Think about how an opening Gap is created. Who is trading after the market closes, overnight and leading to the next day's open. Are these trades being made by the "market movers"
Analyze opening gaps in index futures. Document if they fill and when they fill. Watch the first 30 minutes. If the gap fills early, was there a reversal back in the direction of the gap? If the gap remained open until the PM session, did it fill late in the day? Did it fill the next morning? Did it fill near the end of the week? What percentage of the time did the gap fill in the same day? Can you use this to your advantage?
Maybe "Smart Money" will open the day and support trades in the direction of the Gap intially, lure us all in to the plan. Just when "dumb money" joins in the game, price moves in the opposite direction back to equilibrium of yesterday's close. The GAP fills as greed turns to panic. Be on the side of smart money. If you are unsure. Watch until you are sure.
Just 2 cents: Trading gaps would be profitable/ feasible, and risky too. I would reckon the price actions (as you mentioned) After a gap are important enough to prove its validity, some historical figures (before the gap) would be of little use, if still any.
of the $Compx containing data since 02/01/01 on gaps that closed the same day. Gaps down are on the left, gaps up on the right. Percentage of same day closures is listed beneath the groups of bars.