Quantpedia contacted me a few months ago and asked if I’d be interested in reviewing their site on my blog. I’m always looking for new ideas for trading systems, so I said “sure!” (Disclosure: they provided me with free account access during the review period.) is an aggregator and interpreter of academic papers on trading and financial research. An encyclopedia of quant-based trading research, if you will. Their sources appear mainly to be online academic journals and articles, and they provide links to the original sources for in-depth reading if you so choose. Continue reading Review:

Double Gaps and Hens’ Teeth

I looked at the chart for SPY just now, and thought, “Huh…two days in a row that have gapped up. Wonder if that’s significant in any way?” By “gap,” I mean that today’s low was higher than yesterday’s high.

When this happens two days in a row, does it mean we should use quintuple leverage to buy everything we can? Sell at the opening bell and hide under a rock? Something else?

Turns out, this double-gap stuff is as rare as hens’ teeth. Since 2000, it has only happened eight times (including today). Therefore, NO CONCLUSIONS CAN BE MADE! There isn’t enough data to glean anything useful. But in case you were wondering, here’s how it would look if you bought at tomorrow’s open (“O1”), and held to tomorrow’s close (“C1”), the following day’s close (“C2”), or until five days later (“C6”). Again, nothing useful other than to ponder why this might be so rare.


Ticker Date/Time  O1 to C1  C1 to C2  C1 to C6 
SPY    10/4/2004  0.04      0.68     -1.16
SPY    12/24/2007 0.61     -0.66     -2.55
SPY    9/7/2012  -0.47     -0.19      1.77
SPY    12/9/2013 -0.13     -1.25     -1.29
SPY    2/17/2016 -0.57     -0.62      1.21
SPY    7/11/2016  0.20      0.18      0.77
SPY    9/12/2017  0.18      0.15      0.14
SPY    7/10/2018  ???       ???       ???