Thursday
Jun182009
When Do Opening Gaps Fill?
3 CommentsA member from MasterTheGap.com asked for my opinion of one of Trader Vic's (Vic Sperandeo) published trading strategies regarding "going with" (i.e. trading in the direction of) the opening gap if it has failed to fill in the first 15 minutes of the session.
It is a thought provoking idea that has some merit if applied to the right market. I decided to test the concept and some of the assumptions on the E-mini S&P 500 futures.
Check out my video on this topic - which also shows the optimal time to consider using a time-stop if fading the E-mini S&P or a correlated index like the Dow or Nasdaq futures:
www.MasterTheGap.com/TraderVic
Good gapping!
View Printer Friendly Version
Email Article to Friend
Reader Comments (3)
Hi Scott,
I was just reviewing the research you posted on 6/18/09 entitled "When do opening gaps fill". To me this is really important stuff. As it appears the "sweet spot" for a time based stop would be between about 10:00 and 11:45 I was wondering if you could do an analysis of this period in 5 minute increments for this period when time permits
Thanks and regards,.
Scott, you mentioned BLUD gaps in your glossary. Any significance to the opposite of that, where a gap takes price above the high of the prior down day. AHDD, above the high of down day. Also what about nearly Blud gaps or nearly AHDD gaps, is close pretty much the same thing if price then goes on to move beyond the prior day's high or low.
TG - gaps above the high of a down day (I call them D-H zone gaps at MasterTheGap.com) do exhibit some of the same characteristics as the BLUD gaps, but not as frequently or reliably. They are more sensitive to market conditions and other factors and sometimes do present an attractive gap fade setup.
Also, I have found that proximity to one of these zones should be considered, but not at the expense of skipping a setup. I generally just reduce my position size when opening near one of these riskier zones.