SPY Opening Gap Trades Filtered by Market Breadth and VWAP Data

Summary

This intraday strategy trades opening gaps in SPY. It compares the current session open and high or low with the previous close and range, requiring the gap measure to exceed a configurable threshold tied to the recent average high-low range. Upward gaps can trigger long entries when an advance-decline measure is nonnegative; downward gaps can trigger shorts when that measure is negative and the percentage of US stocks above VWAP is at or below a threshold. Entries are limited to the opening window, and all positions are closed during a specified late-session interval.

The author describes the method as a way to trade daily gaps while using related market breadth data for confirmation. Example testing assumptions include a fraction of capital and a per-share commission, but the document gives no actual return, risk, or robustness statistics. The strategy depends on external breadth series and specified time windows, and its results may vary with data availability, execution costs, instrument choice, and gap threshold settings.

Key ideas

• The strategy detects SPY opening gaps using price and a recent range based threshold.
• Gap direction determines whether a long or short setup is considered.
• Market breadth and the proportion of stocks above VWAP act as entry filters.
• Entries occur in an opening window, with positions closed during a later time window.
• The document states test assumptions but provides no performance results.

Tags

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