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.


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.


Hope the above research helps.





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。





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:


    • 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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