gap_fill_index_futures

Caginalp-DeSantis (2011) JoBF & Andrade-Chang-Seasholes (2008) JoBF — equity index 中規模 (0.3-0.8%) overnight gap は 60-70% fill rate、大規模 gap は continuation 多

All strategies

Rolling Sharpe

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90-day rolling window

Drawdown

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peak-to-trough

Win Rate

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0 fires · weight 0.00×

Current Status

State

Ensemble Weight—

Fires (90d)0

Last fired—

Methodology

Caginalp-DeSantis (2011) JoBF & Andrade-Chang-Seasholes (2008) JoBF — equity index 中規模 (0.3-0.8%) overnight gap は 60-70% fill rate、大規模 gap は continuation 多

Supported Markets

Universal

State Transition History

No state changes recorded yet