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As posted earlier this week, I said I would post on the weekend the summary stats for the major (9) FX pairs I listed.
Below are 2 tables showing the week by week data for each of the 9 FX pairs from every weekend in 2016, and below those are 2 summary tables, 1 summarising the stats for 2016, and 1 summarising the stats week by week:
The points worth highlighting from the data are:
1. Out of the 270 data points (30 weeks x 9 FX pairs), only 3 gaps (1% of all gaps in the data set) have not yet closed - all 3 are the gaps for the GBP pairs opened on the weekend of 27/6/2016 - i.e. the weekend after the Brexit vote took place (so no real surprise there).
2. Each of those 3 GBP gaps have closed about 25% to date (see 3 4 hourly charts below)
Any guarantee they will close??? No guarantee, but what the data says about the probability is as follows:
Well every other gap has closed that I have researched (in addition to this year's data, I have examined 4 year's worth of AUDUSD data and all gaps have closed other than those 3 GBP gaps).
Also, the swings away from the gap open level for those 3 GBP pairs have so far maxxed out at 403, 715 & 883 pips (for the AUDGBP, GBPEUR & GBPUSD respectively). There are 16 other gaps which have swung away over 250 pips and up to 800 pips which have all closed in up to 88 days (the longest open in the data set - again a GBP pair with the AUD earlier this year).
The largest gap I have seen is an AUDUSD gap opened in 2010 which swung away to a maximum of 1815 pips from its gap open before closing 3 years later in 2013. In the AUDUSD pair 2 other gaps opened to a max of over 1000 pips and both closed within 6 months.
3. Of the 270 data points, there were gaps (at least 1 pip) on 258 (96%) of occasions. Of these the initial gaps were > 10 pips on 131 (49%) of occasions, and swung out to > 10 pips on 202 (75%) of occasions before closing. The average initial gap size is 17 pips and the average maximum swing away before closing is 62 pips.
4. Of the 270 data points, 222 (82%) closed within 1 day, and 252 (93%) closed within 1 week. Another 16 (6%) took more than 1 week to close and of course there are the 3 (1%) GBP gaps that haven't closed (yet...), meaning that of the 270 data points 267 (99%) of gaps have closed. That's in addition to the 4 years of back-data on the AUDUSD (200 data points) which have all closed.
On a weekly basis there are an average of 4 out of 9 pairs (49%) which have an initial gap > 10 pips, and an average of 7 out of 9 pairs (75%) which open out to > 10 pips before closing. I have chosen 10 pips as the minimum threshold for a gap to be worth trading, taking into account the spread on some pairs can be up to 5 pips on a Monday morning before the Australian stock market opens.
For anyone interested, I will attempt to cover the progress of weekend gaps as they open and close on a regular weekly basis, since I am following them again regularly anyway.
Cheers, Sharks.
PS: the 3 open GBP gaps, as discussed above (4 hour charts):
AUDGBP, opened 27/6/2016:
GBPEUR gap opened 27/6/2016:
GBPUSD gap opened 27/6/2016:
