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Gap Fill Master E-mini S&P
Version 1
The Gap Fill Master E-mini S&P trading system trades the E-mini S&P, one minute charts using additional data series, data2, E-mini S&P Daily bar (day session), and data3, NYSE Advance Decline Line ($ADD), to to trade the opening gap in the stock index futures. The original version, Gap Fill I, is from the book, Seven Trading Systems for the S&P Futures, by David Bean. In the latest version of this strategy, Gap Fill Master, we use the Advance Decline, adding one additional rule to the strategy which also increases selectivity. This strategy is based on basic mean reversion and gap strategy ideas. The strategy settings allow the user to modify the inputs so that the inputs can be adjusted over time. The data in Tradestation allows us to backtest this strategy going back to 2006. To backtest and automate this strategy, you will need to make sure you have real time quotes for the E-mini S&P futures on the CME and real time quotes from the NYSE for the NYSE ADD ($ADD). If you do not hav...
The Gap Fill Master E-mini S&P trading system trades the E-mini S&P, one minute charts using additional data series, data2, E-mini S&P Daily bar (day session), and data3, NYSE Advance Decline Line ($ADD), to to trade the opening gap in the stock index futures. The original version, Gap Fill I, is from the book, Seven Trading Systems for the S&P Futures, by David Bean. In the latest version of this strategy, Gap Fill Master, we use the Advance Decline, adding one additional rule to the strategy which also increases selectivity.

This strategy is based on basic mean reversion and gap strategy ideas. The strategy settings allow the user to modify the inputs so that the inputs can be adjusted over time. The data in Tradestation allows us to backtest this strategy going back to 2006.

To backtest and automate this strategy, you will need to make sure you have real time quotes for the E-mini S&P futures on the CME and real time quotes from the NYSE for the NYSE ADD ($ADD). If you do not have real time quotes for these you may receive the error, “You may not mix symbols of different delays.”
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Requirements
Tradestation 9.5 (Update 22)
Support Documents
Asset Type
Future
Style
Intraday
Methodology
Counter Trend
Analysis Techniques
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