FIG. 1: EQUITY-CURVE.
Of particular importance is the equity curve. A steadily rising stream of profit. Here comes the Equilla code to do just this:
if open of tomorrow > high
then short next bar at market;
// short if overnight gap up.
cover ("Gap closed") next bar at high limit;
// cover if gap closed
The strategy is designed to keep things simple. It is works best if run on daily data and it enters a short trade if there has been an up-gap overnight. (open tomorrow > high today). The trade is closed if the gap is closed.
As with most strategies this may be applied to a portfolio or watch list. Here I have a selection of stocks from the FTSE 100 to find good opportunities for trading the gaps.