.py

def hb_lb(ohlc, n, smoothing):
    
    """
    Creates a "high band" and "low band", based on the absolute pct movement for a given period. 
    This will trigger the mean reversion trades.
    
    'pct': percent change in the underlying, based on period n
    'abs_vol': the absolute exponential moving average of the pct movement
    
    """
    
    ohlc['pct'] = ((ohlc['C'] - ohlc['C'].shift(n)) / ohlc['C'])
    
    # Gets the absolute pct change, with smoothing from ewm.
    ohlc['abs_vol'] = abs(ohlc['pct']).ewm(span=smoothing, adjust=False).mean()
    
    # Creates bands above/below price... one minute close outside of these triggers our trades.
    ohlc['hb'] = (ohlc['C'] * (1 + ohlc['abs_vol'])).shift()
    ohlc['lb'] = (ohlc['C'] * (1 - ohlc['abs_vol'])).shift()
    
    return ohlc