05/10/2015 Market Outlook (About Filling the Gap)


This is a special edition as I saw people talking about 80% chances the Friday’s gap would be filled. So I did my own research again. Frankly, initially I was disdainful of the idea of counting the gap fill as since the year 2009 bull market we had way too many unfilled gaps so I’ve long given up betting on filling the gap.

 

The first chart below shows about 90% chances since the year 2009 bull market that SPY high to low gap would be filled. Sounds good, but the problem is sometimes it takes a year to fill the gap therefore the idea is not tradable. We’ll need know on average how long it takes to fill a gap and what the max draw down would be. The chart is very large, you may need click twice to see the original size.

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To write a program to get the average times needed to fill the gap is a little bit complicated, so the chart below simplified the research. Only counts today’s low is 0.6%+ higher than the yesterday’s high kind of gap like what happened on Friday (05/08), also if the gap took months to fill, then count it as unfilled because in reality trading, you’d long given up. The results, well, 75% chances the 05/08 gap would be filled within short period of time, see chart below for more details. The chart is very large, you may need click twice to see the original size.

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Hope the above research helps.


CHINESE TRANSLATION

 

今天额外增加一版报告是因为我看见有同学讨论说有80%的机会周五的gap会补,所以我就研究了一下。老实说,最说我是很不以为然的,到现在还在讨论补gap,有没有搞错?自2009年大牛市以来,已经有数不清的gap没有补了,所以我早就不再把gap当回事了。

 

下面第一幅图是说自2009年大牛市以来,90%的SPY high to low gap最终都被补了。不过问题是,有时候要一年多才回来补gap,因此这个90%没有操作的意义。我们需要知道平均多久可以补一个 gap,以及在补 gap前,SPY还能涨多少。图很大,需要点击两次才能看原图大小。

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由于写一个程序去计算平均多久补一个gap稍微有一点点复杂,所以下面的图把问题简化一下。只数今天的low比昨天的high高0.6%+的gap,也就是类似周五(05/08)的那个gap。此外,凡是需要个把月才能补的gap都算作是没有补,这个应该符合逻辑,因为你多半不会等那么久。这样算下来,大约有75%的机会,周五的那个gap在短时间内会被补掉,详见下图的解释。图很大,需要点击两次才能看原图大小。

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希望以上的研究对大家有些帮助。

3 Comments on "05/10/2015 Market Outlook (About Filling the Gap)"
  1. Comment left on:
    May 9, 2015 at 7:22 pm
    HeadNShoulder says:

    所谓的短时间,是多久呢?比如1星期到1个月?还是1天道3个月内?请指教

    • Comment left on:
      May 9, 2015 at 10:07 pm
      Cobra says:

      Mostly just couple of days, a few cases, it may take a few weeks.

      • Comment left on:
        May 10, 2015 at 2:49 pm
        HeadNShoulder says:

        Thanks alot, handy.

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