Mastering the E-mini Gap

Masterthegap.com has inspired me to create a program which will do just that… Master the Gap. I’ll be posting the results from 1000 days of intra-day data this week. From the preliminary results. It appears that gaps have different probabilities of filling given the day of the week (Monday, Wednesday, etc), the day of the month (1,2,3,4,etc), the month itself, and also the time at which it fills. Interesting stuff…

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