3 Days of Unfilled Gaps in the ES
3 Day Unclosed Gap Study
This article was written on 17 June 2007, a Sunday. During the previous week, the E-mini S&P 500 (the ES) had 3 back-to-back unclosed gap days on Wednesday, Thursday, and Friday, (13 June 2007 to 15 June 2007 inclusive).
The questions that everyone wants answered are:
- Has this happened before?
- If so, what did the market do on the fourth day?
To answer these questions I pulled RTH (Regular Trading Hours) data out of my data base of prices since the ES start trading which dates back to 2 April 1998. The closing price that I used for each day was the last traded price and not the settlement price. RTH is from 9:30am to 4:15pm ET.
My first look through the data showed me that we have had 40 runs where there have been 3 unfilled gaps in a row and 9 times there have been 4 unfilled gaps in a row. When I started looking at the data I realized that many of the patterns were not like the recent one that we had just seen which was a continuously up pattern of a micro-bull phase. Many of these gaps included both up and down gaps in the 3 or 4 unfilled gap run.
Only unfilled gaps in an up pattern
Because I am only interested in finding out what might happen on the fourth day in this particular pattern (the up/bull pattern) I filtered out all unfilled gap patterns except those where the gaps were above the previous session’s close. This reduced the number of 3 unfilled gap runs to 5, including the run from last week. There were no up-runs of 4 or more.
Here are the dates of the third day:
- 27-Nov-2000 (includes a Thanksgiving Day)
- 1-Nov-2005 (includes a Fed Day)
I’ve created 4 charts to show you the ranges above including a couple of days before and after where appropriate.
29-Oct-1999 & 5-Nov-1999
This chart covers both of these runs as they were so close together. In my opinion, the 3 day unclosed gap run that most closely matches the current (15-June-2007) gap run is the first pattern on this chart. The second pattern, although the gaps are all up-gaps, the days had their closes below their opens.
27-Nov-2000 (includes a Thanksgiving Day)
Because this pattern happened with Thanksgiving Day right in the middle of it I do not believe that it is reliable to use this pattern because of the low volume distortion crated by Thanksgiving Day.
1-Nov-2005 (includes a Fed Day)
This pattern is probably the second best match to the current (15-June-2007) gap run but the third candle from the right on this chart is an FOMC Fed Day which needs to be considered.
15-Jun-2007 (most recent pattern)
This is the current 3 unclosed gap run (at the time of writing this).
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