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Gap Fill in the E-mini S&P

Posted by David Bean on

In July 2010, I released the book, "Seven Trading Systems for the S&P Futures". We go over the latest out of sample analysis and look at the opportunity for Gap Fill I as well as Gap Fill Combo, which includes Gap Fill I.

Gap Fill II called the short on Friday. Gap Fill I has done well since 2002 while Gap Fill II struggles during low volatility and low interest rates. With higher volatility and interest rates, Gap Fill II is one to consider to potentially capture some big moves.


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