I think gap has great impact on the system
wether overnight system or intraday system
for example the original trend is down
but next day it gaps up
the price movement deviates from original trend
but after the gap up , the price drops down to a specific price
then the system short 1 contract
but at that moment,the price stops dropping
it moves up........................
the market sideways
under such situation,it is hard for trend following system
I wanna find some ways to deduce the impact of gap on the system
Is there any articles about the topic?
thank you
wether overnight system or intraday system
for example the original trend is down
but next day it gaps up
the price movement deviates from original trend
but after the gap up , the price drops down to a specific price
then the system short 1 contract
but at that moment,the price stops dropping
it moves up........................
the market sideways
under such situation,it is hard for trend following system
I wanna find some ways to deduce the impact of gap on the system
Is there any articles about the topic?
thank you