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Gap Fading the S&P 500 Index

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Saturday, September 27, 2008 at 9:49PM

Gap Guy tagged

Futures,

S&P 500 in

Gap Basics

The following are the results 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, but it does show the historical bias of all equity/index gaps to fill the same day. Note:

- the very high win rate of 73%

- the max consecutive winning vs losing trades (27 to 7)

- average annual return of 12.3%

- and the time in market of about 7.3%. This number is MUCH higher than I and most gappers average since we use a stop for each trade. Not many trading strategies offer such a compelling return versus exposure to market risk ratio.

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Reader Comments (1)

Sorry folks - this is a test - I want to ensure that I am notified of all comments to this blog so that I can respond quickly.

-GG

Oct 15, 2008 at 11:53AM |

Gap Guy

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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.