Strategy library · Opening and session
Opening gap fill backtest on NQ and ES futures
Opening gap fill
Also called: gap fill strategy, fade the gap, opening gap fade, buy when the market opens at least 0.25% below yesterday's 16:00 close (fading the gap at 09:30), short when the market opens at least 0.25% above yesterday's 16:00 close (fading the gap at 09:30)
What happens if you buy NQ every time the market opens at least 0.25% below yesterday's 16:00 close (fading the gap at 09:30)?
What it is
An opening gap is a gap of at least 0.25% between the 09:30 open and yesterday's 16:00 close. This strategy fades the gap at 09:30, with the target at yesterday's close, the stop one gap-size beyond the open, and an exit at 15:59 ET otherwise.
What it did
On NQ futures from 2024-10-08 to 2026-10-07, the opening gap fill strategy took 330 trades on the session timeframe, won 51.2% of them and finished 4,498.75 points ($89,975 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 148 long trades on the session timeframe won 54.7% and made 2,267.50 points ($45,350 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the opening gap fill strategy took 279 trades on the session timeframe, won 50.9% of them and finished 852.75 points ($42,638 on one ES contract), before commission and slippage. This strategy was tested on the session timeframe only; the NQ trades are listed on this page and the ES trades under the ES tab.
How it was tested
CE Market Solutions tested the opening gap fill strategy on NQ (2024-10-08 to 2026-10-07) and ES (2024-08-28 to 2026-08-27) futures, before commission and slippage, with each signal filled at the next bar's open, intraday positions flat at 15:59 ET and textbook default indicator settings; the NQ trades are listed on this page and the ES trades under the ES tab.
See it tested with one change · $19
Tested by CE Market Solutions on 2026-10-26. The trades are listed below, one market at a time. Gross, no commission or slippage. Last 2 years.
Results
Rule as tested: Gap of at least 0.25% between the 09:30 open and yesterday's 16:00 close. Fade it at 09:30. Exit: Target yesterday's close, stop one gap-size beyond the open, else exit at 15:59.
| Timeframe | NQ · 2024-10-08 to 2026-10-07 | ES · 2024-08-28 to 2026-08-27 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 NQ) | Max DD pts | Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 ES) | Max DD pts | |
| Session | 330 | 51.2% | 13.63 | 1.211 | 4,498.75 | $89,975 | 1,639.50 | 279 | 50.9% | 3.06 | 1.230 | 852.75 | $42,638 | 248.75 |
| Session · longs only | 148 | 54.7% | — | — | 2,267.50 | $45,350 | 1,190.50 | 121 | 54.6% | — | — | 348.25 | $17,413 | 228.25 |
| Session · shorts only | 182 | 48.4% | — | — | 2,231.25 | $44,625 | 1,664.75 | 158 | 48.1% | — | — | 504.50 | $25,225 | 277.50 |
Free to use with credit to CE Market Solutions (CC BY 4.0).
ES session: the equity line
Long and short
| Side | Trades | Net pts |
|---|---|---|
| Long | 121 | 348.25 |
| Short | 158 | 504.50 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-08 | 2 | 2.00 |
| 2024-09 | 8 | 32.50 |
| 2024-10 | 13 | −42.75 |
| 2024-11 | 7 | 2.50 |
| 2024-12 | 10 | 23.75 |
| 2025-01 | 14 | 94.75 |
| 2025-02 | 8 | 152.75 |
| 2025-03 | 16 | −32.75 |
| 2025-04 | 18 | 86.50 |
| 2025-05 | 13 | 95.75 |
| 2025-06 | 11 | −72.00 |
| 2025-07 | 10 | 79.00 |
| 2025-08 | 9 | −100.50 |
| 2025-09 | 9 | −9.25 |
| 2025-10 | 12 | 102.00 |
| 2025-11 | 13 | 74.25 |
| 2025-12 | 8 | 37.50 |
| 2026-01 | 10 | 45.00 |
| 2026-02 | 10 | 73.00 |
| 2026-03 | 18 | 166.75 |
| 2026-04 | 11 | 19.75 |
| 2026-05 | 11 | −149.25 |
| 2026-06 | 13 | 208.75 |
| 2026-07 | 13 | 22.75 |
| 2026-08 | 12 | −60.00 |
Every trade, ES session279 trades
Pick any of the 279 charted trades with Previous, Next or a date, or click a row in the trades table below, to see it drawn on the real 1-minute bars. Drag the chart sideways to move through the sessions around it.
Chart unavailable. The trades are in the table below.
All trades (279), newest first
Times are New York time; points are gross. Click a row to draw that trade in the chart above.
| Session date | Side | Entry (ET) | Entry price | Exit (ET) | Exit price | Exit reason | Points |
|---|---|---|---|---|---|---|---|
| 2025-04-01 | long | 09:30 | 5638.75 | 10:06 | 5621.25 | stop gap size | −17.50 |
| 2025-03-31 | long | 09:30 | 5563.50 | 14:09 | 5624.50 | target prev close | 61.00 |
| 2025-03-28 | long | 09:30 | 5723.50 | 09:56 | 5706.50 | stop gap size | −17.00 |
| 2025-03-27 | long | 09:30 | 5742.75 | 09:37 | 5727.25 | stop gap size | −15.50 |
| 2025-03-24 | short | 09:30 | 5782.50 | 15:59 | 5813.50 | end of day 15:59 | −31.00 |
| 2025-03-21 | long | 09:30 | 5664.00 | 15:56 | 5714.50 | target prev close | 50.50 |
| 2025-03-20 | long | 09:30 | 5692.00 | 10:00 | 5730.75 | target prev close | 38.75 |
| 2025-03-19 | short | 09:30 | 5687.75 | 09:54 | 5703.50 | stop gap size | −15.75 |
| 2025-03-18 | long | 09:30 | 5708.75 | 09:40 | 5685.75 | stop gap size | −23.00 |
| 2025-03-14 | short | 09:30 | 5572.00 | 11:00 | 5615.75 | stop gap size | −43.75 |
| 2025-03-12 | short | 09:30 | 5635.50 | 10:48 | 5575.75 | target prev close | 59.75 |
| 2025-03-11 | long | 09:30 | 5609.00 | 09:39 | 5623.50 | target prev close | 14.50 |
| 2025-03-10 | long | 09:30 | 5691.25 | 14:40 | 5607.50 | stop gap size | −83.75 |
| 2025-03-07 | long | 09:30 | 5726.25 | 09:35 | 5747.75 | target prev close | 21.50 |
| 2025-03-06 | long | 09:30 | 5773.75 | 15:59 | 5747.75 | end of day 15:59 | −26.00 |
| 2025-03-04 | long | 09:30 | 5819.00 | 10:00 | 5775.25 | stop gap size | −43.75 |
| 2025-03-03 | short | 09:30 | 5984.75 | 09:49 | 5964.00 | target prev close | 20.75 |
| 2025-02-27 | short | 09:30 | 5995.50 | 09:53 | 5972.00 | target prev close | 23.50 |
| 2025-02-26 | short | 09:30 | 5987.25 | 09:52 | 6004.00 | stop gap size | −16.75 |
| 2025-02-24 | short | 09:30 | 6050.00 | 09:52 | 6030.25 | target prev close | 19.75 |
| 2025-02-12 | long | 09:30 | 6030.75 | 15:59 | 6072.75 | end of day 15:59 | 42.00 |
| 2025-02-11 | long | 09:30 | 6065.00 | 10:47 | 6088.25 | target prev close | 23.25 |
| 2025-02-10 | short | 09:30 | 6080.75 | 15:59 | 6088.25 | end of day 15:59 | −7.50 |
| 2025-02-06 | short | 09:30 | 6103.75 | 10:47 | 6086.00 | target prev close | 17.75 |
| 2025-02-03 | long | 09:30 | 5972.25 | 15:59 | 6023.00 | end of day 15:59 | 50.75 |
| 2025-01-31 | short | 09:30 | 6122.50 | 11:01 | 6145.75 | stop gap size | −23.25 |
| 2025-01-30 | short | 09:30 | 6089.50 | 10:55 | 6068.25 | target prev close | 21.25 |
| 2025-01-27 | long | 09:30 | 5998.00 | 15:59 | 6046.75 | end of day 15:59 | 48.75 |
| 2025-01-22 | short | 09:30 | 6116.25 | 15:59 | 6120.25 | end of day 15:59 | −4.00 |
| 2025-01-20 | short | 09:30 | 6064.25 | 12:59 | 6055.25 | early close | 9.00 |
| 2025-01-17 | short | 09:30 | 6026.75 | 15:59 | 6033.00 | end of day 15:59 | −6.25 |
| 2025-01-15 | short | 09:30 | 5964.75 | 15:59 | 5988.50 | end of day 15:59 | −23.75 |
| 2025-01-14 | short | 09:30 | 5902.75 | 11:00 | 5875.25 | target prev close | 27.50 |
| 2025-01-13 | long | 09:30 | 5817.50 | 14:39 | 5866.50 | target prev close | 49.00 |
| 2025-01-10 | long | 09:30 | 5920.75 | 10:00 | 5882.50 | stop gap size | −38.25 |
| 2025-01-07 | short | 09:30 | 6042.00 | 10:00 | 6022.50 | target prev close | 19.50 |
| 2025-01-06 | short | 09:30 | 6032.75 | 15:59 | 6022.50 | end of day 15:59 | 10.25 |
| 2025-01-03 | short | 09:30 | 5945.00 | 11:33 | 5972.75 | stop gap size | −27.75 |
| 2025-01-02 | short | 09:30 | 5967.75 | 09:40 | 5935.00 | target prev close | 32.75 |
| 2024-12-30 | long | 09:30 | 5955.25 | 15:59 | 5958.00 | end of day 15:59 | 2.75 |
| 2024-12-27 | long | 09:30 | 6052.50 | 10:17 | 6010.25 | stop gap size | −42.25 |
| 2024-12-26 | long | 09:30 | 6079.25 | 11:43 | 6099.00 | target prev close | 19.75 |
| 2024-12-20 | long | 09:30 | 5907.25 | 10:13 | 5934.25 | target prev close | 27.00 |
| 2024-12-19 | short | 09:30 | 5988.75 | 15:36 | 5939.25 | target prev close | 49.50 |
| 2024-12-17 | long | 09:30 | 6127.50 | 15:59 | 6127.75 | end of day 15:59 | 0.25 |
| 2024-12-16 | short | 09:30 | 6072.50 | 13:23 | 6089.25 | stop gap size | −16.75 |
| 2024-12-13 | short | 09:30 | 6077.25 | 10:40 | 6059.75 | target prev close | 17.50 |
| 2024-12-11 | short | 09:30 | 6075.50 | 15:59 | 6092.25 | end of day 15:59 | −16.75 |
| 2024-12-04 | short | 09:30 | 6080.00 | 15:10 | 6097.25 | stop gap size | −17.25 |
| 2024-11-25 | short | 09:30 | 6026.75 | 12:44 | 5986.00 | target prev close | 40.75 |
Questions and answers
What happens if you buy NQ every time the market opens at least 0.25% below yesterday's 16:00 close (fading the gap at 09:30)?
From 2024-10-08 to 2026-10-07 on the NQ session timeframe, the opening gap fill strategy took 148 long trades, won 54.7% of them and made 2,267.50 points ($45,350 on one NQ contract), before commission and slippage.
What happens if you short ES every time the market opens at least 0.25% above yesterday's 16:00 close (fading the gap at 09:30)?
From 2024-08-28 to 2026-08-27 on the ES session timeframe, the opening gap fill strategy took 158 short trades, won 48.1% of them and made 504.50 points ($25,225 on one ES contract), before commission and slippage.
Does the opening gap fill strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the opening gap fill strategy on the session timeframe took 330 trades, won 51.2% of them and finished 4,498.75 points ($89,975 on one NQ contract), before commission and slippage.
What is the win rate of Opening gap fill on ES futures?
The opening gap fill strategy won 50.9% of its 279 trades on the ES session timeframe from 2024-08-28 to 2026-08-27, before commission and slippage.
Is it better to only buy or only sell opening gap fill signals on NQ?
On the NQ session timeframe from 2024-10-08 to 2026-10-07, the long trades made 2,267.50 points on 148 trades (54.7% won) and the short trades made 2,231.25 points on 182 trades (48.4% won), before commission and slippage.
How many trades does the opening gap fill strategy take on NQ in two years?
The opening gap fill strategy took 330 trades on the NQ session timeframe from 2024-10-08 to 2026-10-07, before commission and slippage.
What is the max drawdown of the opening gap fill strategy on NQ?
The opening gap fill strategy had a max drawdown of 1,639.50 points ($32,790 on one NQ contract) on the NQ session timeframe from 2024-10-08 to 2026-10-07, before commission and slippage.
How does the opening gap fill strategy do on ES compared with NQ?
On the ES session timeframe from 2024-08-28 to 2026-08-27, the opening gap fill strategy took 279 trades, won 50.9% of them and made 852.75 points ($42,638 on one ES contract), before commission and slippage. On the NQ session timeframe from 2024-10-08 to 2026-10-07, the opening gap fill strategy took 330 trades, won 51.2% of them and made 4,498.75 points ($89,975 on one NQ contract), before commission and slippage.
How these were run
- Gross: no commission and no slippage.
- The last 2 years of each market, from the first to the last session of its window.
- A signal on a closed bar fills at the next bar’s open.
- A stop and a target touched in the same minute count as the stop.
- Intraday positions are flat at 15:59 ET.
- Textbook TradingView default settings for every indicator; nothing is tuned.
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