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Historical Gap Up

  • Spider Scan Tool
  • http://www.gappingstocks.com - subscription service to provide daily list of "gapping" stocks in both up and down directions
    • 1/05/2009 - GappingStocks.com's goal is to provide the current trading day's gapping stocks, within2 mintues of market open, with 100% data accuracy. In addition to the daily stock liststhere will be multiple trading tutorials, detailed gapping strategies, and a community blogfor members to discuss their own personal trading experiences and knowledge.
    • Apparently still under contruction...
  • Professional gap down strategy - http://www.swing-trade-stocks.com/professional-gap-down.html - I like to trade Gapping stocks (pretty much exclusively) for the first hour of the day. If the gap is Professional, then I will see how it trades out of the gate. If it makes no attempt to fill the gap, I will look to short a 5-minute hi/low, however my favorite plays are catching the first buy/sell setup that can't retrace more than 50% into the gap fill.
  • Brett Steenbarger - Do Opening Gaps Tend To Fill? - link
    • measured gaps as a function of the previous day's high-low range. This measures the gap relative to the prior day's volatility. Thus, an opening gap of two points that follows a day with a range of six points is measured as a 33% gap. The same opening gap of two points that follows a day with a range of ten points is measured as a 20% gap.
      • measure gaps in this fashion, it takes relative changes in volatility out of the equation. The average size of the opening gap, defined as a function of the prior day's range, has been the same in 2006 as previously, despite our dramatic drop in volatility since 2003. Standardizing how we measure gaps provides us with a better sense for when gaps are large-and are less likely to filland when they're small-and more likely to fill.
    • Assessed in this manner, we find that the average opening gap is 27% of the previous day's range going back to May, 2003 (N = 897 trading days) in the S&P 500 Index (SPY). That provides us with a benchmark for defining relatively large and relatively small gaps.
    • When upside gaps exceed 40% of the prior day's range (N = 99), 46 of them fail to close during the day session. When downside gaps exceed 40% of the previous day's range (N = 81), 40 of them go unfilled. Bottom line: approximately half of all large opening gaps don't fill during that coming day's action.
    • Conversely, when the upside or downside gaps are less than 40% of the last day's range (N = 717), only 144 of them go unfilled. When the gaps are less than 20% of the last day's range (N = 431), only 51 of these fill in. Stated otherwise, 80-90% of relatively small gaps will fill in during the coming day's action.

Additional searches

Search - Gap Fill Strategy

  • Google: Gap Fill Strategy
    • http://thegapfill.com/ -
      Trading the Gap Fill – Automated Emini Futures Trading Strategy

      The GapFill is a fully automated futures trading strategy designed to trade the gap in four Emini markets (S&P500 / ES, Dow Jones /YM, NASDAQ /NQ, and Russell /TF).

      Our Emini day trading system automatically calculates when to place an order and when to exit. The GapFill automated futures trading system is licensed to you on a monthly basis, takes the guesswork out of trading, and saves you time, energy, and effort.

      The GapFill futures strategy is focused on the four popular Emini markets outlined above in order to capitalize on a particular tendency of these markets: they typically close any ‘gap’ in price between the end of one day and the beginning of the next.

      The GapFill is a day trading system which trades first thing in the morning (8:30 CST), if a series of entry parameters are met. Not all gaps in the market are worthy of risking your capital, and the GapFill filters out unlikely trading scenarios and cancels the possibility of entering into a trade if conditions are not optimal.

      Contracts Reg. Price / month Your Price / month Savings
      1 $179 $147 10%
      2 $329 $247 25%
      3 $529 $347 35%
    • http://www.mysmp.com/day-trading/morning-gap.html
      • Trading morning gaps can be the most profitable day trading strategy
      • Characteristics of Morning Gap - Defining Volume / Volatility / Risk tolerance
        • Important - Tape Reading link
        •  
      • http://www.mysmp.com/technical-analysis/gap.html
      • http://www.mysmp.com/day-trading/morning-reversal-gap-fill.html - Morning Reveral - Gap Fill
        Plays on shift in market momentum due to market maker manipulation at the open.
        • Traders are trained to believe that gap fill is almost certain.
        • Strategy works well on large cap stocks because of higher interest levels, and liquidity, small spreads
          Trading rules
        • High volume stocks
        • 3% - 7% gap (10%+ tends to be start of sideways trading range)
        • Helps if broad market is moving in the same direction as anticipated gap fill - also means stock should gap in opposite direction to primary trend.
        • If stock gets to 80% gap fill, and a candlestick reversal pattern forms, take profits.
        • 10 EMAand 20 EMA can be useful to add as a guide
    • Gap Pullback Buy - http://www.mysmp.com/day-trading/gap-pullback-buy.html
      • Relative low risk
      • Volume is improtant - stock open on huge volume, with further advance of 1-3 bars on lighter volume. (means lack of leadership, only volume is important, not trying to pick a top)
      • After short term top, move lower on decreasing volume and partially close the gap, followed by strong reversal bar, like hammer candlestick accompanied by strong pickup in volume.
      • Signal bar close above open of session, and stay above previous session close
      • Why? Heavy volume + strong reversal - big money support for the stock
      • long only when price moves above high of reversal bar - stop loss at low of the bar
      • Set stop to breakeven when 1% up
      • First profit target is HOD, or signficant support or resistance point
      • Opposite pattern: Gap pullback sell
    • http://www.thegapguy.com/gaps-101/ - The Gap Guy
    • Automated trading systems - the opening gap strategy link
      • Opening gap strategy as automated trading system - link - Taking these considerations into account, we would want to see an equity curve which has almost a linear relationship between the number of trades and accumulated profit. This creates an ideal equity curve with a 45 degree slope.
    • Clean gap fill example on Goldman Sachs - Sept 2008 - link
      Tuesday morning (and week) began with a large volatility gap up, and it’s usually best to try (trade) for at least a 50% retracement of a stock gap, but the odds for success (100% fill) trail off as the gap size increases.

      Nevertheless, Goldman Sachs rose for the first 10 minutes and then collapsed $4.00 to fill its intraday gap (trade at the price of Friday’s close). Often, with a gap fill complete, the next strategy is to try to trade IN the direction of the impulse (gap) and capture a portion of the (in this case) upside move.

      I wanted to emphasize the hammer (buy signal) that occurred as price re-visited the prior close.

    • Traders Laboratory - link
      • Discussion of buying first hammer in direction of the fad - sometimes it works, sometimes you get caught buying more and more candles travelling in the wrong direction as the gap runs.
    • Playing the gap - http://www.investopedia.com/articles/trading/05/playinggaps.asp
      • Gaps can be classified into four groups:
        • Breakaway gaps are those that occur at the end of a price pattern and signal the beginning of a new trend.
        • Exhaustion gaps occur near the end of a price pattern and signal a final attempt to hit new highs or lows.
        • Common gaps are those that cannot be placed in a price pattern - they simply represent an area where the price has "gapped".
        • Continuation gaps occur in the middle of a price pattern and signal a rush of buyers or sellers who share a common belief in the underlying stock's future direction.
    • Is trading for gap fill a legitimate trading strategy - link
      • Gap fill on the E-mini S&P 500 futures - 2009 statistics || Mon || tue || Wed || Thur || Fri || Total ||
        47.6% 67.3% 71.2% 65.9% 82.2% 66.5%
      • look for opening gap fills within the first hour. We preach that if the gap is left unfilled after the first hour, typically the market will trend in the direction of the gap. This continuation strategy is the most effective when trading larger gaps (roughly greater than 1%). Based on the chart, out of the 66.5% of the days that the gap is filled, 2/3 of the time it happens in the first hour of trading. This shows the effectiveness of the T3Live strategy throughout 2009. I will continue using this strategy throughout 2010.
      • Also: blog.t3live.com - http://blog.t3live.com/2010/01/trading-for-gap-fill-legitimate.html
    • Morning Gap Strategies - http://tradingday.com/c/tatuto/morninggapstrategies.html
      • Many traders still place market orders before the open and walk away. Unfortunately, this is a sucker move that yields the worst fills imaginable. Take a few extra minutes to plan your gap entry, and you'll get much better prices.
      • Stand aside at the open, and use the third-bar swing to find the best gap entry. This is a dependable reversal or expansion move on the five-minute chart, occurring 11 or 12 minutes into the new trading day. This phenomenon is a relic of the old 15-minute quote delay. In past years, painting the tape before retail investors could access stock prices ensured a few extra pennies for market insiders.
      • Let the stock draw the first three five-minute bars, and then use the high and low of this "three-bar range" as support and resistance levels. A buy signal issues when price exceeds the high of the three-bar range after an up gap. A sell signal issues when price exceeds the low of the three-bar range after a down gap. It's a simple technique that works like a charm in many cases. If you use this technique, though, a few caveats are in order to avoid whipsaws and other market traps. The most common is a first swing that lasts longer than three bars. If an obvious range builds in four, five or even six bars, use those to define your support and resistance levels. Also consider the higher noise level in five-minute charts. A breakout that extends only a tick or two can be easily reversed and trap you in a sudden loss. So let others take the bait at these levels, while you find pullbacks and narrow range bars for trade execution.
      • Gap location is more important than the gap itself. Does the opening bar push price into longer-term support or resistance? A strong up gap may force a stock through several resistance levels and plant it firmly on top of new support. Or it can push it straight into an impenetrable barrier, from which the path of least resistance is straight down.
    • Gap filler strategy - link
      • Includes backtester that is very quick.
        Shares Buy Date Buy Price Sell Date Sell Price Profit $ Profit % Days Held
        1,000 10/27/2008 $85.97 10/28/2008 $91.69 $5,704.00 6.63 % 2
        • You have backtested the Gap Filler strategy with SPY over the past 5 years using a trade size of 1000 Shares and Gap Percent 5
            •  
              Shares Days Held
              1,000 [01/23/2008|javascript:openChartBar('','734','SPY', '01/23/2008');] $127.09 [01/24/2008|javascript:openChartBar('','735','SPY', '01/24/2008');] $134.48 $7,374.00 5.80 % 2
              1,000 [09/16/2008|javascript:openChartBar('','898','SPY', '09/16/2008');] $117.20 [09/19/2008|javascript:openChartBar('','901','SPY', '09/19/2008');] $126.70 $9,484.00 8.09 % 4
              1,000 [10/13/2008|javascript:openChartBar('','917','SPY', '10/13/2008');] $93.87 [10/14/2008|javascript:openChartBar('','918','SPY', '10/14/2008');] $104.70 $10,814.00 11.52 % 2
              1,000 [10/27/2008|javascript:openChartBar('','927','SPY', '10/27/2008');] $85.97 [10/28/2008|javascript:openChartBar('','928','SPY', '10/28/2008');] $91.69 $5,704.00 6.63 % 2
              1,000 [02/18/2009|javascript:openChartBar('','1004','SPY', '02/18/2009');] $79.79 [03/26/2009|javascript:openChartBar('','1030','SPY', '03/26/2009');] $82.76 $2,954.00 3.70 % 27
            • You have backtested the Gap Filler strategy with SPY over the past 5 years using a trade size of 1000 Shares and Gap Percent 3
    • Gap fill probability study - http://blog.afraidtotrade.com/gap-fill-probability-study/
      • Study based on unknown stocks.... Probability of an overnight gap being filled increases as days progress - the larger the gap, the lower the probability that it will fill
      • Findings:
        • gap of size 5-10% move has a 70% chance of filling within 5 days, but a near 90% chance of filling after 50 days.
        • gap size of 35-40% has a 15% chance of filling within 5 days and a 40% chance of filling after 50 days.
    • Fade the opening gap on the SnP/DOW - http://www.superiorinvestor.net/stock-market-forums/postt5784.html
      • According to a simple 2 year study these gaps are filled: 65% of the time on Monday 77% of the time on tuesday 79% of the time on Wednesday 82% of the time on Thursday 78% of the time on Friday If you "fade" the gaps, with the possible exclusion of Monday, the gaps have an 80% chance of filling.
      • Gap fade doesn't work on individual stocks, but works on large ETFs
      • premarket analysis: 1. Premarket volume - If it's unusually heavy, it's likely that the gap won't fill. If the volume is light as it usually is premarket, then the gap is more likely to fill. 2. Gap size: Unusually large gaps are less likely to fill, and shouldn't be played

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