ES Wed 7-9-2014

Wow, the whole morning got away from me... but I wanted to followup on something Bruce commented on yesterday...

Yesterday Bruce rhetorically asked,

<<How many days have gaps and go's ? Will we have two days in

a row that don't go back for the gap fill close ?>>


GapGuy (from Master the Gap) had stats on gap fills (or not)

on the day AFTER 2 consec Unfilled Down Gaps (these would be

down gaps that do not reach up to print at the Close of the prior day,

Not Range gaps where the high of a day cannot even reach the L

of the previous day)

In the past 10years 2 unF Dn Gaps have occurred only 28 times, Looking at the day AFT 2 unF Dn Gaps, onsec unfilled down gaps, 6 times there was

another gap down, 22 times there was a gap UP...

ES is more likely to GAP UP, and if you shorted a gap up open,

by the end of the day, the odds that the trade was profitable

(if gap not filled, shorting the open would still have been

profitable if the close of the day was below the open) ODDS of

prfitability by end of day were 77%... average win about 4 pts

(If I'm reading the table right)

By looking at the average number of bars in the winning trades, you can guess average length of time for winning trades, his backtesting is based on 5min bars,

In the past 10years, profitable long trades (buying the open of a gap DOWN, average number of bars in trade was 12 12 times 5minutes = 60 minutes...means on average, trade complete (filled to Close yesterday) by 10:30am

Same stat for shorting an UP GAP avg winning trade is 23 5m bars. 23 * 5min = 115 minutes, so, by 11:30am ET...


After 2 consecutive unfilled down gaps
NOT LIKELY to GAP DOWN, but if it does, Look for a reason to

get long, 83% of the gaps down have been profitable on a fade.

great stat work Paul..thanks.....the only thing interesting for me today was that yesterday did not do the retest back after blowing through last wednesdys lows and we left single prints off that breakdown as a selling tail......I mentioned the 64.50 in yesterdays thread....it was also part of the lower zone from the chart I posted....so today i was a seller against that...the point really is to always look at the levels from prior days that are broken through when we have buying and selling tails and classic single prints.....


sometimes tails are big so leaning on the breakout or breakdown points is always preferred.

oh yeah and nice call by Paul and APK yesterday on the 53 area.....hope I didn't miss anyone....right now I think we need to see that 60 - 61 afternoon high from yesterday hold in order for that double IB high to get run out...just pointing it out and not trading now..good luck if you like initiating inside the IB....I think this would be the place to try the long if you like the IB trades

fed minutes also increases the risk of the market doing nothing so this "inside the IB " trade would bring more risk and require more patience than normal