Tuesday
Nov082011
Gaps the day after an unfilled 'up' gap
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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
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