Which type of gap formed?
Measure the gap size, direction and key boundaries using consistent definitions.
GAP CHARACTERISTICS
Quantitative research into overnight gaps.
Structured. Measured. Data-driven analysis of how NQ futures overnight gaps persist and resolve across their lifecycle.
What happens after a gap forms?
Each gap is measured the same way. Four key questions turn individual observations into a historical dataset that can be interpreted.
OVERNIGHTRTHBEYOND
How did price interact with it?
Measure movement towards and away from the gap, alongside repeated contacts and entries.
MAE / MFE · INTERACTIONSOVERNIGHTRTHBEYOND
What happened during the first RTH?
Record whether the gap remained open, and where price begins relative to it.
RTH SURVIVAL · RTH STARTING STATEWhat changed as observation continued?
Compare unresolved lifecycle states and track price beyond the first RTH open.
LIFECYCLE CHECKPOINTS · FORWARD EXCURSIONSMeasurement first.
Individual observations accumulate into a historical population only after the underlying measurements are established.
Observe
Observe what is actually happening across the collected sample.
Compare
Compile observations into a historical population across different gap sizes and conditions.
Describe
Examine distributions and report the findings that emerge.
Built from realmarket data.
The research is built around a custom Sierra Chart ACSIL engine using historical futures market data. The current NQ implementation produces structured, validated datasets for reproducible quantitative research.
Market data is authoritative
Measurements begin with observed market data, not assumptions.
Precision is preserved
Price, timestamp and session observations retain the resolution the source actually provides.
Nothing is reconstructed
Unobserved intrabar behaviour is never invented to complete the picture.
Limitations remain visible
Missing or incomplete observations are identified rather than silently estimated.
What we observed.
Larger gaps showed substantially greater persistence.
Long survivors (>50 bars)
One gap. Full context.
A structured view of each gap's lifecycle, RTH context and historical comparison.
Selected Observation
- Gap ID
- --
- Gap Size
- --
- Direction
- --
- Alive at RTH Open
- --
Lifecycle Condition
--
Lifecycle Measurements
- Bars Alive
- --
- Minutes Alive
- --
- MFE (pts)
- --
- MAE (pts)
- --
- Best Approach (pts)
- --
- Bars Since Best
- --
- Interactions
- --
- State
- --
RTH Context
- RTH Open Distance (pts)
- --
- RTH Status
- --
- RTH MFE (pts)
- --
- RTH MAE (pts)
- --
- RTH Close Distance (pts)
- --
- Net Change (pts)
- --
- RTH Finish
- --
Historical Cohort Comparison
- Sample Size
- --
- RTH Fill Rate
- --
- Median RTH MAE
- --
- Median RTH Net
- --
Distribution Context
RTH Starting Distance Distribution
Bars to Fill Distribution
Forward Follow-Through
+1 Session
- Fill Rate
- --
- Median Change
- --
+3 Sessions
- Fill Rate
- --
- Median Change
- --
+5 Sessions
- Fill Rate
- --
- Median Change
- --
+10 Sessions
- Fill Rate
- --
- Median Change
- --
Research continues.
Mind The Gap is an evolving quantitative research project. Follow the research as it develops.