In order to get a decent sample size I decided to use the 1% gap level as my criteria in testing. Below I look at the daily performance numbers over the following week:
While the “% Wins” isn’t much worse than a coin toss on average, the poor W/L Ratio creates a negative expectancy. The bearish implications peak at 4 days across the sample. Not seen in the above table is that about 70% of all instances closed below their trigger price at some point in the following 3 days. This number increases to 89% when looking out 6 days.