In my experience there will not be enough volume at the gap open price for most of these fills. A significant portion of the largest gaps down traded when a thin order book on the buy side coincides with a naive market price sell order, so there may be only one trade marking the gap. I tried a related strategy a few years ago and learned…
In my experience there will not be enough volume at the gap open price for most of these fills. A significant portion of the largest gaps down traded when a thin order book on the buy side coincides with a naive market price sell order, so there may be only one trade marking the gap. I tried a related strategy a few years ago and learned this the hard way. It is more pronounced trading lower volume tickers, but persists even at the S&P 500 level.
In any case, I’m collecting trade by trade data for every stock in the S&P500 to compute exactly how much volume % is traded at or below the open price for each symbol. I wasn’t planning on writing about it because it is too much detail. But I can share it with you, just let me know if you are interested. Cheers!
Thanks for your perspective. That’s why I mentioned the results are totally dependent on the execution algorithm each one uses and the account size. I’m forward testing my algorithm, so far so good. If the results continue as good as I’m seeing so far, I’ll start live trading it pretty soon. Then we will have an answer if my particular implementation works. Cheers!
In my experience there will not be enough volume at the gap open price for most of these fills. A significant portion of the largest gaps down traded when a thin order book on the buy side coincides with a naive market price sell order, so there may be only one trade marking the gap. I tried a related strategy a few years ago and learned this the hard way. It is more pronounced trading lower volume tickers, but persists even at the S&P 500 level.
In any case, I’m collecting trade by trade data for every stock in the S&P500 to compute exactly how much volume % is traded at or below the open price for each symbol. I wasn’t planning on writing about it because it is too much detail. But I can share it with you, just let me know if you are interested. Cheers!
Thanks for your perspective. That’s why I mentioned the results are totally dependent on the execution algorithm each one uses and the account size. I’m forward testing my algorithm, so far so good. If the results continue as good as I’m seeing so far, I’ll start live trading it pretty soon. Then we will have an answer if my particular implementation works. Cheers!