2/9/2010 Big Gap after 20-day Low Close

This morning ES opened about 10 points higher than yesterday's RTH close. Historically, there is an edge on the long side when market gaps up after weakness. I use the following criteria to find days similar to this morning:

1. Gap bigger than 0.75%.
2. The prior day being lowest close of 20-days.

Since 2002, there have been 30 such instances and 63.33% closed higher for the day with an average of 0.46%. The gap is filled 60% of the time. My generalization is that market tends to re-test the low and fill the gap early in the day and went on close higher later in the day.

When I further add a filter of the previous day's closing price higher than SMA200. The number of instances drops to 2 and both closed positive for the day.