Gap Fade Statistics for June

Jul 4, 2008: 10:03 AM CST

Did the “gap fade” technique deliver edge as usual in the month of June for the Dow Jones Index ETF the DIA Diamonds?

Each month I compile the number of trading days in the DIA that had an overnight gap of at least $0.20 (20 Dow Points) and calculate how many of those gaps filled throughout the same trading day, in an attempt to discover and calculate the edge in the classic “Fade the Gap” (trade against the gap as the morning play) strategy.

For the month of June, there were 17 gaps (of 22 trading days) for a huge percentage of 77% of the trading days resulted in an overnight gap of at least $0.20.

Of these 17 gaps, 10 morning gaps filled intraday, giving the gap fade strategy an ‘edge’ of 58.82%.

Looking deeper:

There were 9 “Up” gaps (despite the downward pressure in June) and 7 of these up-gaps filled for a percentage of 77.27%.

There were 8 “Down” gaps for the month, and only 3 such gaps filled for a percentage of 37.5%.

June showed clear and almost relentless downside pressure as evidenced in the gap-fade study.

Additional Trivia:

There were 8 gaps (6 up gaps; 2 down gaps) greater than $0.50 (50 Dow Points) and 4 of these gaps filled for a percentage of 50%.

Only one day opened with a gap greater than $1.00 (100 Dow points) and it did not fill (6/20/08).

Prior Months’ Gap Fade Statistics Reports:

January Gap Fade Statistics
February Gap Fade Statistics
March Gap Fade Statistics
April Gap Fade Statistics
May Gap Fade Statistics

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