Discussion of article "Gap - a profitable strategy or 50/50?"
It is not clear from the article whether the statement "Gaps always overlap" is true, in my opinion it is interesting to collect statistics on the time it takes to close a gap and to see the distribution to understand how long a gap should be taken into account. For example, if the gap was not closed in 10 bars, then you can not expect the gap to be closed in the near future - it will be closed in 10-100 bars with a uniform distribution. Personally, I use gaps on minute candlesticks when trading futures and according to my observations gaps are a good reference point for determining the price movement target, while I take into account gaps for the last 5000 bars.
Itis clear to those who read the article. It is all the more clear to those who will test it. This is also a test for those who "just looked at the pictures" :)
Conclusion
While researching several securities markets, I saw that after a gap the probability of continuation of the movement and the probability of reversal is close to 50%, i.e. catching a gap is 50/50. But at the same time, there are securities that have probabilities much higher than 65% (and it can be both the probability of continuation and the probability of reversal). And it is in these securities that you can rely on gap trading.
Itis clear to those who read the article. All the more clear to those who will test it. It is also a test for those who "just looked at the pictures" :)
Conclusion
While researching several securities markets, I saw that after a gap the probability of continuation of the movement and the probability of reversal is close to 50%, i.e. catching a gap is 50/50. But at the same time, there are securities that have probabilities much higher than 65% (and it can be both the probability of continuation and the probability of reversal). And it is in these securities that you can rely on gap trading.
How does this echo what I wrote above? I'm not talking about overlapping immediately on the next bar, but overlapping in general.
To quote your method, which is different from mine:
"A confirmed gap means that the daily bar closed in the direction of the gap, while an unconfirmed gap means when the daily bar closed in the direction opposite to the gap:"
How does this echo what I wrote above? I'm not talking about overlapping immediately on the next bar, I'm talking about overlapping in general.
I quote your method, which is different from mine:
"A confirmed gap means that the daily bar closed in the direction of the gap, while an unconfirmed gap means when the daily bar closed in the direction opposite to the gap:"
This article is specifically about gathering statistics on where a daily bar that opened with a gap will close.
If you need statistics of movement after a gap on several bars - then everyone can modify the code to suit their needs.
This article is exactly about collecting statistics on where the daily bar that was opened with a gap will close.
If you need statistics of movement after the gap on several bars, then everyone can modify the code to suit their needs.
Everything is clear about the article, I am not criticising it, I am only saying that it does not give a definitive answer to the above statement.
For example, it is not easy for me to supplement your code to get a more detailed picture, that's why I informed you that this information is missing, hoping that you will agree with me and supplement your work with a code that will give a final answer about gaps.
It's clear about the article, I'm not criticising it, I'm just saying that it doesn't give a definitive answer to the above statement.
For example, it is not easy for me to supplement your code to get a more detailed picture, that's why I said that I lacked this information, hoping that you would agree with me and supplement your work with a code that would give a definitive answer about gaps.
I wrote an article based on stocks - and every day there is a gap. Therefore, I don't see any practical sense in finding a gap and then waiting for a few bars, as there may be a few more gaps in those few bars.
As such uncovered gaps may be of interest, from my observations - resistance/support levels are formed there - I observe them on USDRUB_TOM.
As such uncovered gaps may be of interest, from my observations - resistance/support levels are formed there - I observe them on USDRUB_TOM.
I don't have such a symbol, so I can't help in this case.
I don't have such a symbol, so I can't help you in this case.
It is a pity that you are not interested in the Moscow Exchange.
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New article Gap - a profitable strategy or 50/50? has been published:
The article dwells on gaps — significant differences between a close price of a previous timeframe and an open price of the next one, as well as on forecasting a daily bar direction. Applying the GetOpenFileName function by the system DLL is considered as well.
Here we will deal with checking D1 gaps on stock markets. How often does the market continue to move in the direction of a gap? Does the market reverse after a gap? I will try to answer these questions in the article, while custom CGraphic graphs will be used to visualize the results. Symbol files are selected using the system GetOpenFileName DLL function.
Fig. 6. Getting gap statistics CGraphic.mq5 script operation result
When analyzing several securities markets, I saw that after a gap, the probabilities of a continued movement and a reversal are close to 50%, which means trying to catch a gap has the 50/50 success rate. At the same time, there are securities with the probabilities (of both continuation and reversal) considerably higher than 65%. These securities can be used to trade gaps.
Author: Vladimir Karputov