Gap Fade Stats for December 08

Jan 15, 2009: 3:10 PM CST

It’s time again to look at the simple Gap-Fade statistics for the month of December 2008!  Let’s compare gaps on the DIA (Dow Jones ETF).

First, the graph, showing the trigger size for a ‘gap’ at $0.30 (roughly 30 Dow Points):

Of the 21 trading days in December, 19 showed some sort of overnight gap, and of those, 15 gaps filled, giving us perhaps a record ‘monthly fill percentage’ at 79%.

Every single “Down” Gap (n=7) filled in December, while 8 of 12 “Up” gaps filled.

The average Up-Gap was a large $0.81 while the average Down-Gap was a staggering $1.29.

Let’s adjust our threshold for a gap to $1.00, which is generally considered a ‘large scale’ gap.

In terms of days with an overnight gap greater than $1.00, December was a good month – from a percentage basis – for gap-faders (though this analysis does not take into consideration any stop-loss strategy).  What I’m testing is whether price at any time during the day equaled yesterday’s close after a gap that met a certain threshold.

There were 7 trading days that had a gap of at least $1.00, and 5 of these gaps filled, giving us a ‘large-scale’ gap fill percentage of 71.4%, which is as large as I’ve seen that percentage for any month I’ve analyzed so far.

Again, every single down-gap was filled while zero up-gaps were filled which is interesting.

I’ll soon be posting a similar analysis for all of 2008 using different metrics – it should be quite interesting given all the volatility of 2008.

To see the results from all months in 2008, view the following posts:

January Gap Fade Statistics
February Gap Fade Statistics
March Gap Fade Statistics
April Gap Fade Statistics
May Gap Fade Statistics
June Gap Fade Statistics
July Gap Fade Statistics
August Gap Fade Statistics
September Gap Fade Statistics
October Gap Fade Statistics

November Gap Fade Statistics

Corey Rosenbloom
Afraid to Trade.com

6 Comments

6 Responses to “Gap Fade Stats for December 08”

  1. Anonymous Says:

    hey corey, I was wondering if you got my e mail about getting mentored. Please let me know what you think.

  2. Anonymous Says:

    Eddie B in southern California.

  3. Gawed Says:

    dude, you made a little mistake in the article saying:
    “Every single “Down” Gap (n=7) filled in December, while 4 of 8 “Up” gaps filled.” i think you meant “while 4 of 12 “up” gaps…”
    i also think the spreadsheet would be clearer if the first column of up and down gaps would be the total column and to the right the Filled and Unfilled columns.
    just a suggestion. thanks as usual for the analysis.

  4. Gawed Says:

    correction to my own post LOL “while 8 of 12 “up” gaps filled” hehehe sorry

  5. Corey Rosenbloom Says:

    Eddie,

    I did and am so happy to hear from you! I’m putting together a packet for you – I usually wait until the market close to prepare those.

    I look forward to seeing how I may be of assistance!

  6. Corey Rosenbloom Says:

    Gawed,

    Thank you for catching that! I went ahead and made the correction. I probably need to clean up and formalize the graph.

    I’ll try to make it more readable – it’s actually a lengthy spreadsheet to get the data I need but I can make the results table more visually appealing.