Looking for other published material on Trading Gaps

[SunTrader]

One thing I do know,contrary to a popular cliche gaps do not always fill. Unless you're willing to wait 5 or 10 years.And even then there's no guarantee.

GM had a gap open for decades. "Never fill". Then they nose-dived into bankruptcy blowing out shareholders during Lehman/Mortgage Meltdown getting a gubmint reset. I'm a firm believer in all get filled. But like you say, could takes years and years.

 

[qlai]

For your eyes only ..,

 

[Sprout]

For your eyes only ..,

Much appreciated, I like how he has some stats included in the strategy. Kaufman's "Trading Systems and Methods" also has data that supports the various distinctions. There's a new edition out, supposedly has more detail on algorithmic/ML methods.

Looking for more data-rich original sources.

 

[Sprout]

http://dl.fxf1.com/files/books/english/Andrews, Scott - Understanding Gaps.pdf

I wonder what the stat "...72% of all gaps in the S&P500 have filled in the same day over the last ten years" would be when updated from 2008..

might have to bite the bullet and start coding again, becoming much more interested in algorithmic trading and building data rich models.

 

[SunTrader]

Gaps (down) aplenty on Globex open this pm.

 

[qlai]

Personally, I don’t like trading (excessive) gaps … too much conflicting order flow.