Testing Daily Stock Gap Continuation and Reversal Rates

Summary

The article presents a historical study of daily stock gaps, asking whether price tends to continue in the gap direction or reverse afterward. It describes an MQL5 workflow that gathers symbols by market group, saves symbol lists, retrieves each instrument’s price history, counts gaps, and classifies outcomes. A charting component is used to display results across groups of securities.

The reported conclusion is that continuation and reversal rates are generally near an even split, while some individual securities show either outcome above 65%. Those outliers are suggested as candidates for further gap trading research. The document does not give a complete account of the sample construction, gap definition, transaction costs, or out-of-sample validation, so the reported frequencies alone do not establish a durable or tradable edge.

Key ideas

• The study measures daily stock gap continuation and reversal using historical OHLC data.
• The MQL5 workflow groups symbols, collects price histories, and counts gap outcomes across securities.
• Overall continuation and reversal probabilities are reported as close to an even split.
• Some securities reportedly show continuation or reversal rates above 65%.
• The reported statistics do not establish profitability after costs or persistence beyond the analyzed history.

Tags

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