Gap Fill Strategy
The gap-fill strategy fades overnight gaps that are too small to represent a true re-pricing event. Research from Edgeful and SharePlanner on SPY and major equities shows a substantial portion of 1-4% gaps fill during the same session, particularly on mid-week days. The strategy enters in the direction of the previous close and targets the gap-fill price.
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How It Works
- 1
Pre-market scan for stocks gapping 1-4% with no earnings or major news catalyst
- 2
Confirm the gap is within the stock's normal overnight range using ATR
- 3
Enter at the open in the direction of the previous close (short a gap up, long a gap down)
- 4
Target the previous close (the "fill" level)
- 5
Stop if the gap extends 50% further instead of fading; exit by late morning if unfilled
Best For
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Frequently Asked Questions
What is a gap fill?
A gap fill is when intraday price action retraces to the previous session's close, "filling" the overnight gap. Academic and broker research shows many small gaps fill within hours of the open.
How is gap fill different from gap and go?
Gap fill fades the gap (enters counter to the gap direction, targeting the prior close). Gap and go rides the gap (enters in the direction of the gap, expecting continuation). They are mechanical opposites and work in different conditions — gap fill on no-catalyst gaps, gap and go on strong-catalyst gaps.
How does Tradewink score gap-fill setups?
Tradewink's intraday engine evaluates each overnight gap against day-of-week fill rates, gap size relative to ATR, catalyst presence, and regime. Low-catalyst mid-week gaps in the 1-4% range score highest; earnings or news-driven gaps are filtered out because they are more likely to extend than fill.
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Important disclosures
Informational purposes only
Tradewink is published by Tradewink LLC, which is not a registered investment adviser, broker-dealer, commodity trading advisor, or financial planner. All data, signals, and analytics on this page are general, impersonal, and for informational purposes only. They do not constitute investment advice, financial advice, or a recommendation to buy or sell any security or other instrument.
Trading risk
Past performance does not guarantee future results. Trading involves substantial risk of loss, including the possibility of losing more than your initial investment. You are solely responsible for your own trading decisions.
Hypothetical & backtested results
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.