Gaps Test

[N57H 10]

Hi,

 

I'm trying to create a log file that will check the number of filled gaps and non filed gaps. The gap as % from yesterday range.

 

If anyone can help me with the code, it will be great.

 

The rational of this method is from Dr. steenberger blog

 

" Do Opening Gaps Tend to Fill?

The difference between the market's opening price and its previous day's close forms a gap on a bar chart. Does this gap tend to fill in during the next day's price action? That is, when we open with a gap lower or higher, do prices subsequently move back to the prior day's close?

 

For this investigation, I measured gaps as a function of the previous day's high-low range. This measures the gap relative to the prior day's volatility. Thus, an opening gap of two points that follows a day with a range of six points is measured as a 33% gap. The same opening gap of two points that follows a day with a range of ten points is measured as a 20% gap.

 

Assessed in this manner, we find that the average opening gap is 27% of the previous day's range going back to May, 2003 (N = 897 trading days) in the S&P 500 Index (SPY). That provides us with a benchmark for defining relatively large and relatively small gaps.

 

When upside gaps exceed 40% of the prior day's range (N = 99), 46 of them fail to close during the day session. When downside gaps exceed 40% of the previous day's range (N = 81), 40 of them go unfilled. Bottom line: approximately half of all large opening gaps don't fill during that coming day's action."

 

 

 

// Gap Test

// version: beta 0.1

// author: noam

// Date: 20090721

// License: public use

//

// Description: This program screens the gap size as a % from yesterday range and check the % of filled gaps, non filled gaps as a function of the gap size.

 

 

input:

start.date(19620102);

 

var:

YesterdayRange (0),

gapsize (0);

 

YesterdayRange=high[1]-low[1]

GapSize= Topen-Yclose/YesterdayRange*100

 

 

 

 

if date > start.date - 19000000 then

begin

 

if then

print(numtostr(date+19000000,0) + " gap filled=" + NumToStr(r3,2));

 

 

 

end;