Introduction

The Gap Fill Strategy analyzes how price behaves when the market opens either above or below the prior session’s close. The included subreports each answer different questions about when, how and what time the gap tends to fill, helping you form a data driven intraday bias and manage risk with greater precision.

A gap is the difference between the previous day's closing price and today’s opening price.

Gap up: Today opens above yesterday’s close
Gap down: Today opens below yesterday’s close
Gap fill: Price touches the previous trading day's close

Subreports

Subreports are included with each strategy to help traders better understand the likelihood of events that happen each day and by when they happen.

The following subreports are included:

Standard - shows an overview of all gaps

Weekday - shows the fill rate by day of week.

Size - shows the fill rate by 5 different size categories.

Close - shows where the day will close relative to the gap.

Drawdown - Shows the average drawdown the trader is expected to experience before price moves to fill the gap

Time - shows the fill time by for a given fill percentage.

Standard subreport:

What does this report measure?

This report shows how often gaps up or gaps down return to the previous session’s closing price during the selected session.

It answers a simple question: After a gap occurs, how often does price return to fill it?

Example

Monday closes at $100
Tuesday opens at $105 → gap up of $5
If price touches $100 at any point during Tuesday’s regular trading hours, the gap is considered filled
If price never touches $100 at any point during Tuesday's regular trading hours, the gap is not filled

How can I use this?

If gaps fill frequently, then it becomes a realistic intraday target
If gaps rarely fill, look to use information as a support/resistance level.
Use partial or extension objectives such as:
- 50% gap fills for early profit-taking
- Extensions (e.g., 175%) for momentum-based trades

Weekday Subreport

What does this measure?

This report breaks down gap fill behavior by day of the week, showing how often gaps fill or fail on specific days.

Examples:

Monday Gap Up:

Friday closes at $100
Monday opens at $105
If price touches $100 on Monday → gap filled
If it does not → gap not filled
The report may show:
85% of small gaps fill
15% do not fill

How can I use this?

Use weekday statistics to establish directional bias
If gap downs fill more often on a given day, favor bullish gap-fill setups
If gap ups fill less often, avoid fading strength and look for continuation

Size Subreport

What does this measure?

This subreport groups gaps by percentage size and shows how often gaps of each size fill.

Example:

Small Gap (0–0.19%):

Monday closes at $1000
Tuesday opens at $1015 (0.15% gap up)
If price touches $1000 → gap filled

The report may show:

85% of small gaps fill
15% do not fill

How can I use this?

Smaller gaps tend to fill more often and can be treated as higher-probability targets
For larger gaps that rarely fill, look for partial fill targets.

Close Subreport

What does this measure?

This subreport looks at what happens after a gap has already filled, specifically how price closes on the day.

It shows whether filled gaps tend to:

Close green (above the open)
Close red (below the open)

Example

Gap up fills during the session
The day closes:
- Green 64% of the time
- Red 36% of the time

Please Note - A filled gap does not guarantee price will remain below or above that level for the rest of the day.

How can I use this?

Manage expectations after a gap fill. This allows a trader to decide whether to:
- Take profits at the gap
- Hold partial size for continuation
Helps differentiate between gap fill as a target vs gap fill as a turning point