The Number Of Overnight Gaps Filled Intraday For The Dow Jones In August
By Corey Rosenbloom on September 8, 2008 | More Posts By Corey Rosenbloom | Author's Website
Wow - August was another month with a high percentage of overnight gaps, but let’s see how many of these overnight gaps in the Dow Jones (^DJI) were filled intraday.
I define a gap as being an open that is at least $0.20 different than yesterday’s close and use Excel for the statistics.
There were 21 trading days in August, and 17 of these (81%) showed an overnight gap of at least $0.20 in the DIA.
Of these 17 gaps, 8 gaps filled, giving us the first under 50% month this year, with 47.06% of overnight gaps filling intraday.
There were 7 up-gaps, and 4 of these filled (57.14%).
There were 10 down-gaps, and only 4 of these filled (40.00%).
Despite the daily chop, there was not one gap greater than $1.00 (there was a gap of $0.98 on August 5th which did not fill).
The following print-out shows the DIA gap fill statistics for August:
I’m including the “year to date” numbers from January 1st until August 31st 2008 in the DIA (of gaps greater than $0.20):
As you see from the table below, 77% of days have opened with a gap at least $0.20, and 62.50% of these gaps have filled. The table shows the whole picture so far:
Up gaps have been more likely to fill than down gaps this year, and almost 3 out of 4 up gaps have filled, while 1 out of 2 down gaps have filled.
2008 has been a generous year so far for the gap-fade strategy. Will it continue?
Check out these prior gap fade statistics months:
January
February
March
April
May
June
July
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