Monday, February 2, 2009

2% Gaps Down Revisited

SPY is nearing a 2% gap down this morning. I performed a study back in October which looked at the tendency of the SPY to close above its gap opening at some point in the next few days after such a large gap down. Below I have updated that table with the 7 additional instances that have since occurred. The edge remains squarely bullish.

(click table to enlarge)

3 comments:

Kosta said...

Great table, THANKS!

Have you looked at the success rate of buying the gap? If one bought that gap and then sold at the close of that day, or the next day (and so on), how often is it profitable?

Dee said...
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Rob Hanna said...

Kosta,

The table looks at just that - although in a different way than usual. "same day" for instance would mean if you bought the gap you would be profitable by the close.

Rob