Monday, September 8, 2008

A Couple More Stats On Massive Gaps

When looking at gaps in the SPY as in my last post, buying a break above the 1st half hour of trading and holding until the end of the day would have resulted in 7 winning trade and 3 losing trades.

Unfortunately losers were much larger than winners as they averaged -2.7%. Winners averaged +1.3%.

5 of the winners occurred when the break happened after 10:30 Eastern.

All of the losers occurred when the break happened between 10 and 10:30 Eastern.

Good luck trading today.


Kevin said...

Good luck trading today.

Perhaps "good luck not trading today" would be wiser!

rshukla said...

Since we are in a downtrend (below 200 ma), any insights into whether up gaps get filled more often in downtrends and similarly do down gaps get filled more or less often in downtrends ?

Anonymous said...

Same with rshukla.... any difference in bull/bear markets, or distance from a 20 dma? Down we goo!!!!!!!!!!!!!!!!

Damian said...

what about a gap fill as a target or close of day

Shane said...


What software do you use to run your studies?