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Trading Strategies

What Is the Gap Fill Strategy

The gap fill strategy is built on a gap — a stretch of prices nobody traded at, left when the market opens away from where it closed — and on the price's return to the close it left. This paper shows you the euro's 121-pip gap over the first weekend of February 2025 and its fill forty hours later, from real bars; the idea as a footbridge with a plank missing; the gap and the fill on the hourly chart; four weekend gaps of 2025 with four different answers; and the Sessions rows on your platform where every weekend gap is born.

Difficulty
Intermediate
Reading time
5 min
Pages
8
Reviewed by
Saman Rahbar

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A hole at the weekend

The gap fill strategy is built on a gap and a return. A gap is a stretch of prices nobody traded at: the market closed at one price and opened at another, and nothing happened in between. Take the euro against the dollar over the first weekend of February 2025. On Friday 31 January the market closed at 1.03580. On Monday 3 February it opened at 1.02366, 121 pips lower — a pip is the fourth decimal place, the smallest step the price is usually counted in. On Tuesday 4 February, forty hours after the open, the price came back up through the band to 1.03580, which is what filling the gap means. A gap at the open, and the price's return to where it left off, is the pair the strategy watches for.

A plank missing from the bridge

Picture a footbridge with a plank missing. Each plank is a stretch of prices the market walked over, one trade after another. The missing plank is the gap, the stretch nobody traded at, because the price stepped straight from Friday's close to Monday's open while the market was shut. Filling the gap is the price walking back and standing on that plank: the first trade back at Friday's close. The strategy watches gaps for that walk back. How long it waits for it, and what it does when it comes, is on its card, and this paper only shows the plank.

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