SPY Gap Trading with Market-Breadth Confirmation

Summary

This intraday strategy trades opening gaps in SPY, using SPY price data even when applied to another chart. It flags upward or downward gaps when the separation between the current bar and the previous bar’s range exceeds a threshold tied to a configurable percentage of the average high-low range over the prior 14 bars. Long entries are allowed during the opening window when the Nasdaq advance-decline reading is nonnegative. Short entries require a downward gap, a negative advance-decline reading, and a percentage-above-VWAP reading no greater than the stated threshold.

Positions close during a late-session time window. The description says the backtest used 10% of available capital and a per-share commission, but reports no performance results. The method depends on the referenced breadth and VWAP datasets and the selected chart timeframe; the document offers no evidence that the gap rules remain profitable out of sample or across other assets.

Key ideas

• The strategy identifies SPY gaps by comparing the opening price with the prior close and checking the gap against a recent-range threshold.
• Long entries require an upward gap and nonnegative Nasdaq advance-decline data during the opening window.
• Short entries require a downward gap plus negative breadth and a constrained percentage-above-VWAP reading.
• The strategy exits positions during a configured late-session window.
• The description gives backtest assumptions but no performance results.

Tags

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