Gap Fill
When today's RTH open prints outside yesterday's range, price tends to revisit the prior settlement before continuing. Outside-day variant; complements the inside-gap variant.
updated 2026-04-28
The setup
Today’s RTH open prints outside yesterday’s range — above PDH (gap up) or below PDL (gap down). Statistically, outside-day gaps fill back to the prior settlement (or at least into the prior range) more often than not.
This is the outside-day variant of the gap-fill family. For the inside-day variant — where today opens inside yesterday’s range but with a settlement gap — see INSIDE GAP FILL.
Line ships on our chart HUD as GAP FILL → PDH / GAP FILL → PDL.
Entry rules
- Outside-open filter:
today_open > PDHortoday_open < PDL - Sized gap:
|today_open − prior_settle| ≥ 0.25 × ATR14 - Direction: opposite of gap (gap up → bear toward PDH; gap down → bull toward PDL)
- Target: PDH (for gap-down fills coming up) or PDL (for gap-up fills coming down) — whichever sits between current price and prior settle
- TTL: full RTH session
Stats by gap size
| Gap size | n | Same-day fill |
|---|---|---|
| 0.25–0.5 × ATR14 | 470 | 71% |
| 0.5–1.0 × ATR14 | 380 | 58% |
| 1.0–1.5 × ATR14 | 180 | 42% |
| ≥ 1.5 × ATR14 | 70 | 28% |
Larger gaps fill less often — they imply genuine repricing. The 0.25–0.5 × ATR14 bucket is the sweet spot.
Why Tier 2
Reliable but slow — the median fill takes 90+ minutes when it happens, and the worst cohort (large gaps) actively trends rather than fades. Best used as a confluence input for trades pointing back toward the prior range.
History
- 2026-04-28 — Page created. Outside-day cohort separated from inside-day, which has materially different behavior.