Some statistics regarding SPY gap opening > 2.5%

bucks

Today the market openned lower by as much as -2.65%, which is significant and not a common event. In last 4000 trading days, a gap opening larger than 2.5% (up or down) only occurred 42 times.

17 gaps of 42 got filled intraday, while the rest 25 were not.

However, within 3 following days, the # of unfilled gap dropped down to 17

5 days, down to 11

10 days, down to 10

30 days, down to 7

100 days, down to 4

500 days, down to 2   ----------->  (remain unfilled, 03/23/2009, 04/09/2009)

Therefore, this kind of gap tends to be not filled intraday, but more than half of them will be filled within 5 trading days. After which, the rate of gap-filling slows down.

Unfortunately, due to the p-bar today (by Yahoo/Stockcharts data), the gap has indeed been filled today.So I have no good idea how to interpret today's gap within the above mentioned statistics.

Just some research to share. The ongoing price action is way more important

Add a chart below to help visually spot where these big gaps were.

silkway

silkway

bucks 发表于 2011-8-18 22:46
Today the market openned lower by as much as -2.65%, which is significant and not a common event. In ...

Thanks for sharing.   My question: Does P-BAR count as filled gap?

Diver

lilitulip

thanks a lot

bucks

回复 silkway 的帖子

I prefer to not count p-bar as a gap-filling action, but I didn't back-test other cases.

In fact, at the beginning I didn't realize this p-bar thing and thought the gap was unfilled. So my impression was that there is a good chance that this gap will be filled within next 5 days.

silkway

bucks 发表于 2011-8-18 23:25
回复 silkway 的帖子

I prefer to not count p-bar as a gap-filling action, but I didn't back-test oth ...

nasd

the gap has indeed been filled today

mayoutu

suancai

n748

回复 silkway 的帖子

what happened to those cases where gap was not filled in a week? That's something good to know.

Even though it eventually filled after 100 days. It's still important to know what happened in 100 days. a much deeper drop before it came back?

bucks

回复 n748 的帖子

I added a chart to help you locate where those gaps are.

there are only 2 this kind of big gaps that remain unfilled (03/23/2009, 04/09/2009). Will we go there? hopefully NOT

vanbj

coexist

n748

回复 bucks 的帖子

Thanks.

Hopefully those two will not be filled soon.

maybe it will eventually be filled anyway.

shoujie

Hum, self-comfort and good luck

Fan8an

bucks

回复 shoujie 的帖子

Not self-comfort, just statistical facts. Indeed now it does point to a bearish direction to close the 2 unfilled gaps created in 2009. Now I have a conspiracy theory for the p-bar yesterday since it has technically closed the gap, which is actually bad for bulls. Let's wait and see how the market unfolds ahead

silkway

bucks 发表于 2011-8-19 23:58
回复 shoujie 的帖子

Not self-comfort, just statistical facts. Indeed now it does point to a bearish ...

Agree.  Thanks.