OPEN-SOURCE SCRIPT
RTH Gap Fill Statistics
This description is optimized for your RTH Gap Fill Statistics (Full Session) indicator. While your previous script focused on the 12:00 PM cutoff, this version provides a comprehensive view of how gaps behave across the entire Regular Trading Hours (RTH) session.
RTH Gap Fill Statistics [Full Session Probability]
The RTH Gap Fill Statistics indicator is a quantitative analysis tool designed to track the lifecycle of price gaps from the opening bell to the final minutes of the trading day. By analyzing a rolling 126-day sample (approximately 6 months of market data), it provides traders with the historical probability of a gap being filled partially (50%) or fully (100%) before the market close.
This tool is indispensable for intraday traders who need to decide whether a morning gap represents a "Breakaway Gap" (high probability of continuation) or a "Pro Gap" (high probability of a fill).
Core Metrics & Methodology
The script identifies the "Gap" as the distance between the previous day's 4:00 PM close and today's 09:30 AM open. It then monitors every price tick during the RTH session to record the maximum "Fill" achieved.
Gap Up Logic: If price opens above the previous close, a "Fill" is recorded as price moves down toward the previous day's high/close.
Gap Down Logic: If price opens below the previous close, a "Fill" is recorded as price moves up toward the previous day's low/close.
The Probability Matrix (Dashboard)
The dashboard categorizes market behavior into Size Tiers (from micro-gaps of <0.2% to significant gaps >0.8%) to show how size affects the outcome:
Min 50%: The frequency with which price retraced at least half of the opening gap.
100% (Full Fill): The frequency with which price touched the previous day's closing price, completely "closing" the window.
<50%/None: The frequency with which the gap was strongly defended, resulting in less than a 50% retracement.
N: The total sample size (number of days) for that specific gap tier.
How to Interpret the Data
High-Conviction Trends: If a gap tier (e.g., >0.8%) shows a very high percentage in the <50%/None column, it indicates a "Runaway Gap" regime. Fading these moves is statistically dangerous.
Mean Reversion Opportunities: Small gaps (0.2% or less) often exhibit high 100% Fill rates. If the dashboard shows an 80% full-fill rate for small gaps, a move back to the previous day's close is a high-probability trade.
Full Session Context: Unlike morning-only trackers, this script looks at the Full RTH Tier, accounting for late-afternoon "Power Hour" moves that often complete gap fills that were stalled during the midday doldrums.
Technical Specifications
Lookback Period: 126 Days (standard institutional lookback for medium-term regimes).
Timezone: Optimized for America/New_York to align with NYSE/NASDAQ exchange hours.
Precision: Calculated on intraday timeframes (1m, 5m, 15m) to capture the exact wick extremes of the day.
Disclaimer: Historical gap statistics provide a baseline of probability. They should be used to gauge risk-to-reward ratios and are most effective when combined with volume analysis and market internals.
RTH Gap Fill Statistics [Full Session Probability]
The RTH Gap Fill Statistics indicator is a quantitative analysis tool designed to track the lifecycle of price gaps from the opening bell to the final minutes of the trading day. By analyzing a rolling 126-day sample (approximately 6 months of market data), it provides traders with the historical probability of a gap being filled partially (50%) or fully (100%) before the market close.
This tool is indispensable for intraday traders who need to decide whether a morning gap represents a "Breakaway Gap" (high probability of continuation) or a "Pro Gap" (high probability of a fill).
Core Metrics & Methodology
The script identifies the "Gap" as the distance between the previous day's 4:00 PM close and today's 09:30 AM open. It then monitors every price tick during the RTH session to record the maximum "Fill" achieved.
Gap Up Logic: If price opens above the previous close, a "Fill" is recorded as price moves down toward the previous day's high/close.
Gap Down Logic: If price opens below the previous close, a "Fill" is recorded as price moves up toward the previous day's low/close.
The Probability Matrix (Dashboard)
The dashboard categorizes market behavior into Size Tiers (from micro-gaps of <0.2% to significant gaps >0.8%) to show how size affects the outcome:
Min 50%: The frequency with which price retraced at least half of the opening gap.
100% (Full Fill): The frequency with which price touched the previous day's closing price, completely "closing" the window.
<50%/None: The frequency with which the gap was strongly defended, resulting in less than a 50% retracement.
N: The total sample size (number of days) for that specific gap tier.
How to Interpret the Data
High-Conviction Trends: If a gap tier (e.g., >0.8%) shows a very high percentage in the <50%/None column, it indicates a "Runaway Gap" regime. Fading these moves is statistically dangerous.
Mean Reversion Opportunities: Small gaps (0.2% or less) often exhibit high 100% Fill rates. If the dashboard shows an 80% full-fill rate for small gaps, a move back to the previous day's close is a high-probability trade.
Full Session Context: Unlike morning-only trackers, this script looks at the Full RTH Tier, accounting for late-afternoon "Power Hour" moves that often complete gap fills that were stalled during the midday doldrums.
Technical Specifications
Lookback Period: 126 Days (standard institutional lookback for medium-term regimes).
Timezone: Optimized for America/New_York to align with NYSE/NASDAQ exchange hours.
Precision: Calculated on intraday timeframes (1m, 5m, 15m) to capture the exact wick extremes of the day.
Disclaimer: Historical gap statistics provide a baseline of probability. They should be used to gauge risk-to-reward ratios and are most effective when combined with volume analysis and market internals.
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.