Sunday, February 8, 2009

Friday 02/06/09 - Gap and Go!

Not surprised at the gap and go since gaps were filled in the previous 4 days (Monday-Thursday), and statistically, gaps fill 70-75% of the time, so I was anticipating a gap and go day. There was also an open gap at 870, which, more or less, was filled on Friday. And we now have an open gap to the down side at 840.25.

Gap and Go, Gap Unfilled

So, the question is, how can we identify gap and go days, and gap fill days? Lets compare today's price action to Wednesday's price action. Open the ES/TICK (3-min) chart posted below and compare it to Wednesday's ES/TICK (3-min) chart. You should notice something VERY obvious. Today, the TICK was above the zero line for a vast majority of the day, where as on Wednesday, price gapped up and the TICK started above the zero line, but almost immediately started trending lower. Today, the TICK bounced up off the zero-line, where as on Wednesday, the TICK was below the zero-line and we saw zero-line rejects. I think a trader can make a nice living by just having knowledge of Gaps and knowing how to use the TICK. On Wednesday, price also fell below the mid-point, whereas on Friday, price remained above the mid-point of the market. Is this Golden? Post your thoughts in the comments!

ES/TICK (3-min)

ES Market Balance (5-min Continuous Contract)

ES Market Balance (5-min Day Session Only)

TF Market Balance (5-min Day Session Only)

TF/TICK (3-min)


  1. Interesting observation!

    Have you looked at this historically at all?

  2. No, haven't looked at it historically. I'm a big fan of forward testing :D


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