SP500 Volatilty Study: Price Closes Below Weekly Bollinger Band (20 week, 2 stddev)

2014.07.30[12.35.33]_$SPX - ProphetCharts®

Inputs:

  • 20 week lookback or 100 day lookback
  • 2 standard deviations below 20 week period simple moving average

Currently the SP500 has completed 540 consecutive closes above it’s 2 standard deviation, 100 day lookback bollinger band.

How does that rank?
Going back to 1950, the streaks of consecutive closes above the volatility inputs are:

  1. 797 days ending Wed, 11-21-1956
  2. 659 days ending Wed, 6-09-1965
  3. 553 days ending Mon, 1-22-1990
  4. Current streak
  5. 519 days, ending Fri, 08-14-1998
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