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Tomorrow's "Post Crash" Gap

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Monday, October 6, 2008 at 11:17PM

Gap Guy tagged

Futures,

S&P 500 in

Patterns,

Seasonality

Wow - what a day. At one point today prices in the E-mini S&P 500 were down 100 points from Friday's close.

In preparing for tomorrow's gap play, I checked the results of fading gaps following the current price pattern: 4 successive lower daily closes, close of 2 days ago greater than high of prior day by more than 20% of the 5 day ATR (translation: a HUGE, butt-ugly, unfilled gap), and prices are trading below the 50 day MA.

Here are the results:

Clearly the sample size is too small to read too much into and only an end-of-day stop was used, but it is interesting nonetheless.

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