StockFetcher Forums · General Discussion · Indices Gap Set Up stats for Monday<< >>Post Follow-up
taylorsk
106 posts
msg #100848
Ignore taylorsk
5/22/2011 10:40:27 AM

Small sample size, but an interesting set up from Friday.
On thursday we had a small kangaroo tail below the 25EMA on the SPY, DIA, and QQQ.
Friday we opened lower and closed lower.

This setup(- the days of the week) has happened 11 distinct times since Jan 1. 2002.

Of those the following stats are true

6 gap downs. Of those 4 closed higher and 5 of 6 filled the gap.

5 gap ups of those 4 closed higher and only 2 filled the gap.

Bias appears to be to the long side.

Fading gap downs has a higher probability, while fading gap ups is riskier.

Again 11 instances is a very small sample size so use stats with care and at your own risk.

taylorsk
106 posts
msg #100850
Ignore taylorsk
5/22/2011 12:30:00 PM

Initial Sample size was so small I have expanded to get more results. Initially I had a 50EMA variable in the filter that I removed.
Here is the filter to identify Fridays set up

Fetcher[apply to SYMLIST(QQQ, SPY, DIA)
CLOSE WAS BELOW THE OPEN
OPEN WAS ABOVE THE LOW ONE DAY AGO
OPEN WAS BELOW THE HIGH ONE DAY AGO
CLOSE WAS BELOW THE LOW ONE DAY AGO
OPEN ONE DAY AGO WAS ABOVE THE EMA(25) ONE DAY AGO
LOW ONE DAY AGO WAS BELOW THE EMA(25) ONE DAY AGO
CLOSE ONE DAY AGO WAS ABOVE THE EMA(25) ONE DAY AGO
]



46 trade’s total from Jan 1, 2002 to present
1 trade did not gap leaving 45 trades that gapped

GAP DOWNS
22 of 46 gapped down
Of those 22, 13 closed up and 9 closed down
17 of 22 filled gap
10 of 17 that filled also hit extended target of 0.5% above the prior close

GAP UPS
23 of 46 gapped up
Of those 23, 13 closed down and 10 closed up
18 of 22 filled gap
12 of 19 hit extended target of 0.5% below prior close

Much more neutral set up, but gaps in both directions appear profitable. Use results at own risk.


StockFetcher Forums · General Discussion · Indices Gap Set Up stats for Monday<< >>Post Follow-up

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