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The Gap Fill Trading Strategy
Creating a Strategy Based on Filling the Gaps
Gaps form an important part of price action. They vary in rareness from market to market. For instance, in the currencies market, they usually happen on opening following the weekend or whenever there is a big announcement while in stocks, gaps are fairly common from one day to another.
In this article, we will see the different types of gaps and then code a scanner in Python that finds them and applies the well-known practice of “filling the gaps”. From that we can evaluate the fill ratio of the gap.
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