Gap Filler Strategy

📜 Gap Filler Strategy Rules

Gap Filler is a mean-reversion system that identifies high-probability opportunities to trade SPY when price gaps occur at the open. It uses price structure, candlestick analysis, volume, and trend context to determine whether a gap is likely to fill.

🔽 Long Trade (after a gap down):

• Gap type is price_gap_down or bar_gap_down
• A bullish candlestick pattern is detected (e.g., Hammer, Tweezer Bottom)
• Trend context is bullish or neutral
• Volume context is normal or elevated
• Gap has not already filled (days_to_target > 0)

🔼 Short Trade (after a gap up):

• Gap type is price_gap_up or bar_gap_up
• A bearish candlestick pattern is detected (e.g., Shooting Star, Dark Cloud Cover)
• Trend context is bearish or neutral
• Volume context is normal or elevated
• Gap has not already filled (days_to_target > 0)

📊 Exit Logic:

• If the gap fills before or on day N, exit at the target
• If not, exit at the close of day N
• N may vary (e.g., same-day exit, 2-day, 10-day, etc.)

⚠️ Risk Controls:

• No trade if the gap was already filled on the setup day
• No trade on ambiguous or invalid patterns
• Backtested with fixed entry/exit rules for consistency