Results of Fading the Opening Gap in the ES since 1998
Greetings Gappers!
Been way too long since I last posted here on this site. Our member site has grown quite a bit and has kept me quite busy.
Per a Master The Gap member request, here's a video showing the historical gap fill results for fading opening gaps in the ES (E-mini S&P 500 futures) from 1/1/98 - 9/28/09.
The following video analysis assumes:
- all size gaps were faded (i.e. traded in the opposite direction of the gap e.g. down gaps were bought and up gaps were sold)
- at the opening price
- targeting gap fill (prior day close)
- using an end of day stop
- $5 commission per round trip trade
http://www.masterthegap.com/public/292.cfm
Note: this is not a recommended strategy of course, but interesting and hopefully helpful nonetheless.


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