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Backtested and hypothetical results, shown for educational purposes only — not investment advice. Past performance does not indicate future results.
A gap down of 2% means Tuesday closes at 100 and Wednesday opens at 98; a gap up of 2% means Wednesday opens at 102.
Set direction = down and gap = 2 and the strategy buys any open that gapped down 2% or more, holds for the chosen period, and sits flat every other day.
Daily Sharpe = mean per trade / std dev per trade. Annualized Sharpe = √(1/T) × Daily Sharpe, where T is the fraction of days the strategy is in the market.
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