Strategy GAP

This strategy is based on gap detection.

A gap is detected when

  • The low price of the next session is above the high price of the previous session
  • The high price of the next session is below the low price of the previous session

The is

  • a continuation bullish gap if the previous trend was upward
  • a breaking bullish gap if the previous trend was downward
  • a continuation bearish gap if the previous trend was downward
  • a breaking bearish gap if the previous trend was upward

Efficieny rate of the strategy GAP on CAC40 companies on

Evolution of the efficiency rate of the strategy GAP

 

Methodology applied :

The methodology applied to calculate the efficiency of a strategy is as follows:

  • Bullish and bearish signals are calculated every evening when the market is closed.
  • The reference price corresponds to the opening price following the detection of the signal.
  • The gain or the loss is calculated over a period of 40 days following the detection of the signal by taking the highest closing price recorded over the period.
  • This period is reduced in case of detection of an inverse signal.
  • The efficiency rate is calculated by dividing the sum of gains and losses on the sum by the sum of the gains.

This efficency is displayed in %.