So I attempted to recreate the study found here
http://paststat.com/blog/spy-posts-surprise-gap-open/
But I found vastly more instances of his signal than he did. There
are 4 instances in the first ten trading days of 2000 alone. The most
recent signal unaccounted for in his results was on 10-08-2014.
The SPY lost 1.5% on October 7th, closing at $193.26. Satisfying the first condition.
On October 8th, the SPY opened at $193.37, satisfying the second.
I’ve contacted the blog’s author, hopefully we can resolve this whether it’s a mistake on my end or his.
Here is my python code:
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