[dc]O[/dc]ne of the advantages of using properly calibrated bands is that they can show when markets reach emotional price extremes. It should be rather unusual for a market to go from being outside one side of the band to the other, as happened on this 5 minute chart of the S&P today (7/17/12.) When this happens, it is indicative of great uncertainty, impact of a macro event or headline, perhaps lower liquidity, and, overall, a very treacherous environment. The normal expectation after this occurs is usually consolidation (often, a triangle pattern within the range, but that is not what happened this time) until the market finds equilibrium. I have saved a lot of money by avoiding trading in environments like this; consider how you might apply this pattern on your timeframe and in your chosen markets.
how are your bands calibrated?
2.25 ATRs around a 20 period moving average. Mine are not quite standard Keltners… I cover the details in the book, but standard keltners will get you similar results. Whatever tool you use, just make sure you understand everything about it.