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Strategies & Market Trends : E-Mini Pit
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To: Dan Duchardt who wrote (10384)4/28/2003 2:30:27 PM
From: Brandon  Read Replies (1) of 11288
 
Here are a few of the raw statistics we have compiled. (This study was done on the Nasdaq, all gaps that have occured since Jan 2, 1989, the data is kept current.
71% of gaps will fill on the day they occur.
The average gap is 1.17%
Smaller gaps fill in more often than larger ones (The exact percents are caclulated as are the odds of any amount of filling in 10% increments for our proprietary money managment systems)
Gaps that are twice as large as the average gap (2.34) remain open 61% of the time on the day they occur. Gaps that are 3 times larger than the average gap remain open 65% of the time on the day they occur, while gaps that are 3.5% larger than the average gap are left unfilled 89% of the time on the day they occur (only 21% of them are filled on the week they occur too, fwiw).
Given the above dry data we have developed systems that have us fading small gaps aggressively and average gaps but not as aggressively as well as tading in the direction of large gaps.

Brandon
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