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Add to that, that the futures market seems more efficient at diminishing the
gains from gaps. Just an observation.
Regarding methodology - I'd feel more comfortable with an analysis that
looked at either stock futures, or the ETF's (the SPY's have a fairly long
history). The problem with looking at indices is they aren't actually
tradeable, and they're often "theoretical" in terms of prices reached. The
analysis may also hinge on the definition of "gap". For example, I looked at
a "fade the open" strategy once which simply went the other direction from
the difference between the open and close - not a true gap where the low
would be above the previous close, or the high below the previous close. It
worked fairly often, but not enough to gain confidence that it was more than
a statistical quirk.
-----Original Message-----
From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
Sent: Wednesday, July 17, 2002 3:57 PM
To: realtraders@xxxxxxxxxxxxxxx
Subject: RE: [RT] Gap behavior
This would explain why Toby Crabel's "opening range breakout" system....
never worked.
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