The Sigma Band Break System takes advantage of the price spread by assuming that trending prices will form a channel, be it up or down sloping, in which prices will be contained for the duration of that particular trend. See as an example the daily chart of the SPX:
Notice how the different bands on more than a few occasions offer support or resistance. Trending or "impulsive" up or down moves are often confined between 1 sigma and 2 sigma bands.
Basically the Sigma Band Break System uses multiple Bollinger Bands set at 0.5 / 1 / 1.5 / 2 standard deviation above and below the midline. When a pricebar closes above the +0.5 band, the beginning of an uptrend is assumed, while a bar with a closing price below the -0.5 band indicates the start of a downtrend. Both bands can also be useful for determining stop loss or exit levels.
[Update:] The Sigma Band Break System works on any timeframe (see examples below), but, like most mechanical trading systems, it does suffer from whipsawing in non-trending periods. To help prevent whipsaws and reduce the number of signals one acts upon, consider the "extreme point rule". This simple rule requires a trader to mark the extreme price point for the day/bar on which his indicator(s) fires a buy/sell signal. The extreme point is highest of point of a session c.q. the lowest point of the session. Buy or sell signals are triggered when prices move beyond the extreme point. Use the Signals script for plotting the "ExtremePoints".
The three thinkscript studies for the bands, the bar coloring and the up/down arrows along with ExtremePoints are posted in the comment section.
Enjoy the scripts and trade with caution!