The Bollinger Bands are customizable technical analysis tools that plot lines two standard deviations above and below a simple moving average. Because standard deviation is a measure of volatility, the bands contract during periods of low volatility and expand during periods of high volatility. The idea was developed by technical trader John Bollinger.

Definitions

Above BBand:

These are the returns tracked from any day that the stock closed above the upper BBand, for # holding days. If the stock closed above the upper bound two days in a row, this is treated as two separate instances.

Below BBand:

These are the returns tracked from any day that the stock closed below the lower BBand.

Statistical Significance

This is the percent probability that the underlying and the strategy's means are different. In other words, what are the chances that this strategy's returns were NOT random? It's important to make sure that your benchmark is comparable, i.e. a 5-day-holding strategy is compared to a weekly return underlying, not daily. That way, we're not comparing apples and toast -- because the mean of a 200d holding strategy will always be significantly different from the mean of the underlying's 5d returns.