This is a full research log — from raw statistic to finished strategy — so you can see exactly how we work and where the traps are. The starting point: on index futures, when the market gaps down at the open, price comes back to fill at least half the gap on the vast majority of sessions. On ES and YM the half-fill rate runs 98–99%. That number is so high it practically begs to be traded. The question is whether a statistic that strong survives contact with stops, targets, and real execution.
Step 1: Define the trade before looking at results
A fill statistic is not a strategy. We froze the rules first: on a gap-down open, go long at the opening print, take profit at the half-gap level, and cap risk with a fixed points stop. No re-entries, no discretion. Execution on 5-minute bars with slippage charged both ways. Freezing the rules before peeking prevents the quiet parameter-shopping that inflates most published results.
Step 2: Sweep, but honestly
The one free parameter is the stop distance, so we swept it across a grid on ~90 days of data per instrument — the same grid for every market, no per-market tuning beyond the stop itself. Results diverged sharply by instrument:
- YM: the standout — profit factor near 3 with a wide stop, drawdown contained around $1.3k per contract
- ES: strong with a tight stop — profit factor around 2.6
- NQ: workable but weaker, around 1.8 with a mid-size stop
- GC: dead. Gold’s gaps do not behave like index gaps, and no stop setting rescued it
That instrument ranking mirrors the underlying fill rates, which is what you want to see: the strategy’s edge tracks the statistic it was built on. When a sweep produces a winner whose edge doesn’t line up with the underlying stat, that winner is usually noise.
Step 3: Read the geometry honestly
Notice what this trade is: a high-probability target with a protective stop that loses more per loss than a win makes per win — the tight-target, wide-stop shape we keep warning about. The 98% fill stat is what makes that geometry survivable. But it means the tail scenario — a gap-down that keeps falling all day — is where all the risk lives. The stop is not decoration; it is the entire risk model. Size accordingly.
What would falsify this
- A longer window (the 90-day sample is the weakest link — trend regimes flatter long-at-open systems)
- A cluster of full-gap-and-go days, which concentrate the fat losses
- Fill rates decaying as more traders lean on the same statistic
We are treating this one as promising-but-in-sample until it clears a full-year retest. That verdict — and the retest — will get its own post either way. Nothing here is advice; the risk disclaimer applies in full.
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