Gap Fill Strategy

The gap-fill strategy fades overnight gaps that are too small to represent a true re-pricing event. Research from Edgeful and SharePlanner on SPY and major equities shows a substantial portion of 1-4% gaps fill during the same session, particularly on mid-week days. The strategy enters in the direction of the previous close and targets the gap-fill price.

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How It Works

  1. 1

    Pre-market scan for stocks gapping 1-4% with no earnings or major news catalyst

  2. 2

    Confirm the gap is within the stock's normal overnight range using ATR

  3. 3

    Enter at the open in the direction of the previous close (short a gap up, long a gap down)

  4. 4

    Target the previous close (the "fill" level)

  5. 5

    Stop if the gap extends 50% further instead of fading; exit by late morning if unfilled

Best For

Index ETFs (SPY, QQQ, IWM)Liquid large capsLow-catalyst overnight gapsWednesday-Thursday sessions (highest fill rate per 2025-2026 research)

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Frequently Asked Questions

What is a gap fill?

A gap fill is when intraday price action retraces to the previous session's close, "filling" the overnight gap. Academic and broker research shows many small gaps fill within hours of the open.

How is gap fill different from gap and go?

Gap fill fades the gap (enters counter to the gap direction, targeting the prior close). Gap and go rides the gap (enters in the direction of the gap, expecting continuation). They are mechanical opposites and work in different conditions — gap fill on no-catalyst gaps, gap and go on strong-catalyst gaps.

How does Tradewink score gap-fill setups?

Tradewink's intraday engine evaluates each overnight gap against day-of-week fill rates, gap size relative to ATR, catalyst presence, and regime. Low-catalyst mid-week gaps in the 1-4% range score highest; earnings or news-driven gaps are filtered out because they are more likely to extend than fill.

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Tradewink is not a registered investment adviser, broker-dealer, or financial planner. All data, signals, and analytics on this page are for informational purposes only and do not constitute investment advice, financial advice, or a recommendation to buy or sell any security.

Past performance does not guarantee future results. Trading involves substantial risk of loss, including the possibility of losing more than your initial investment. You are solely responsible for your own trading decisions.

Hypothetical or backtested performance results have inherent limitations. Unlike actual trading records, simulated results do not represent real trading and may not account for the impact of market liquidity, slippage, or all transaction costs. No representation is made that any account will or is likely to achieve profits or losses similar to those shown.