Measuring Stock Opening Gaps and Extreme Closes by Size

Summary

This indicator groups upward and downward opening gaps, as well as unusually large close-to-close moves, into percentage-size bins. For each direction and bin, it tracks event frequency and averages related price changes. Gap statistics include the intraday move from the open toward the opposite extreme and the close relative to the opening price. Extreme-close statistics include the following session’s opening and closing returns relative to the prior close. The display lets users choose whether to inspect gaps or extreme closes and select a direction.

The script is a descriptive market-study tool, not an entry or exit strategy. It accumulates observations from the chart’s available history and presents aggregates, but the document supplies no sample counts, results, or out-of-sample evidence. Its bins and calculations may be sensitive to the instrument, chart interval, available history, and data quality. The reported averages alone do not establish predictive value, tradable returns, or the effect of costs.

Key ideas

• Opening gaps are measured from the prior close to the current open and grouped by size and direction.
• Close-to-close moves are separately binned to examine extreme closes.
• Gap bins track average intraday movement from the open and the close relative to the open.
• Extreme-close bins track subsequent opening and closing returns relative to the prior close.
• The indicator reports historical aggregates and does not test a trading rule or establish predictive power.

Tags

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