shodson 

It is incredibly odd that the ES has not filled it's gap intra-day since September 2nd, 6 days of consecutive days of unfilled gaps! It is especially rare considering that gaps fill 70% of the time. ...

its up to you to create chart with gap or not, there is no gap on vol chart, 24hr chart for example. What time is your session start and end?

cory 

its up to you to create chart with gap or not, there is no gap on vol chart, 24hr chart for example. What time is your session start and end?

Just using RTH, 6:30am - 1:15pm Pacific. Also, the price used for yesterday's close is not the last bar's print, rather, they use globex settlement, which is often different.

LukeGeniol 

Makes it really sense to use the RTH session?

All of the MTG backtesting is based on RTH only. If a stop is not hit or the gap is not filled at globex session close then you close out your position, no overnight trading.

Scott has a pretty good analysis ( video) about the recent string of unfilled gaps: September historically has the lowest win rate of all other months for gap fading, but is still historically profitable using MTG stop parameters.

shodson 

Scott has a pretty good analysis ( video) about the recent string of unfilled gaps: September historically has the lowest win rate of all other months for gap fading, but is still historically profitable using MTG stop parameters.

It's equity market, there's no ETH, don't u think is different from trading futures?

LukeGeniol 

It's equity market, there's no ETH, don't u think is different from trading futures?

Sorry, I'm not sure what your question is.

Are equities different from futures? Of course they are. Soooo, what's the question?

shodson 

Sorry, I'm not sure what your question is. Are equities different from futures? Of course they are. Soooo, what's the question?

If u think the Gap trading is applicable to futures like to equities.

LukeGeniol 

If u think the Gap trading is applicable to futures like to equities.

Yes it is, in fact, all of my gap trading is with futures, not equities. They are equity futures, so maybe that's why you think I'm trading with equities instead of futures, but ES, YM and NQ are the equity futures I gap trade with.

shodson 

Yes it is, in fact, all of my gap trading is with futures, not equities. They are equity futures, so maybe that's why you think I'm trading with equities instead of futures, but ES, YM and NQ are the equity futures I gap trade with.

I think u misunderstood, I do not think u trade equity, but that u had post a link to equity Gap Trading and u trade futures, so i asked u if u don't think the mechanism for this different market for gap trading is different, so maybe not applicable to futures that have near 24 h trading.
Hope I have been more clear.

Monday, September 13th - Large gaps up following the developments in Basel had me a little hesitant about fading large up gaps, but I stuck with it. NQ stopped out pretty decisively early on while ES stopped out with an end-of-day stop for a small loss.

I saw a nice inside bar reversal setup on CL and trailed it with MOBO bands for +57 ticks. I had a target of 100 ticks and it got within 12 ticks of there but then turned around and forced my hand.

Another day that didn't fill it's gap. This hasn't happened in decades.

NQ: -50 ticks
ES: -7 ticks
CL: +57 ticks