[atto]

You want a few hundred gaps to look at, minimally. Basically, you're looking for biases (which should make sense), not find statistical flukes. Example, in the attached spreadsheet, 4pt gaps filled 86% of the time, 6pt gaps filled 77% of the time, but 5pt gaps only filled 60% of the time. That makes no logical sense, so I'd question the sample size just based on that.

[BlowFish]

Mind you going back too far can be a two edged sword as market characteristics change over time. for example a market that trades in a 30 point range with 6 point gaps might be quite different to when it traded in a 12 point range with 4 point gaps. You need to also save enough data for walk forward testing. Oh and you need to ensure you have bull and bear and sideways data.

Has anyone considered combining gaps and an opening range break out type setup to determine if it is a gap and go or gap and close?

[swansjr]

Originally Posted by NoSquigglyLines »

FWIW, I just got an email advertising a free webinar he is doing tomorrow.

Webcasts Details

I know nothing about him or his services, just passing on the info.

Is anyone planning on recording this presentation?

[ZOSO]

The only gap fill strategy that has worked for me is to trade the ones that occur in the overnight session. Remember, the ES is a 24 hour market. It's not uncommon for gaps to occur between the close of the cash market to the next day's opening, but an examination of the overnight action may show no gap at all.

Overnight gaps may be few and far between, but the probability of filling is over 80%.

Also, there has to be some air between the gap and current price--I look for at least 5 points.

[bathrobe]

Since I have been watching ES gaps (since I first stumbled on this thread) and I cut out off hours, the only consistent gap trade from my point of view is to trade candlestick patterns. This can still be very risky due to the RTH open madness. However I see no other way to trade this than using candlestick patterns. Just my observation. FWIW

[brownsfan019]

Originally Posted by bathrobe »

Since I have been watching ES gaps (since I first stumbled on this thread) and I cut out off hours, the only consistent gap trade from my point of view is to trade candlestick patterns. This can still be very risky due to the RTH open madness. However I see no other way to trade this than using candlestick patterns. Just my observation. FWIW

BR - that's basically what I've seen as well. I'm sure if we spent hours on it, there's so many other options but just glancing it would seem put up a 5 min (or longer chart) and buy the first hammer you see when it gaps down and vice versa. Some days, that's all it takes and 1 easy trade. Other days it's a matter of how many times you want to fire a bullet. My reco is 2-3 shots and then shut 'er down.

[knocks420]

ZOSO,

I don't like at overnight sessions that often, could you post a screenshot of an overnight gap if possible? Also what is the frequency of these gaps?

Thanks!

Originally Posted by ZOSO »

The only gap fill strategy that has worked for me is to trade the ones that occur in the overnight session. Remember, the ES is a 24 hour market. It's not uncommon for gaps to occur between the close of the cash market to the next day's opening, but an examination of the overnight action may show no gap at all.

Overnight gaps may be few and far between, but the probability of filling is over 80%.

Also, there has to be some air between the gap and current price--I look for at least 5 points.

[jmiranda]

Dear Brownsfan,

I trade GAPs and found similar conclusions to your post UNTIL I found a website with probabilities for each gap and gap area in relation to the high close open and low of the previous day This gut ONLY trade gaps with an amazing Equity curve. Check it out at masterthegap.com

Regards
JM