Measuring Historical Gap Size and Gap Coverage

Summary

This indicator-style script records upward and downward price gaps that exceed a user-set minimum percentage relative to the prior bar’s high or low. For each qualifying gap, it stores the date, signed gap percentage, price amount, and the portion of the gap traversed by that bar’s range. A table presents the recorded observations in reverse chronological order, and arrows mark gap bars on the chart.

The accompanying description proposes using the tool on daily charts to examine how medium- and large-cap stocks behave after overnight or pre-market gaps, including whether gaps are filled. It provides no sample results, summary probabilities, or evidence that gap coverage predicts subsequent returns. The calculation measures coverage within the gap bar itself; it does not track how much of the gap is filled on later bars. Consequently, the display is a historical descriptive aid rather than a validated entry or exit strategy, and any tendency inferred from it would need broader testing across symbols and periods.

Key ideas

• A gap is recorded when the open exceeds the previous bar’s high or falls below its low by at least the chosen threshold.
• The script logs gap date, signed percentage, price amount, and within-bar coverage of the gap.
• The table is intended to help inspect historical gap behavior, particularly on daily stock charts.
• The coverage calculation does not measure later gap fills, and the document reports no predictive evidence.

Tags

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