Gap Size Impacts Odds

Testing assumptions:

• Fade the open (9:30 am ET)
• Target = prior day close (i.e. gap fill)
• 1,000 shares of the SPY
• Oct, 2002 – October, 2011 (9 yrs)
• Min .10 cent gap
• Closed at 4 pm ET if gap not filled
• No commissions or slippage included

Fading the Gap By Day of Week

Testing assumptions:

• Fade the open (9:30 am ET)
• Target = prior day close (i.e. gap fill)
• 1,000 shares of the SPY
• Oct, 2002 – October, 2011 (9 yrs)
• Min .10 cent gap
• Closed at 4 pm ET if gap not filled
• No commissions or slippage included

Where a gap opens relative to prior day's range matters alot

Testing assumptions:

• Fade the open (9:30 am ET)
• Target = prior day close (i.e. gap fill)
• 1,000 shares of the SPY
• Oct, 2002 – October, 2011 (9 yrs)
• Min .10 cent gap
• Closed at 4 pm ET if gap not filled
• No commissions or slippage included

How Long Does It Take for the 'average' gap to fill?

Testing assumptions:

• Fade the open (9:30 am ET)
• Target = prior day close (i.e. gap fill)
• 1,000 shares of the SPY
• Oct, 2002 – October, 2011 (9 yrs)
• Min .10 cent gap
• Closed at 4 pm ET if gap not filled
• No commissions or slippage included

Gaps Below the 200 dma

Testing assumptions:

• Fade the open (9:30 am ET)
• Target = prior day close (i.e. gap fill)
• 1,000 shares of the SPY
• Oct, 2002 – October, 2011 (9 yrs)
• Min .10 cent gap
• Closed at 4 pm ET if gap not filled
• No commissions or slippage included

Gaps Above the 200 DMA

Testing assumptions:

• Fade the open (9:30 am ET)
• Target = prior day close (i.e. gap fill)
• 1,000 shares of the SPY
• Oct, 2002 – October, 2011 (9 yrs)
• Min .10 cent gap
• Closed at 4 pm ET if gap not filled
• No commissions or slippage included

Gaps the day after an unfilled 'down' gap

Testing assumptions:

• Fade the open (9:30 am ET)
• Target = prior day close (i.e. gap fill)
• 1,000 shares of the SPY
• Oct, 2002 – October, 2011 (9 yrs)
• Min .10 cent gap
• Closed at 4 pm ET if gap not filled
• No commissions or slippage included

Gaps the day after an unfilled 'up' gap

Testing assumptions:

• Fade the open (9:30 am ET)
• Target = prior day close (i.e. gap fill)
• 1,000 shares of the SPY
• Oct, 2002 – October, 2011 (9 yrs)
• Min .10 cent gap
• Closed at 4 pm ET if gap not filled
• No commissions or slippage included

Gap Fill Propabilities for the SPY

Testing assumptions:

• Fade the open (9:30 am ET)
• Target = prior day close (i.e. gap fill)
• 1,000 shares of the SPY
• Oct, 2002 – October, 2011 (9 yrs)
• Min .10 cent gap
• Closed at 4 pm ET if gap not filled
• No commissions or slippage included

 or slippage included

Fade the gap - an example