Trading the Odds

A statistical approach to profit in the US equity markets, trading the markets like professional card counters are playing Blackjack or expert poker players are playing Poker.

SPY and Gap Fills

SPY and Sessions until Gap Fill

After the SPY left open an unfilled downside gap on Monday’s session (see my posting Trading the Odds on Tuesday – March 31, 2009), a reader raised the question how long it regularly takes to get a downside gap in the SPY filled (as well as in other indexes).

The following table shows those 57 sessions (see also Trading the Odds on Tuesday – March 31, 2009) since 01/03/2000 after the SPY left an unfilled downside gap and the respective number of sessions it took to get the gap closed (those session with a ‘?‘ instead of any number of days mark those sessions where the gap is still unfilled).

No. Date Gap fill
x days later
1 03/02/2009 8
2 02/17/2009 27
3 01/14/2009 9
4 01/07/2009 ?
5 12/01/2008 5
6 10/22/2008 5
7 10/06/2008 ?
8 06/26/2008 31
9 06/20/2008 ?
10 06/02/2008 3
11 02/29/2008 21
12 02/05/2008 13
13 01/04/2008 93
14 12/17/2007 4
15 09/07/2007 2
16 08/28/2007 1
17 07/10/2007 2
18 02/27/2007 28
19 09/06/2006 3
20 08/01/2006 1
21 07/13/2006 4
22 08/05/2005 2
23 01/20/2005 7
24 12/17/2004 1
25 09/22/2004 7
26 08/06/2004 2
27 07/06/2004 42
28 06/14/2004 1
29 05/10/2004 1
30 03/22/2004 3
31 11/17/2003 1
32 10/22/2003 4
33 09/22/2003 9
34 06/09/2003 1
35 02/04/2003 1
36 12/18/2002 9
37 09/12/2002 3
38 09/03/2002 5
39 08/28/2002 60
40 07/19/2002 6
41 06/21/2002 241
42 04/22/2002 431
43 03/20/2002 494
44 02/19/2002 4
45 09/17/2001 12
46 07/06/2001 5
47 06/14/2001 1.038
48 05/23/2001 1.207
49 03/12/2001 26
50 03/09/2001 35
51 02/16/2001 65
52 12/20/2000 2
53 12/15/2000 2
54 07/18/2000 24
55 05/19/2000 7
56 05/03/2000 8
57 04/14/2000 2

(‘date’: session where the gap was left open)

Successful trading,

Frank

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Filed under: Studies/Survey, Trading Strategies

4 Responses

  1. moneyfriend says:

    Thanks for sharing!

    Pretty sure this can be deduced:

    From 2000 to now, downside gaps in the spy have historically taken less than 10 days to fill 75% percent of the time….

    Interestingly, after the 10 days range is surpassed, the other 25% of gaps average 100 days to fill.

  2. Jeremy says:

    Thanks Frank! The original post I read and mistook for your site is at http://tradingsigns.blogspot.com/2009/03/spartans-prepare-for-glory.html in the first video (its another blog that I recently started following). I’ll keep these statistics in mind for future trading.

    Jeremy

  3. Albert von Königsloew says:

    Thanks a lot for the info. I really like your blog. Please keep on going. Of course, I am quite curious about the statistics of today: S&P with a large sell-out but still in the greens. How would that impact tomorrow’s opening?

    Best,
    Albert

  4. Skates says:

    Frank great site, keep up the awesome work!

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