Let’s take a quick look at the base statistics for overnight gaps and fills for the month of February.

I used the DIA (Dow Jones ETF) for the basis of the study, though the SPY gives near identical results in terms of percentages.

Of the 20 trading days in the month of February, 2008, an astounding 15 days had some sort of overnight gap, meaning that 75% of trading days in February experienced an overnight gap in the stock market.

Of these 15 days with a gap, 8 gaps filled by the close of the day, and 7 gaps remained unfilled by the close of the trading day.

Thus, the classic gap-fade strategy (entering to trade against the gap) held a slight edge over trading in the direction of the gap from a percentage basis, 53% successful to 47% failure.

Your actual profit for this strategy would be dependent on your type of stop-loss method and position sizing strategy you use.

Here is a quick summary of the data:

Of the 20 total trading days in February, 15 resulted in an overnight gap.

8 (53%) of these trading days filled the gap, while 7 (47%) did not.

See my earlier post on Gap Fade Statistics for January, where 65% (13 of 20) of trading days resulted in a gap, and of these 13, 9 (70%) of the gaps filled the same day and 4 (30%) did not.

For trivia’s sake, 28 of the last 41 trading days (68%) have resulted in overnight gaps, and 17 of those 28 have filled, meaning that 60% of this year’s gaps have filled by the close.