Gap Fill Presentation
A self-contained presentation arguing that the gap-fill folklore is empirically supported but not easily tradeable with a naive fade strategy.
Position
The folklore is directionally real, but this naive implementation is not a good strategy.
Across the selected universe, strict gaps often trade back through the prior range over longer horizons. But the actual fade trade still loses money and posts a weak -0.412 trade Sharpe.
- The 60-day fill rate is 78.44%.
- The baseline trade returns average -0.620% with 1.506% volatility per event.
- Winners average 3.901% while losers average -0.834%.
Position
Empirically yes, tradeably no
Universe
503 symbols
Date range
2016-04-19 to 2026-04-19
Gap events in study
38992
Trades
38992
60d fill rate
78.44%
Average return
-0.620%
Trade Sharpe
-0.412
Return stdev
1.506%
1. Hypothesis and setup
What exactly is being claimed?
A strict gap up means today's low is above yesterday's high. A strict gap down means today's high is below yesterday's low.
The empirical claim is that price later trades back through the prior bar extreme. The trading claim is stronger: you can monetize that tendency with a fade entry, a stop, and a time stop.
| Field | Value |
|---|---|
| Universe size | 503 |
| Date range | 2016-04-19 to 2026-04-19 |
| Gap definition | strict candle-range gap |
| Minimum gap threshold | 0.5 |
| Time stop | 5 |
| Stop multiple | 0.5 |
2. Empirical evidence: do gaps get filled?
Short answer
Yes, often enough to be interesting. The fill-rate study found 38992 qualifying gaps and shows the probability rising as you allow more time.
That means the folklore can be empirically true even before we ask whether a trader can capture it cleanly.
| Field | Value |
|---|---|
| 1d | 16.66 |
| 5d | 43.68 |
| 20d | 65.34 |
| 60d | 78.44 |
3. Trade result: why the strategy still fails
The gap between truth and tradability
The baseline fade strategy averages -0.620% per trade at -0.412 trade Sharpe.
The issue is not that fills never happen. The issue is that the path to the fill is noisy, slow, and expensive enough that a simple fade entry cannot turn the tendency into attractive risk-adjusted returns.
What drags Sharpe down
- Per-trade volatility is 1.506%, much larger than the mean return.
- Losers average -0.834% while winners average only 3.901%.
- 1170 trades hit the time stop before the fill target.
4. Charts
5. Cross-sectional breakdown
What the symbol breakdown suggests
If the edge were clean, you would expect at least a few symbols to stand out with meaningfully positive risk-adjusted returns. Instead, the weakness is fairly broad across the basket.
| symbol | trade_count | fill_rate_pct | win_rate_pct | avg_return_pct | median_return_pct | trade_sharpe | avg_gap_pct | avg_holding_bars |
|---|---|---|---|---|---|---|---|---|
| SW | 659 | 39.454 | 44.765 | 0.537 | 0.000 | 0.207 | 3.359 | 3.898 |
| KDP | 45 | 31.111 | 20.000 | 0.487 | -0.486 | 0.126 | 3.867 | 1.867 |
| GEN | 59 | 25.424 | 16.949 | 0.131 | -0.509 | 0.036 | 3.601 | 1.915 |
| BIIB | 56 | 37.500 | 21.429 | 0.104 | -0.470 | 0.039 | 4.106 | 2.071 |
| CSGP | 53 | 35.849 | 7.547 | 0.046 | -0.513 | 0.013 | 1.806 | 1.283 |
| ROST | 66 | 42.424 | 12.121 | 0.018 | -0.543 | 0.005 | 2.263 | 1.727 |
| MDLZ | 35 | 34.286 | 17.143 | -0.009 | -0.359 | -0.007 | 1.327 | 1.914 |
| TGT | 86 | 41.860 | 16.279 | -0.011 | -0.426 | -0.004 | 2.770 | 1.988 |
| ROL | 33 | 30.303 | 12.121 | -0.062 | -0.461 | -0.027 | 1.789 | 1.606 |
| CNC | 81 | 34.568 | 11.111 | -0.120 | -0.566 | -0.041 | 2.229 | 1.531 |
| GILD | 52 | 34.615 | 13.462 | -0.121 | -0.541 | -0.056 | 1.932 | 1.462 |
| LII | 52 | 46.154 | 5.769 | -0.125 | -0.414 | -0.065 | 1.231 | 1.250 |
| PFE | 54 | 25.926 | 7.407 | -0.135 | -0.397 | -0.070 | 1.431 | 1.481 |
| MKC | 31 | 32.258 | 16.129 | -0.145 | -0.345 | -0.094 | 1.856 | 1.742 |
| FFIV | 82 | 37.805 | 15.854 | -0.148 | -0.505 | -0.075 | 2.247 | 1.963 |
| A | 84 | 33.333 | 9.524 | -0.156 | -0.447 | -0.088 | 1.550 | 1.619 |
| KVUE | 9 | 33.333 | 33.333 | -0.157 | -0.509 | -0.091 | 3.483 | 2.222 |
| CVS | 83 | 30.120 | 10.843 | -0.181 | -0.481 | -0.080 | 2.098 | 1.578 |
| CRH | 370 | 55.405 | 17.568 | -0.197 | -0.425 | -0.152 | 1.434 | 1.705 |
| AMCR | 153 | 27.451 | 21.569 | -0.214 | -0.301 | -0.191 | 2.182 | 3.686 |
| LNT | 17 | 58.824 | 5.882 | -0.217 | -0.350 | -0.197 | 0.934 | 1.059 |
| EA | 49 | 28.571 | 10.204 | -0.230 | -0.457 | -0.091 | 2.305 | 1.551 |
| WDAY | 102 | 45.098 | 11.765 | -0.236 | -0.481 | -0.107 | 2.033 | 1.520 |
| GIS | 37 | 45.946 | 13.514 | -0.249 | -0.496 | -0.166 | 1.754 | 1.649 |
| PSA | 26 | 38.462 | 3.846 | -0.252 | -0.466 | -0.163 | 1.116 | 1.038 |
| PEP | 22 | 40.909 | 9.091 | -0.253 | -0.398 | -0.193 | 1.117 | 1.318 |
| RVTY | 71 | 46.479 | 4.225 | -0.270 | -0.437 | -0.165 | 1.402 | 1.197 |
| HRL | 32 | 50.000 | 12.500 | -0.271 | -0.454 | -0.165 | 2.088 | 1.531 |
| EVRG | 22 | 36.364 | 13.636 | -0.284 | -0.447 | -0.272 | 1.621 | 1.818 |
| COO | 48 | 41.667 | 8.333 | -0.285 | -0.528 | -0.123 | 1.932 | 1.375 |
| NWSA | 51 | 45.098 | 3.922 | -0.288 | -0.432 | -0.133 | 1.431 | 1.118 |
| NXPI | 123 | 53.659 | 7.317 | -0.301 | -0.516 | -0.160 | 1.582 | 1.236 |
| POOL | 59 | 37.288 | 6.780 | -0.304 | -0.423 | -0.165 | 1.489 | 1.390 |
| WELL | 46 | 36.957 | 8.696 | -0.305 | -0.544 | -0.160 | 1.714 | 1.457 |
| HUM | 58 | 37.931 | 13.793 | -0.320 | -0.556 | -0.117 | 2.719 | 1.810 |
| LIN | 126 | 42.857 | 9.524 | -0.327 | -0.483 | -0.311 | 1.236 | 1.373 |
| GEHC | 26 | 38.462 | 15.385 | -0.333 | -0.625 | -0.135 | 2.354 | 1.615 |
| CB | 47 | 44.681 | 4.255 | -0.336 | -0.402 | -0.306 | 1.136 | 1.234 |
| ACN | 88 | 45.455 | 6.818 | -0.337 | -0.456 | -0.297 | 1.446 | 1.420 |
| DGX | 38 | 34.211 | 7.895 | -0.348 | -0.466 | -0.254 | 1.458 | 1.342 |
6. Recent trade log
| symbol | signal_date | gap_direction | trade_direction | previous_close | entry_price | target_price | stop_price | gap_lower_price | gap_upper_price | gap_size | gap_pct | gap_filled_within_horizon | days_to_fill | exit_date | exit_price | exit_reason | holding_bars | return_pct |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| AMZN | 2026-04-10 | up | short | 233.650 | 235.300 | 233.800 | 236.005 | 233.800 | 235.210 | 1.410 | 0.603 | False | <NA> | 2026-04-10 | 236.005 | stop | 1 | -0.300 |
| AVGO | 2026-04-10 | up | short | 354.910 | 360.940 | 358.700 | 362.000 | 358.700 | 360.820 | 2.120 | 0.597 | False | <NA> | 2026-04-10 | 362.000 | stop | 1 | -0.294 |
| FCX | 2026-04-10 | up | short | 66.450 | 67.240 | 66.750 | 67.415 | 66.750 | 67.100 | 0.350 | 0.527 | False | <NA> | 2026-04-10 | 67.415 | stop | 1 | -0.260 |
| APP | 2026-04-13 | up | short | 391.380 | 395.660 | 391.940 | 396.842 | 391.940 | 394.304 | 2.364 | 0.604 | False | <NA> | 2026-04-13 | 396.842 | stop | 1 | -0.299 |
| BBY | 2026-04-13 | down | long | 62.370 | 60.050 | 62.120 | 59.650 | 61.320 | 62.120 | 0.800 | 1.283 | True | 1 | 2026-04-14 | 62.120 | gap_filled | 2 | 3.447 |
| DOW | 2026-04-13 | up | short | 39.010 | 40.000 | 39.120 | 40.330 | 39.120 | 39.781 | 0.661 | 1.694 | True | 1 | 2026-04-13 | 40.330 | stop | 1 | -0.826 |
| HRL | 2026-04-13 | down | long | 20.870 | 20.540 | 20.790 | 20.445 | 20.600 | 20.790 | 0.190 | 0.910 | True | 1 | 2026-04-13 | 20.445 | stop | 1 | -0.463 |
| LYB | 2026-04-13 | up | short | 73.720 | 75.500 | 74.540 | 75.690 | 74.540 | 74.920 | 0.380 | 0.515 | True | 1 | 2026-04-13 | 75.690 | stop | 1 | -0.252 |
| ALGN | 2026-04-14 | up | short | 180.670 | 183.100 | 181.280 | 183.775 | 181.280 | 182.630 | 1.350 | 0.747 | False | <NA> | 2026-04-14 | 183.775 | stop | 1 | -0.369 |
| AMZN | 2026-04-14 | up | short | 239.890 | 241.780 | 240.000 | 242.670 | 240.000 | 241.780 | 1.780 | 0.742 | False | <NA> | 2026-04-14 | 242.670 | stop | 1 | -0.368 |
| APO | 2026-04-14 | up | short | 109.950 | 111.800 | 110.000 | 112.700 | 110.000 | 111.800 | 1.800 | 1.637 | False | <NA> | 2026-04-14 | 112.700 | stop | 1 | -0.805 |
| APP | 2026-04-14 | up | short | 417.450 | 428.545 | 422.465 | 429.783 | 422.465 | 424.940 | 2.475 | 0.593 | False | <NA> | 2026-04-14 | 429.783 | stop | 1 | -0.289 |
| ARES | 2026-04-14 | up | short | 106.680 | 108.800 | 107.050 | 109.620 | 107.050 | 108.690 | 1.640 | 1.537 | False | <NA> | 2026-04-14 | 109.620 | stop | 1 | -0.754 |
| AXON | 2026-04-14 | up | short | 359.630 | 371.440 | 364.880 | 373.860 | 364.880 | 369.720 | 4.840 | 1.346 | False | <NA> | 2026-04-14 | 373.860 | stop | 1 | -0.652 |
| BLK | 2026-04-14 | up | short | 1023.650 | 1050.000 | 1025.650 | 1057.615 | 1025.650 | 1040.880 | 15.230 | 1.488 | True | 2 | 2026-04-14 | 1057.615 | stop | 1 | -0.725 |
| CCL | 2026-04-14 | up | short | 27.750 | 28.250 | 27.800 | 28.370 | 27.800 | 28.040 | 0.240 | 0.865 | True | 2 | 2026-04-14 | 28.370 | stop | 1 | -0.425 |
| CDNS | 2026-04-14 | up | short | 288.200 | 293.310 | 288.330 | 294.285 | 288.330 | 290.280 | 1.950 | 0.677 | False | <NA> | 2026-04-14 | 294.285 | stop | 1 | -0.332 |
| COIN | 2026-04-14 | up | short | 174.530 | 180.030 | 175.010 | 182.525 | 175.010 | 180.000 | 4.990 | 2.859 | False | <NA> | 2026-04-14 | 182.525 | stop | 1 | -1.386 |
| CVNA | 2026-04-14 | up | short | 359.270 | 365.000 | 359.790 | 367.420 | 359.790 | 364.630 | 4.840 | 1.347 | True | 2 | 2026-04-14 | 367.420 | stop | 1 | -0.663 |
| DAL | 2026-04-14 | up | short | 67.050 | 68.600 | 67.160 | 69.060 | 67.160 | 68.080 | 0.920 | 1.372 | False | <NA> | 2026-04-14 | 69.060 | stop | 1 | -0.671 |
| EXPE | 2026-04-14 | up | short | 240.210 | 244.620 | 240.370 | 246.120 | 240.370 | 243.370 | 3.000 | 1.249 | False | <NA> | 2026-04-14 | 246.120 | stop | 1 | -0.613 |
| F | 2026-04-14 | up | short | 12.160 | 12.510 | 12.170 | 12.650 | 12.170 | 12.450 | 0.280 | 2.303 | False | <NA> | 2026-04-14 | 12.650 | stop | 1 | -1.119 |
| GM | 2026-04-14 | up | short | 76.830 | 78.630 | 76.860 | 79.250 | 76.860 | 78.100 | 1.240 | 1.614 | False | <NA> | 2026-04-14 | 79.250 | stop | 1 | -0.789 |
| GOOG | 2026-04-14 | up | short | 319.210 | 322.065 | 319.430 | 322.925 | 319.430 | 321.150 | 1.720 | 0.539 | False | <NA> | 2026-04-14 | 322.925 | stop | 1 | -0.267 |
| GOOGL | 2026-04-14 | up | short | 321.310 | 324.790 | 321.630 | 325.850 | 321.630 | 323.750 | 2.120 | 0.660 | False | <NA> | 2026-04-14 | 325.850 | stop | 1 | -0.326 |
| HOOD | 2026-04-14 | up | short | 71.670 | 75.130 | 71.700 | 76.805 | 71.700 | 75.050 | 3.350 | 4.674 | False | <NA> | 2026-04-14 | 76.805 | stop | 1 | -2.229 |
| IVZ | 2026-04-14 | up | short | 24.300 | 24.550 | 24.310 | 24.640 | 24.310 | 24.490 | 0.180 | 0.741 | True | 2 | 2026-04-14 | 24.640 | stop | 1 | -0.367 |
| LUV | 2026-04-14 | up | short | 39.450 | 40.250 | 39.480 | 40.560 | 39.480 | 40.100 | 0.620 | 1.572 | False | <NA> | 2026-04-14 | 40.560 | stop | 1 | -0.770 |
| META | 2026-04-14 | up | short | 634.530 | 643.220 | 635.000 | 645.405 | 635.000 | 639.370 | 4.370 | 0.689 | False | <NA> | 2026-04-14 | 645.405 | stop | 1 | -0.340 |
| MSFT | 2026-04-14 | up | short | 384.370 | 387.920 | 384.540 | 388.910 | 384.540 | 386.520 | 1.980 | 0.515 | False | <NA> | 2026-04-14 | 388.910 | stop | 1 | -0.255 |
| NCLH | 2026-04-14 | up | short | 20.260 | 20.680 | 20.280 | 20.815 | 20.280 | 20.550 | 0.270 | 1.333 | True | 2 | 2026-04-14 | 20.815 | stop | 1 | -0.653 |
| NVDA | 2026-04-14 | up | short | 189.310 | 190.840 | 189.660 | 191.395 | 189.660 | 190.770 | 1.110 | 0.586 | False | <NA> | 2026-04-14 | 191.395 | stop | 1 | -0.291 |
| ORCL | 2026-04-14 | up | short | 155.620 | 167.930 | 155.910 | 170.755 | 155.910 | 161.560 | 5.650 | 3.631 | False | <NA> | 2026-04-15 | 170.755 | stop | 2 | -1.682 |
| OXY | 2026-04-14 | down | long | 58.060 | 56.920 | 57.400 | 56.720 | 57.000 | 57.400 | 0.400 | 0.689 | False | <NA> | 2026-04-14 | 56.720 | stop | 1 | -0.351 |
| SMCI | 2026-04-14 | up | short | 25.970 | 27.000 | 25.990 | 27.255 | 25.990 | 26.500 | 0.510 | 1.964 | False | <NA> | 2026-04-14 | 27.255 | stop | 1 | -0.944 |
| TDG | 2026-04-14 | up | short | 1233.110 | 1279.240 | 1235.500 | 1295.925 | 1235.500 | 1268.870 | 33.370 | 2.706 | True | 2 | 2026-04-14 | 1295.925 | stop | 1 | -1.304 |
| WFC | 2026-04-14 | down | long | 86.640 | 83.020 | 84.070 | 82.565 | 83.160 | 84.070 | 0.910 | 1.050 | False | <NA> | 2026-04-14 | 82.565 | stop | 1 | -0.548 |
| XOM | 2026-04-14 | down | long | 152.640 | 150.070 | 151.280 | 149.485 | 150.110 | 151.280 | 1.170 | 0.767 | True | 2 | 2026-04-14 | 149.485 | stop | 1 | -0.390 |
| ADSK | 2026-04-15 | up | short | 228.590 | 234.790 | 230.680 | 235.550 | 230.680 | 232.200 | 1.520 | 0.665 | False | <NA> | 2026-04-15 | 235.550 | stop | 1 | -0.324 |
| ARES | 2026-04-15 | up | short | 112.610 | 114.400 | 113.690 | 114.700 | 113.690 | 114.290 | 0.600 | 0.533 | False | <NA> | 2026-04-15 | 114.700 | stop | 1 | -0.262 |
| AVGO | 2026-04-15 | up | short | 380.780 | 389.880 | 382.280 | 391.525 | 382.280 | 385.570 | 3.290 | 0.864 | False | <NA> | 2026-04-15 | 391.525 | stop | 1 | -0.422 |
| HOOD | 2026-04-15 | up | short | 79.090 | 83.550 | 79.280 | 84.660 | 79.280 | 81.500 | 2.220 | 2.807 | False | <NA> | 2026-04-15 | 84.660 | stop | 1 | -1.329 |
| IBKR | 2026-04-15 | up | short | 77.100 | 78.390 | 77.250 | 78.775 | 77.250 | 78.020 | 0.770 | 0.999 | False | <NA> | 2026-04-15 | 78.775 | stop | 1 | -0.491 |
| MS | 2026-04-15 | up | short | 183.340 | 188.490 | 184.590 | 190.155 | 184.590 | 187.920 | 3.330 | 1.816 | False | <NA> | 2026-04-15 | 190.155 | stop | 1 | -0.883 |
| MSFT | 2026-04-15 | up | short | 393.110 | 398.000 | 394.690 | 399.020 | 394.690 | 396.730 | 2.040 | 0.519 | False | <NA> | 2026-04-15 | 399.020 | stop | 1 | -0.256 |
| NKE | 2026-04-15 | up | short | 44.200 | 45.090 | 44.210 | 45.340 | 44.210 | 44.710 | 0.500 | 1.131 | False | <NA> | 2026-04-15 | 45.340 | stop | 1 | -0.554 |
| ABT | 2026-04-16 | down | long | 101.560 | 97.130 | 100.630 | 96.315 | 99.000 | 100.630 | 1.630 | 1.605 | False | <NA> | 2026-04-16 | 96.315 | stop | 1 | -0.839 |
| AMD | 2026-04-16 | up | short | 258.120 | 264.990 | 258.180 | 266.655 | 258.180 | 261.510 | 3.330 | 1.290 | False | <NA> | 2026-04-16 | 266.655 | stop | 1 | -0.628 |
| DDOG | 2026-04-16 | up | short | 121.060 | 128.390 | 121.180 | 129.097 | 121.180 | 122.595 | 1.415 | 1.169 | False | <NA> | 2026-04-17 | 126.610 | timeout | 2 | 1.386 |
| JBHT | 2026-04-16 | up | short | 224.170 | 233.200 | 229.340 | 234.530 | 229.340 | 232.000 | 2.660 | 1.187 | False | <NA> | 2026-04-16 | 234.530 | stop | 1 | -0.570 |
| MRSH | 2026-04-16 | up | short | 174.900 | 178.190 | 175.840 | 179.320 | 175.840 | 178.100 | 2.260 | 1.292 | True | 1 | 2026-04-16 | 179.320 | stop | 1 | -0.634 |
| NOW | 2026-04-16 | up | short | 94.190 | 97.610 | 94.830 | 97.880 | 94.830 | 95.370 | 0.540 | 0.573 | False | <NA> | 2026-04-16 | 97.880 | stop | 1 | -0.277 |
| ON | 2026-04-16 | up | short | 72.430 | 74.370 | 72.550 | 75.085 | 72.550 | 73.980 | 1.430 | 1.974 | False | <NA> | 2026-04-16 | 75.085 | stop | 1 | -0.961 |
| ORCL | 2026-04-16 | up | short | 169.810 | 176.420 | 172.560 | 177.040 | 172.560 | 173.800 | 1.240 | 0.730 | False | <NA> | 2026-04-16 | 177.040 | stop | 1 | -0.351 |
| PLD | 2026-04-16 | up | short | 139.770 | 142.640 | 139.900 | 143.420 | 139.900 | 141.460 | 1.560 | 1.116 | False | <NA> | 2026-04-16 | 143.420 | stop | 1 | -0.547 |
| PPG | 2026-04-16 | up | short | 107.720 | 116.000 | 110.130 | 116.895 | 110.130 | 111.920 | 1.790 | 1.662 | False | <NA> | 2026-04-17 | 116.895 | stop | 2 | -0.772 |
| ADI | 2026-04-17 | up | short | 353.800 | 359.670 | 355.850 | 360.655 | 355.850 | 357.820 | 1.970 | 0.557 | False | <NA> | 2026-04-17 | 360.655 | stop | 1 | -0.274 |
| AMCR | 2026-04-17 | up | short | 40.180 | 40.970 | 40.560 | 41.075 | 40.560 | 40.770 | 0.210 | 0.523 | False | <NA> | 2026-04-17 | 41.075 | stop | 1 | -0.256 |
| APA | 2026-04-17 | down | long | 37.900 | 34.620 | 36.580 | 34.305 | 35.950 | 36.580 | 0.630 | 1.662 | False | <NA> | 2026-04-17 | 34.305 | stop | 1 | -0.910 |
| BLDR | 2026-04-17 | up | short | 83.900 | 89.050 | 86.250 | 89.755 | 86.250 | 87.660 | 1.410 | 1.681 | False | <NA> | 2026-04-17 | 89.755 | stop | 1 | -0.792 |
| CF | 2026-04-17 | down | long | 124.710 | 114.000 | 120.400 | 111.200 | 114.800 | 120.400 | 5.600 | 4.490 | False | <NA> | 2026-04-17 | 111.200 | stop | 1 | -2.456 |
| CMI | 2026-04-17 | up | short | 608.890 | 615.630 | 609.020 | 618.240 | 609.020 | 614.240 | 5.220 | 0.857 | False | <NA> | 2026-04-17 | 618.240 | stop | 1 | -0.424 |
| COIN | 2026-04-17 | up | short | 199.830 | 205.200 | 200.580 | 206.385 | 200.580 | 202.950 | 2.370 | 1.186 | False | <NA> | 2026-04-17 | 206.385 | stop | 1 | -0.577 |
| COP | 2026-04-17 | down | long | 121.570 | 116.330 | 119.370 | 114.895 | 116.500 | 119.370 | 2.870 | 2.361 | False | <NA> | 2026-04-17 | 114.895 | stop | 1 | -1.234 |
| CTRA | 2026-04-17 | down | long | 31.970 | 30.330 | 31.600 | 30.000 | 30.940 | 31.600 | 0.660 | 2.064 | False | <NA> | 2026-04-17 | 30.000 | stop | 1 | -1.088 |
| CVX | 2026-04-17 | down | long | 188.150 | 181.890 | 185.340 | 181.370 | 184.300 | 185.340 | 1.040 | 0.553 | False | <NA> | 2026-04-17 | 181.370 | stop | 1 | -0.286 |
| DHI | 2026-04-17 | up | short | 143.350 | 146.690 | 145.740 | 147.165 | 145.740 | 146.690 | 0.950 | 0.663 | False | <NA> | 2026-04-17 | 147.165 | stop | 1 | -0.324 |
| DOW | 2026-04-17 | down | long | 39.920 | 36.290 | 39.180 | 34.975 | 36.550 | 39.180 | 2.630 | 6.588 | False | <NA> | 2026-04-17 | 34.975 | stop | 1 | -3.624 |
| DVN | 2026-04-17 | down | long | 45.780 | 43.340 | 45.190 | 42.880 | 44.270 | 45.190 | 0.920 | 2.010 | False | <NA> | 2026-04-17 | 42.880 | stop | 1 | -1.061 |
| EMR | 2026-04-17 | up | short | 140.370 | 142.560 | 141.760 | 142.960 | 141.760 | 142.560 | 0.800 | 0.570 | False | <NA> | 2026-04-17 | 142.960 | stop | 1 | -0.281 |
| EOG | 2026-04-17 | down | long | 134.070 | 126.310 | 131.150 | 125.235 | 129.000 | 131.150 | 2.150 | 1.604 | False | <NA> | 2026-04-17 | 125.235 | stop | 1 | -0.851 |
| FANG | 2026-04-17 | down | long | 186.650 | 176.450 | 185.550 | 173.980 | 180.610 | 185.550 | 4.940 | 2.647 | False | <NA> | 2026-04-17 | 173.980 | stop | 1 | -1.400 |
| GM | 2026-04-17 | up | short | 78.050 | 79.400 | 78.350 | 79.925 | 78.350 | 79.400 | 1.050 | 1.345 | False | <NA> | 2026-04-17 | 79.925 | stop | 1 | -0.661 |
| HLT | 2026-04-17 | up | short | 330.380 | 334.700 | 332.410 | 335.750 | 332.410 | 334.510 | 2.100 | 0.636 | False | <NA> | 2026-04-17 | 335.750 | stop | 1 | -0.314 |
| JBL | 2026-04-17 | up | short | 310.100 | 313.680 | 310.760 | 314.725 | 310.760 | 312.850 | 2.090 | 0.674 | False | <NA> | 2026-04-17 | 314.725 | stop | 1 | -0.333 |
| LEN | 2026-04-17 | up | short | 88.800 | 90.950 | 90.060 | 91.285 | 90.060 | 90.730 | 0.670 | 0.755 | False | <NA> | 2026-04-17 | 91.285 | stop | 1 | -0.368 |
| LVS | 2026-04-17 | up | short | 56.710 | 57.130 | 56.780 | 57.305 | 56.780 | 57.130 | 0.350 | 0.617 | False | <NA> | 2026-04-17 | 57.305 | stop | 1 | -0.306 |
| LYB | 2026-04-17 | down | long | 75.290 | 70.120 | 73.090 | 68.745 | 70.340 | 73.090 | 2.750 | 3.653 | False | <NA> | 2026-04-17 | 68.745 | stop | 1 | -1.961 |
| MAS | 2026-04-17 | up | short | 63.730 | 65.060 | 64.390 | 65.295 | 64.390 | 64.860 | 0.470 | 0.737 | False | <NA> | 2026-04-17 | 65.295 | stop | 1 | -0.361 |
| MCHP | 2026-04-17 | up | short | 76.870 | 78.780 | 77.320 | 79.000 | 77.320 | 77.760 | 0.440 | 0.572 | False | <NA> | 2026-04-17 | 79.000 | stop | 1 | -0.279 |
| MPC | 2026-04-17 | down | long | 226.240 | 217.250 | 223.430 | 215.575 | 220.080 | 223.430 | 3.350 | 1.481 | False | <NA> | 2026-04-17 | 215.575 | stop | 1 | -0.771 |
| MPWR | 2026-04-17 | up | short | 1402.810 | 1437.620 | 1405.140 | 1445.220 | 1405.140 | 1420.340 | 15.200 | 1.084 | False | <NA> | 2026-04-17 | 1445.220 | stop | 1 | -0.529 |
| NDSN | 2026-04-17 | up | short | 276.700 | 279.010 | 277.610 | 279.710 | 277.610 | 279.010 | 1.400 | 0.506 | False | <NA> | 2026-04-17 | 279.710 | stop | 1 | -0.251 |
| NFLX | 2026-04-17 | down | long | 107.790 | 96.370 | 106.620 | 92.430 | 98.740 | 106.620 | 7.880 | 7.311 | False | <NA> | 2026-04-17 | 97.310 | timeout | 1 | 0.975 |
| OXY | 2026-04-17 | down | long | 56.870 | 53.660 | 55.610 | 52.870 | 54.030 | 55.610 | 1.580 | 2.778 | False | <NA> | 2026-04-17 | 52.870 | stop | 1 | -1.472 |
| PH | 2026-04-17 | up | short | 957.000 | 1029.000 | 971.930 | 1031.825 | 971.930 | 977.580 | 5.650 | 0.590 | False | <NA> | 2026-04-17 | 988.800 | timeout | 1 | 3.907 |
| PKG | 2026-04-17 | up | short | 207.620 | 210.000 | 207.930 | 210.865 | 207.930 | 209.660 | 1.730 | 0.833 | False | <NA> | 2026-04-17 | 210.865 | stop | 1 | -0.412 |
| PSX | 2026-04-17 | down | long | 163.330 | 157.080 | 161.880 | 155.360 | 158.440 | 161.880 | 3.440 | 2.106 | False | <NA> | 2026-04-17 | 155.360 | stop | 1 | -1.095 |
| Q | 2026-04-17 | up | short | 131.300 | 134.270 | 132.225 | 135.092 | 132.225 | 133.870 | 1.645 | 1.253 | False | <NA> | 2026-04-17 | 135.092 | stop | 1 | -0.613 |
| RL | 2026-04-17 | up | short | 369.700 | 377.420 | 375.500 | 378.380 | 375.500 | 377.420 | 1.920 | 0.519 | False | <NA> | 2026-04-17 | 378.380 | stop | 1 | -0.254 |
| STX | 2026-04-17 | up | short | 531.810 | 544.450 | 532.060 | 547.180 | 532.060 | 537.520 | 5.460 | 1.027 | False | <NA> | 2026-04-17 | 547.180 | stop | 1 | -0.501 |
| SWK | 2026-04-17 | up | short | 68.470 | 70.010 | 68.570 | 70.675 | 68.570 | 69.900 | 1.330 | 1.942 | False | <NA> | 2026-04-17 | 70.675 | stop | 1 | -0.950 |
| TEL | 2026-04-17 | up | short | 236.480 | 239.630 | 237.460 | 240.255 | 237.460 | 238.710 | 1.250 | 0.529 | False | <NA> | 2026-04-17 | 240.255 | stop | 1 | -0.261 |
| TPR | 2026-04-17 | up | short | 150.690 | 155.060 | 152.050 | 155.680 | 152.050 | 153.290 | 1.240 | 0.823 | False | <NA> | 2026-04-17 | 155.680 | stop | 1 | -0.400 |
| TRMB | 2026-04-17 | up | short | 67.670 | 69.550 | 67.790 | 70.110 | 67.790 | 68.910 | 1.120 | 1.655 | False | <NA> | 2026-04-17 | 70.110 | stop | 1 | -0.805 |
| UAL | 2026-04-17 | up | short | 95.030 | 102.880 | 96.570 | 105.050 | 96.570 | 100.910 | 4.340 | 4.567 | False | <NA> | 2026-04-17 | 105.050 | stop | 1 | -2.109 |
| VLO | 2026-04-17 | down | long | 241.740 | 228.190 | 235.000 | 225.190 | 229.000 | 235.000 | 6.000 | 2.482 | False | <NA> | 2026-04-17 | 225.190 | stop | 1 | -1.315 |
| XOM | 2026-04-17 | down | long | 151.980 | 144.860 | 149.350 | 143.585 | 146.800 | 149.350 | 2.550 | 1.678 | False | <NA> | 2026-04-17 | 143.585 | stop | 1 | -0.880 |
| XYL | 2026-04-17 | down | long | 125.210 | 120.800 | 124.750 | 120.100 | 123.350 | 124.750 | 1.400 | 1.118 | False | <NA> | 2026-04-17 | 121.110 | timeout | 1 | 0.257 |
| XYZ | 2026-04-17 | up | short | 68.670 | 70.040 | 69.170 | 70.405 | 69.170 | 69.900 | 0.730 | 1.063 | False | <NA> | 2026-04-17 | 70.405 | stop | 1 | -0.521 |
7. What to test next
- Separate gap-up and gap-down variants rather than pooling them.
- Filter by market regime or trend state before fading.
- Exclude earnings gaps and other event-driven discontinuities.
- Use the grid search report to see whether alternative stop and hold settings improve the mean without destroying Sharpe.