Opening Gap Fade Win Rates By Index
Post a CommentOne of the more common questions I receive about "Gap Zones" is how the historical results compare among the various US indices.
The following table shows the historical gap fade win rates by opening zone for the S&P 500, Dow 30, Nasdaq 100, and Russell 2000 markets.
Note: the zones are based upon my standard nomenclature as defined on the Gap Zone Map at http://www.masterthegap.com/public/106.cfm .
Key assumptions:
1. Enter in the opposite direction of the opening gap (i.e. fade) at the open of the New York Stock Exchange (9:30:00 am EST)
2. Target gap fill (prior day's closing price: 4:15 pm EST for the futures markets)
3. Close the position at the end of the day (4:15 pm EST) if the gap has not filled. This is not a recommended strategy - always use stops!
The above results are based upon all "tradable" gaps with the following minimum size: ES: 1 pt, YM: 10 pts, NQ: 2.5 pts, TF: .5 pts, going back at least 7 years until 2002.
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