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My name is Scott Andrews and I trade opening gaps for a living.  This site is a repository for my gap trading ideas and research.  Feel free to browse and contribute to the discussions.

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« Opening Gap Fade Win Rates By Index | Main | Gaps Opening Below the S-1 Pivot »
Tuesday
29Sep2009

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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