Gap Fill Rate

A gap is a session that opens away from the prior session’s close. The familiar question is whether the gap “fills,” whether price returns to that prior close. Filling is just one specific target. This page reads the gap as a fade: a gap up is a short back toward the prior close, a gap down is a long back toward it.

How to spot it

• The regular session opens meaningfully away from the previous session’s close, leaving a gap on the chart.
• A gap up opens above the prior close, a gap down opens below it.
• The fade trades against the gap: sell a gap up, buy a gap down, in both cases aiming back toward the prior close.
• A gap is a once-per-session event read off the regular trading hours, so this is a daily pattern.

Why it matters

“Most gaps fill” is one of the most repeated lines in retail trading. It treats the prior close as a magnet and the fade as easy money. The trouble is that filling is a yes or no outcome, and it says nothing about the pain you take getting there or whether the fade beats simply being in the market. The honest question is not how often the gap fills, but how much room the fade actually offers before it is proven wrong. The data below answers that.

Does it actually work?

A pattern is a setup, not a trade, so the question is not “did it fill” but “how much room did the fade offer before the read was proven wrong.” The stats below answer that on the index futures with a regular session (Nasdaq and S&P 500), on the daily chart.

For each gap we measure the room price offered in the fade direction, in units of the pattern’s own risk, then set it against a random entry on the same market. Be warned up front: on NQ the gap fade barely beats a random entry. It is a small, unreliable edge, and the page does not dress it up as more than that.

How we measured it

• Entry is the close of the gap session’s first bar.
• One unit of risk, 1R, is the distance from that close to the gap’s invalidation extreme: the high of a gap up you fade short, the low of a gap down you fade long. A move back through there says the fade is wrong.
• We follow the next 20 bars and record how far price ran in the fade direction, toward the prior close and beyond, in multiples of that risk, before the stop was hit.
• Every figure is set against a random entry on the same market, so the market’s own drift is accounted for.
• No profit target and no position sizing. This measures only the room the fade tends to offer.

What this page does not cover

• Conditioning on the size of the gap.
• Whether the gap formed after a trend day or a quiet one.
• A profit target or position sizing. Where you take profit, and how much you put on, are strategy decisions this page leaves to you.

FAQ

Do gaps always fill?

No. Filling is just one target, and “always” overstates it badly. This page does not count fills at all. It reads the gap as a fade back toward the prior close and measures how much room that fade offers in units of its own risk, compared with a random entry. On NQ that edge turns out to be small and unreliable, so the fade is far from the sure thing the folklore suggests.

Is fading a gap a reliable trade?

On NQ, not really. The gap fade barely beats a random entry on the same market, which is the honest reading of the numbers on this page. A move toward the prior close happens often enough to feel like an edge, but once you account for the market’s own drift and the risk you take getting there, very little is left over.