Tuesday, September 27, 2011

Gap statistics for Dax (current day open to close)

My latest gap statistics was calculated how the next day after big opening gap has been performing. However, it seems that today there will be big opening gap, so here's some statistics how the current day might perform from open to close.

Today's gap will be somewhere between 2,5% - 3%. With volume increase, this will be more likely a run away gap.


Without volume increase









gap up positive day average % stdev max min
3,00 % 100,00 % 1,08 % 1,46 % 3,67 % 0,24 %
2,50 % 83,33 % 0,74 % 1,11 % 3,67 % -0,68 %
2,00 % 66,67 % 0,49 % 2,86 % 9,06 % -7,07 %
1,50 % 63,46 % 0,29 % 2,28 % 9,06 % -7,07 %
1,00 % 64,63 % 0,13 % 1,71 % 9,06 % -7,07 %
0,50 % 62,01 % 0,14 % 1,41 % 9,28 % -7,07 %
0,00 % 58,23 % 0,15 % 1,32 % 9,28 % -7,07 %






With volume increase above 10 day average







gap up positive day average % stdev max min
3,00 % 100,00 % 1,96 % 2,42 % 3,67 % 0,25 %
2,50 % 100,00 % 1,25 % 1,42 % 3,67 % 0,25 %
2,00 % 87,50 % 1,35 % 4,47 % 9,06 % -7,07 %
1,50 % 75,00 % 1,12 % 3,72 % 9,06 % -7,07 %
1,00 % 60,00 % 0,18 % 3,26 % 9,06 % -7,07 %
0,50 % 60,00 % 0,39 % 2,60 % 9,28 % -7,07 %
0,00 % 52,49 % 0,04 % 1,89 % 9,28 % -7,07 %