ive pasted below from the blog
eminiglobex: Down gaps when over 20 consecutive closes above 20 day sma
Following on from this post, on the current run of closes each day of $spx over ma's, I have crunched some numbers looking specifically at down gaps in similar conditions. To keep the sample size large, the below stats goes long all down gaps when es have closed above its 20 day sma for at least 20 consecutive sessions. The strategy exits at gap fill or end of day.
73% winners
1.2 Profit factor
$233 Avergae drawdown per contract
$1,400 Max drawdown.
No great edge here, but what is more interesting is that in these central bank manipulated markets, since 2009 lows, the numbers improve to 78% winners, 1.7% profit factor, with 5/5 in this rally filling by end of the day. We are currently trading down 13 es points, so this size of gap relative to current volatility and other factors need to be taken into consideration.