Envelopes

Fixed-percentage bands around a simple average — the simplest band there is, and worth having precisely because it does not adapt: it is the control against which Bollinger’s and Keltner’s volatility adaptation is judged.

Signature

Envelopes(period, percent, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	SMA length. Default 20, bounds 1–400.
percent	float Param or literal	Yes	Band distance in percent. Default 2.5, bounds 0.1–50.0.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{mid} = \text{SMA}(C, n), \quad \text{upper/lower} = \text{mid},(1 \pm p/100) $$

Warmup

period bars; partial average during the lead-in.

Reading the value

en.upper
en.mid
en.lower

Multi-value: cannot be chained onto or crossed.

Example

class EnvelopeFade(Strategy):
    """Fade a touch of the lower envelope in a flat market."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        en = Envelopes(20, 2.5, on=self.trade)
        if self.trade.close < en.lower and self.trade.is_flat:
            self.buy(self.trade, reason="Lower envelope")
        if self.trade.close > en.mid and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Back to mid")

Notes

• The classic moving-average envelope; the right percent is instrument- and timeframe-specific by construction.
• Proven by an assert-via-trade run on SPY daily (midline and bands matched a strategy-side reference to 1e-3 on every bar; zero alarm trades).