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Tuesday, August 14, 2012

Gap Trading

If you were to fade each gap on AAPL that was .5% or bigger (up or down) over the last month or so, this is what you could expect for max gains (i.e. max return: if a negative gap, then you would go long so the max gain would be daily high minus open; and vice versa for gap ups).

PS: Been working on analyzing data like this across a number of stocks and with more info like drawdown before target is reached, contributing factors (e.g. earnings, news releases), etc. 

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