S&P Futures and Their Duration Above the Upper Bollinger Band

HedgeFundLIVE.com — Back in January, Jack aka Starman proposed a study on the duration of the S&P futures above the upper bollinger band on the 60 min.  This morning the ES was trading above the upper bollinger band for nearly four hours:

Bollinger Band Hourly Spooz

Working with only a small dataset dating back to 9/8/2010, the average duration outside the upper bollinger band is 3.4 hours, the median is 2 hours.  Below are some additional stats on the time spent above the upper band:

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http://www.hedgefundlive.com/blog/sp-futures-and-their-duration-above-the-upper-bollinger-band

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