas but no comparative data or performance results, so the claimed responsiveness is not independently demonstrated here. The method is an indicator calculation, not a complete entry, exit, or risk-management strategy.

Key ideas

• The center line is derived from recursively smoothed bar medians.
• Band width uses a recursively smoothed absolute deviation from the center line.
• The period controls the smoothing factor, while the deviation input scales band width.
• The document claims faster volatility response but supplies no empirical comparison.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.