"Gaps" Posts

Master Emini S&P Gap Trading Techniques

By Lawrence

There are all sorts of myths and wrong understandings about the Emini S&P gaps being spread everywhere in the trading world. Without careful study of the gaps, many traders choose to use simple trading strategies to capture these gaps. This brutal force approach not only wastes the information provided by the gaps, it also often […]

Understanding Emini S&P Gaps

By Lawrence

Emini S&P trades almost 24 hours a day, 5 days a week but it is separated into two trading sessions. The session Regular Trading Hours (RTH) is linked to the normal business hours for which the US stock market is open. This is similar to the usual 9 to 5 business hours with the closing […]

Proper Introduction To Gap Fill Play On Emini S&P

By Lawrence

This is an introduction to trading the gap fill strategies popularized by many gurus. Although I trade the strategies quite extensively myself, I do not do it like most others because I have a very different take on the gap behaviour comparing to most traders who trade the indices exclusively. A proper introduction to the […]

Betting On The Gaps Themselves

By Lawrence
ES Daily Range_20130509_214428

Many people are fixated on the idea of long term "investment" while others would like to explore for better return day trading. Here is an interesting chart with net gains from several trading strategies. You may be surprised by the results. The results above is summarized in the following table for your convenience. Long Only […]

Musing With Yearly Accumulated Gap

By Lawrence
ES Gap Report_20130430_232021

Following is a table of accumulated gap value organized by year. Total column shows the accumulated value where you buy the day close and sell at next open. Down close column shows the accumulated value if you only buy on a down day. i.e. 4 pm close less than previous trading day 4 pm close […]

Double Gap Statistics

By Lawrence
Emini SP Double Gap Statistics

Gaps not filled the same day is a rare event in Emini S&P. It happens less than 4% of the time. Whenever it happens though, it produces a very consistent bias for the next trading day that is exploitable. If you do not know what gaps are, please read about it in Outside Gap Behaviour, […]

Inside Gap Behaviour

By Lawrence

This is the second instalment on emini S&P gap behaviour. The first one is Outside Gap Behaviour, Now and Then. Inside gaps are gaps that do not have the open price printed outside of the previous trading day range. Fashioned in the same style as the table presented in the outside gap article, here is […]

Outside Gap Behaviour, Then and Now

By Lawrence

Many traders who daytrade emini S&P probably are familiar with the gap fill bias. What I am going to show here is how a particular type of gap fill, outside gap, has changed over time. Gaps are created when a market open at a price different from the close of the previous session. Outside gaps […]