CME Weekend Gaps: Fill Statistics and the Limits of Fading Gold Gaps

Summary

The article describes an indicator that measures weekend gaps using chart prices at the CME Friday close and Sunday reopen. It tracks unfilled gaps until price revisits the Friday close, reports fill timing and adverse movement, and tests a fade trade entered at the Sunday open with a gap-based stop and a time exit. The author reports gold results from one broker’s chart data: most measured gaps filled, but fade trades lost across the presented periods and stop sizes. The reported adverse movement before fills helps explain why a high fill rate did not translate into profitable fades.

The results are historical and specific to one broker and instrument feed; the author could not test Bitcoin. The indicator uses spot or CFD chart prices rather than futures prices, and its bar-based test cannot determine intrabar event order. The fade test omits commission and slippage, holidays are not specially handled, and the sample for some periods is small. These limits make the evidence descriptive rather than proof of a tradable edge.

Key ideas

• The indicator measures gaps between CME weekend session prices and tracks their return to the Friday close.
• A high gap fill rate does not by itself make fading gaps profitable.
• The gold tests showed substantial adverse movement before many gaps filled.
• The results come from one broker’s historical chart data, and Bitcoin was not tested.
• Bar data, omitted trading costs, and limited samples constrain the fade-test conclusions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.