Premarket Gap Statistics
66,906 historical gap alerts 2022-01-03 → 2026-08-31 5-min · 60-min · EOD outcomes
- Win rate
- closed positive vs alert price
- Fade rate
- closed below open
- MFE
- average max favorable excursion
- MAE
- average max adverse excursion
| Gap Size | Sample | Win @ 60min | Fade @ 60min | Win @ EOD | Avg MFE | Avg MAE |
|---|---|---|---|---|---|---|
| 5-10% | 14,955 | 44.7% | 55.3% | 51.0% | +6.79% | -2.47% |
| 10-20% | 6,451 | 40.5% | 59.5% | 48.0% | +11.67% | -3.83% |
| 20-30% | 2,020 | 38.8% | 61.2% | 47.1% | +18.29% | -5.28% |
| 30-50% | 1,413 | 37.8% | 62.2% | 43.9% | +24.38% | -6.68% |
| 50%+ | 1,742 | 31.5% | 68.5% | 35.6% | +32.1% | -9.22% |
PATTERN · bigger the gap, lower the 60-minute win rate. Gap-and-fade dominates the first hour. MFE/MAE asymmetry shows large gaps offer wider intraday range but skewed toward sellers.
- Continuation @ 60min
- stock kept falling for the first hour
- Continuation @ EOD
- closed below the open
| Gap Size | Sample | Continuation @ 60min | Continuation @ EOD | Avg 60-min Move |
|---|---|---|---|---|
| -5 to -10% | 16,925 | 50.5% | 49.6% | -0.12% |
| -10 to -20% | 7,361 | 50.0% | 49.3% | -0.08% |
| -20 to -30% | 1,904 | 52.3% | 53.8% | -0.49% |
| -30 to -50% | 1,075 | 55.5% | 58.8% | -2.22% |
| <-50% | 415 | 58.3% | 60.5% | -2.13% |
PATTERN · small gap-downs (under 20%) are roughly coin-flip on continuation. Gap-downs deeper than 30% tend to keep selling — bounce trades are statistically risky.
| Sector | Sample | Fade @ 60min | Avg 60-min Move |
|---|---|---|---|
| Pharmaceutical Preparations | 1,477 | 64.7% | -1.68% |
| Services-Prepackaged Software | 464 | 57.5% | -0.37% |
| Biological Products, (No Disgnostic Substances) | 336 | 63.7% | -1.98% |
| Finance Services | 312 | 60.3% | -1.3% |
| Surgical & Medical Instruments & Apparatus | 285 | 63.5% | -1.74% |
| Semiconductors & Related Devices | 196 | 61.7% | -1.43% |
| Services-Computer Processing & Data Preparation | 194 | 61.3% | 0.39% |
| Miscellaneous Electrical Machinery, Equipment & Supplies | 169 | 64.5% | -2.41% |
| Services-Computer Programming, Data Processing, Etc. | 145 | 58.6% | -1.22% |
| Services-Business Services, Nec | 127 | 70.1% | -3.32% |
PATTERN · industries with the most ≥10% gap-up alerts and how they fade in the first hour.
These aggregates are the starting point, not the answer. A 60% fade rate on 50%+ gap-ups is a population statistic — your specific setup (ticker, float, sector, time of day, premarket volume, news catalyst) will have its own win rate that may diverge significantly.
Use FILTRIX's Context Analysis to filter these 66,906 alerts down to your exact setup conditions and see what the historical edge looks like for the trade you are about to take.
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