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Walter:
I've read similar gap statistics on other markets. The Microsoft gap-down
results are not consistent with what I've read, but that might be the result
of the overall bull market, or perhaps a Microsoft peculiarity.
I think gaps are tradable, but some securities have a mind of their own.
For example, Crude Oil gapped down 3% at the open yesterday, but closed up
1.2% on the day.
----- Original Message -----
From: Walter Lake <wlake@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: December 9, 1999 05:01
Subject: Re: Gann Swings and Intraday Trading
> Thanks Bruce for your Post to the List
>
> Has anybody used the following Metastock gap formulas from the Jon DeBry
> site?
> http://www.debry.com/MetaStock/gap_study.htm
>
> Best regards
>
> Walter
>
> =======================
>
> Gap Study - Microsoft
> By Jon DeBry,
> Last Update: 1:00 PM MT Feb 23, 1999
>
> What are the odds that if Microsoft gaps up in the morning, it will close
> even higher? How likely is it that it will return to the previous day's
> price?
>
> The following study examines gap openings in Microsoft from February 27,
> 1993 to February 22, 1999. The MetaStock formulas for conducting the tests
> are included below.
>
> Gaps
>
> Results showed that a 1-3% gap up showed an above-average occurrence of
the
> stock closing even higher - if Microsoft gapped up between 1 and 2%, it
> closed equal to or above the open 62% of the time. If Microsoft gapped up
> between 2 and 3%, the percentage improved to 72%. There were 13 gaps of
> greater than 3%, 8 of which closed even or higher. Compare these results
to
> the percent of the time that the close was greater than or equal to the
open
> on any day, which was 53%.
>
> On the other hand, gaps down didn't show nearly as much follow through -
> when Microsoft gapped down 1 to 2%, the close was lower than the open only
> 43% of the time, and when it gapped down 2 to 3%, the percentage dropped
to
> 33%.
>
> Ranges
>
> If Microsoft gapped up, did it return to the previous close, as
conventional
> wisdom sometimes suggests? As it turns out, a 1-2% gap up returned to the
> previous close 41% of the time, a 2-3% gap returned 12% of the time, and a
> 3+% gap returned 13% of the time.
>
> Conversely, a 1-2% gap down will return to the previous close 58% of the
> time, a 2-3% gap down 29% of the time, and a 3+% gap down 23% of the time.
>
> The following day
>
> How often did the opening price the day after a gap show a follow through?
> For a 1-2% gap up, 63% of the time, for 2-3%, 60% of the time, for 3+%,
38%
> of the time.
>
> Conclusion
>
> Microsoft's sweet spot seems to be a 2-3% gap up, which showed a
> continuation of the trend 72% of the time. Also, if you bought on any
> sell-offs, you showed a profit at the end of the day the majority of the
> time, especially on large down gaps. Please note that Microsoft has been
a
> very strong stock over the 6 year period, and other stocks may not act the
> same way, as Microsoft may not act the same way in the future. Readers
are
> encouraged to do their own research before making any decisions.
>
> Formulas
>
> The MetaStock formulas to calculate these percentages are shown below. The
> first input is the minimum gap (e.g., 1%), and the second input is the gap
> increment (e.g., 1%, which would give you a range of 1-2%). To calculate
> gaps down, change the percentage to a negative.
>
> Formula to determine whether the closing price is equal to or exceeds the
> opening price on a gap day:
>
> MinGap := Input("Minimum gap to consider (%)",-10000,10000,1);
> GapIncrement := Input("Gap Increment (%)",0,100,1);
>
> LookingForGapUp := MinGap >= 0; LookingForGapDown := MinGap < 0;
>
> { Gap percentage }
> Gap := (OPEN - Ref(CLOSE,-1))/Ref(CLOSE,-1)*100;
>
> NumGaps := If(LookingForGapUp, Cum(Gap >= MinGap AND Gap < MinGap +
> GapIncrement), If(LookingForGapDown, Cum(Gap <= MinGap AND Gap > MinGap -
> GapIncrement),0));
>
> If(LookingForGapUp, Cum(If(Gap >= MinGap AND Gap < MinGap + GapIncrement,
> If(CLOSE >= OPEN, +1,0),0)),
>
> If(LookingForGapDown, Cum(If(Gap <= MinGap AND Gap > MinGap -
GapIncrement,
> If(CLOSE <= OPEN, +1, 0),0)), 0))/NumGaps*100;
>
> Formula to determine whether the daily range crosses the previous day's
> close on a gap day:
>
> MinGap := Input("Minimum gap to consider (%)",-10000,10000,1);
> GapIncrement := Input("Gap Increment (%)",0,100,1);
>
> LookingForGapUp := MinGap >= 0; LookingForGapDown := MinGap < 0;
>
> { Gap percentage }
> Gap := (OPEN - Ref(CLOSE,-1))/Ref(CLOSE,-1)*100;
>
> NumGaps := If(LookingForGapUp, Cum(Gap >= MinGap AND Gap < MinGap +
> GapIncrement), If(LookingForGapDown, Cum(Gap <= MinGap AND Gap > MinGap -
> GapIncrement),0));
>
> If(LookingForGapUp, Cum(If(Gap >= MinGap AND Gap < MinGap + GapIncrement,
> If(LOW <= Ref(CLOSE,-1), +1,0),0)),
>
> If(LookingForGapDown, Cum(If(Gap <= MinGap AND Gap > MinGap -
GapIncrement,
> If(HIGH >= Ref(CLOSE,-1), +1, 0),0)), 0))/NumGaps*100;
>
> Formula to determine whether the following day's open continues the gap
> trend:
>
> MinGap := Input("Minimum gap to consider (%)",-10000,10000,1);
> GapIncrement := Input("Gap Increment (%)",0,100,1);
>
> LookingForGapUp := MinGap >= 0; LookingForGapDown := MinGap < 0;
>
> GapYesterday := (Ref(OPEN,-1) - Ref(CLOSE,-2))/Ref(CLOSE,-2)*100;
>
> NumGapsthruYesterday := If(LookingForGapUp, Cum(GapYesterday >= MinGap AND
> GapYesterday < MinGap + GapIncrement), If(LookingForGapDown,
> Cum(GapYesterday <= MinGap AND GapYesterday > MinGap - GapIncrement),0));
>
> If(LookingForGapUp, Cum(If(GapYesterday >= MinGap AND GapYesterday <
MinGap
> + GapIncrement, If(OPEN > Ref(CLOSE,-1), +1,0),0)),
>
> If(LookingForGapDown, Cum(If(GapYesterday <= MinGap AND GapYesterday >
> MinGap - GapIncrement, If(OPEN < Ref(CLOSE,-1), +1, 0),0)),
> 0))/NumGapsthruYesterday*100;
>
>
> --------------------------------------------------------------------------
--
> ----
>
> Jon DeBry is a former Equis programmer who now does MetaStock programming
> and consulting. If you'd like Jon to write a formula for you, or even do
a
> study similar to the one above, send mail to jdebry@xxxxxxxxxx
>
>
> ----- Original Message -----
> From: "Bruce K. Anderson" <bruceka@xxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Wednesday, December 08, 1999 5:58 PM
> Subject: Re: Gann Swings and Intraday Trading
>
>
> | Thanks for the Gannn Swings formulas from Guppytraders. They have a lot
> | more MetaStock formulas than just the one I was looking to program.
> |
> | Also, I followed many of the links on that site and found another
> | interesting link, http://www.debry.com/software_tools_and_services.htm
> which
> | has more MetaStock formulas and Trading systems.
> |
> | Thanks for your effort - Bruce
> |
> | >Subject: Gann Swings and Intraday Trading
> |
> |
> | > I recall someone asking a while ago if anyone had written the
MetaStock
> | code
> | > for the Oct99 TASC article "Gann Swings and Intraday Trading."
> | >
> | > I was poking around Daryl Guppy's site today and came across Adam
> Hefner's
> | > HiLo, Swing and Trend indicators and expert. You can find the code at
> | > http://www.nt-tech.com.au/guppy/gup96.htm
> | >
> | > Looks like a lot of thought went into it. Adam deserves yet another
pat
> | on
> | > the back.
> | >
> |
>
|