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Gap Fades By Day of Week

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Sunday, September 28, 2008 at 11:05PM

Gap Guy tagged

Futures,

S&P 500 in

Gap Basics,

Seasonality

The following are the results BY DAY OF WEEK of fading all opening gaps (excluding holidays) in the E-mini S&P 500 futures index, from 1/1/1998 - 6/30/2008, using 10 contracts, minimum size gap = 1 pt, target = gap fill, no stop, exit at end of day if gap did not fill. This is NOT a recommended strategy.

Note: the first column entitled "factor" shows the day of week: 1 = Monday, 2 = Tuesday, .... 5 = Friday.

Two observations:

1) "Turn-around Tuesday" is more than just a saying on the street. It is a proven historical fact as witnessed by the NEGATIVE profits from fading gaps on this day. Meaning: though the historical win rate (~72%) for fading is similar to other days, Tuesday is the day of the week that is most likely to "trend" and finish beyond, and in the same, direction as the opening gap.

2) Wednesdays and Thursdays have the best long term gap fade win rates. Further, as net profit shows, these two days are the most likely to finish inside, and possibly in the opposite direction, of their opening prices.

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Important Disclaimer: The analysis and information on this site is provided for informational purposes only. Nothing contained herein should be interpreted as personalized investment advice. Under no circumstances does this information represent a recommendation to buy, sell or hold any security. None of the information on this site is guaranteed to be correct, and anything written here should be subject to independent verification. You, and you alone, are solely responsible for any investment decisions you make! Futures, options, and spot currency trading have large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't afford to lose. CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.