RE: [RT] Gap behavior

["M. Simms" <prosys@xxxxxxxxxxxxxxxx>]

This would 
explain why Toby Crabel's "opening range breakout" 
system....
never 
worked.
 
<BLOCKQUOTE 
style="PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #0000ff 2px solid">
  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Clyde Lee 
  [mailto:clydelee@xxxxxxxxxx]Sent: Wednesday, July 17, 2002 1:59 
  PMTo: Realtraders@xxxxxxxxxxxxxxxCc: 
  MedianLine@xxxxxxxxxxxxxxxSubject: [RT] Gap 
  behavior
  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
  - - - - - - - - - - - - - - - - - - - - -  - 
  - - - - - -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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