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With the big gap this morning I decided to
look at the behavior
of prices (on a daily basis) after
gaps.
I used the SP cash index from 1942 until
now. That was the
earliest that I had data with O/h/l/c
data.
There were a total of 619 gaps over this
period (only about 7
per year on average)
I looked to see, for down gaps where the
low price was for the
gap day and 3 days after the gap relative
to the opening price
on the gap day.
I looked to see, for up gaps where
the high price was for the
gap day and 3 days after the gap relative
to the opening price
on the gap day.
Looking at the averages however, it would
appear that for a
quick buck the best trade is in the opposite direction of the
gap!!!!! On average just over 1% of price.
<FONT
face="Courier New" size=2>
Averages on Gaps for SP Cash
1942-2002
Direction Number Gap%
H0% L0% H1% L1% H2%
L2% H3% L3% Up
Gap 229 -0.28 0.84 -1.11
0.65 -1.14 0.67 -1.08 0.69 -1.05 Down
Gap 390 0.17 0.89 -0.60
1.06 -0.33 1.07 -0.38 1.07 -0.37
Counts on Gaps for SP Cash 1942-2002
Down Gap=Gap open to low of given
dayUp Gap =Gap open to high of given day
Gap Day Gap
Day+1 Gap Day+2 Gap Day+3
<o >o <o
>o <o
>o <o
>o -211 0 -188
41 -169 60
-159 69 0 379
-72 318 -89
301 -105 285
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- - - - -Clyde Lee
Chairman/CEO (Home of
SwingMachine)SYTECH
Corporation email: <A
href="mailto:clydelee@xxxxxxxxxxxx";>clydelee@xxxxxxxxxxxx 7910
Westglen, Suite 105
Office: (713) 783-9540Houston, TX
77063
Fax: (713) 783-1092Details
at:
www.theswingmachine.com- - - -
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