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[ENH] Bollinger bands #6320

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fkiraly opened this issue Apr 20, 2024 · 1 comment · May be fixed by #6473
Open

[ENH] Bollinger bands #6320

fkiraly opened this issue Apr 20, 2024 · 1 comment · May be fixed by #6473
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enhancement Adding new functionality good first issue Good for newcomers module:transformations transformations module: time series transformation, feature extraction, pre-/post-processing

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@fkiraly
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fkiraly commented Apr 20, 2024

I noticed sktime has some tools for smoothing, but not the popular Bollinger bands used in trading.

While one can be of different opinion on the estimator, I think it is popular enough to have it in the "smoothing" section.

It should be a good first issue, given the simple nature of the estimator it should be straightforward to implement from scratch, using pandas or numpy directly.
Some thoughts:

  • the q of the moving average should be a parameter
  • the remember_data tag should be true, since stream use will require to remember previous data for computing the bands. So, transform should try to retrieve remembered data, and subset it to the range required to comput bands for indices in the input.
@fkiraly fkiraly added good first issue Good for newcomers module:transformations transformations module: time series transformation, feature extraction, pre-/post-processing enhancement Adding new functionality labels Apr 20, 2024
@ishanpai
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Picking up this issue as my my first issue.

@ishanpai ishanpai linked a pull request May 24, 2024 that will close this issue
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enhancement Adding new functionality good first issue Good for newcomers module:transformations transformations module: time series transformation, feature extraction, pre-/post-processing
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