Quote from Laissez Faire:
Today I decided to take a look at how many gaps were filled on the same day for the last years. I used the same lookback period as yesterday, starting from 2008 to the 2nd of March last Friday, but for this I used daily SPY data.
Gap up
Number of days gap up: 554
Number of gap fills on the same day: 380
Percentage filled: 68,59 %
Flat
Number of days with flat open: 4
Gap down
Number of days gap down: 493
Number of gap fills on the same day: 354
Percentage filled: 71,81 %
Now, this is only a look at the surface and probably not useful for anything alone, but I`m still getting my feet wet with this stuff and playing around with it.
It does not say anything about the size of the gaps and one could argue that very small gaps should not be counted as a gap day, but as a flat open.
Probably not useful alone, but if one adds more parameters and conditions, it could perhaps yield some interesting results.
As an example, one could perhaps look at the distribution of the size of the gaps and see if it is possible to predict anything with regards to the size of the gap given certain conditions, i.e., are small gaps filled more frequently than large ones. Is there a bigger chance that we trade in the direction of the gap if it is a large one? Anything to gather from the previous day`s close in relation to the gap?
More coffee please.
FYI...masterthegap.com already did some legwork...
