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Do European Index Futures Gap Fill? The Stats on it!
Posted by kurtosisTHere is a legitimate question that was asked of me do the Dax and ESTX50 index futures gap fill like the US index futures do? So I decided to conduct a study on it and here are the result of that study, it was based off 10 years of 15min data. This study was also based off the extended DTB session that is 8am to 10:10pm European Time.
So the numbers are in and the conclusion is, yes they do gap fill like the US does. In fact they have better numbers than the ES, NQ, YM and TF. Both the DAX and ESTX50 highlight was that Friday’s historically is the best day to gap fade the DAX and ESTX50. Approximately 60% of gaps will fill in the first 2 hours of the session for both indexes.
Good trading and may all your trades have fat tails and flat distributions
KT 