I read some of The Gap Guy yesterday while researching anything I could find online about gap trading. He got me to thinking about ways I could narrow down the gaps that I trade. Anyway, I posted some statistics on individual stock gaps a while back and I will post some stats on individual stocks again; but, the table below is on the SPY.
The table shows the percentage of gaps that closed based on certain characteristics. These characteristics are whether the "prev day" (i.e. previous day) was positive or negative (i.e. up or down); the percentage of the gap (e.g. >.001<.005 = >0.1%<0.5%), and perhaps least familiar, the "type."
Something is "type 0" if the gap opens above the high of the previous day; "type 1" if it opens between the high and the next position ('prev open' when the last day was down, 'prev close' if the last day was up); "type 2" if it opens between the open and the close of the previous day; "type 3" if it opens below the next position ('prev close' when the last day was down, 'prev open' if the last day was up); and, "type 4" if the gap opens below the previous days' low. (Check out this page at the gap guy for more visual info)
Something is "type 0" if the gap opens above the high of the previous day; "type 1" if it opens between the high and the next position ('prev open' when the last day was down, 'prev close' if the last day was up); "type 2" if it opens between the open and the close of the previous day; "type 3" if it opens below the next position ('prev close' when the last day was down, 'prev open' if the last day was up); and, "type 4" if the gap opens below the previous days' low. (Check out this page at the gap guy for more visual info)
Note: I highlighted everything with a 55% occurrence or higher. I cannot guarantee the accuracy of the info! And, even if a certain zone has a high occurrence of gap closures, I cannot guarantee trading these gaps will result in profit. Please do your own due diligence and use this info only as a start to your own analysis.
