Can you profitably fade 2% gap-downs in uptrends?
Across 214 of 220 tickers between 2015-01-01 and 2024-12-31, average return was 0.17%, average max drawdown -4.34%.
A thin edge: +0.17% mean return across 214 tickers, with -4.34% average drawdown — gentle on risk, but the edge is too small to act on alone.
What we tested
We want to fade panic gap-downs that happen inside an established uptrend, on the bet that they overreact and bounce within a few days. Enter long at today's open when today's open is at least 2 percent below yesterday's close, yesterday's close was above the 200 day simple moving average, and the close from two days ago was also above the 200 day moving average. Skip the entry if today's open is more than 6 percent below yesterday's close, since that usually signals real bad news. On entry, place a protective stop 1.5 ATR below the entry price using the 14 period ATR from yesterday's bar. Size the position so a stop-out loses exactly 1 percent of account equity. Round down to a whole number of shares. Take profit at 1.5R, which is one and a half times the distance between entry and stop. If neither the stop nor the target is hit within 5 trading days, exit at the close of the fifth day. Long only. One open position per ticker at a time. No leverage and no pyramiding.
- Window
- 2015-01-01 → 2024-12-31
- Universe
- 220 tickers
- Ranking metric
- return_pct
Overall results
Aggregated across 214 runsEqual-weighted mean of total return across symbols that completed. · 3 codegen refinements on pilot
Unweighted mean across successful runs.
214 completed · 6 failed
Mean of worst peak-to-trough per symbol.
Aggregate gross profit ÷ gross loss.
Summed over successful symbols.
Return distribution
How the 214 tickers split up across return_pct buckets. Reads left to right from worst to best.
- ≤ -10%3 (1.4%)
- -10% to -5%14 (6.5%)
- -5% to -1%68 (31.8%)
- −1% to +1%47 (22.0%)
- +1% to +5%60 (28.0%)
- +5% to +10%19 (8.9%)
- > +10%3 (1.4%)
By sector
Top and flop names per GICS sector, ranked by return_pct.
Communication Services
18 / 20 completed- CHTR3.32%
- MTCH3.30%
- TTWO2.93%
- META2.19%
- WBD1.96%
- DIS-5.88%
- EA-5.40%
- GOOG-4.58%
- GOOGL-3.89%
- OMC-2.73%
Consumer Discretionary
20 / 20 completed- CMG7.11%
- LOW6.65%
- BKNG3.68%
- LULU3.61%
- HLT3.02%
- TSLA-12.05%
- SBUX-5.73%
- ULTA-4.63%
- ROST-4.19%
- F-3.88%
Consumer Staples
20 / 20 completed- KR4.07%
- KHC3.08%
- CLX2.81%
- GIS2.40%
- KO2.01%
- TGT-7.49%
- KMB-3.16%
- CL-3.07%
- PG-2.98%
- MDLZ-2.65%
Energy
17 / 20 completed- DVN14.97%
- MPC6.81%
- OXY6.55%
- CVX6.40%
- VLO5.71%
- PSX-3.63%
- COP-2.04%
- XOM-0.84%
- WMB-0.16%
- KMI2.07%
Financials
19 / 20 completed- PNC3.44%
- CME3.28%
- TFC3.07%
- ICE1.87%
- BAC1.77%
- SCHW-12.01%
- MCO-9.58%
- COF-5.54%
- BLK-3.72%
- WFC-3.57%
Health Care
20 / 20 completed- LLY3.81%
- JNJ3.42%
- MRK2.98%
- ABBV2.39%
- UNH1.94%
- AMGN-6.71%
- ISRG-5.92%
- PFE-5.60%
- VRTX-5.08%
- SYK-4.44%
Industrials
20 / 20 completed- HON11.55%
- RTX7.05%
- BA3.88%
- ETN3.53%
- NSC2.57%
- LMT-4.74%
- GD-4.62%
- ITW-4.06%
- ROK-3.07%
- CSX-2.97%
Information Technology
20 / 20 completed- NVDA9.02%
- MU7.74%
- INTU7.65%
- QCOM7.42%
- CSCO3.67%
- AVGO-11.02%
- ADBE-5.50%
- INTC-5.12%
- NOW-4.01%
- MSFT-3.15%
Materials
20 / 20 completed- ALB10.87%
- MOS9.68%
- CF7.30%
- VMC6.93%
- NEM6.69%
- APD-6.75%
- CTVA-4.82%
- FMC-3.24%
- NUE-1.68%
- STLD-1.46%
Real Estate
20 / 20 completed- SPG3.69%
- VTR3.46%
- UDR3.27%
- ARE3.00%
- CCI2.41%
- CBRE-4.31%
- INVH-3.38%
- AVB-2.04%
- O-1.68%
- MAA-1.51%
Utilities
20 / 20 completed- CNP7.78%
- PEG2.47%
- EXC0.98%
- CMS0.82%
- XEL0.64%
- NEE-6.27%
- EIX-1.66%
- PCG-1.26%
- ES-1.16%
- SO-1.13%
Disclaimer
Past performance does not predict future results. This is a backtest over a fixed historical window and it does not model execution costs, borrowing, taxes, or survivorship of the universe. Nothing here is investment advice.
Generated Apr 23, 2026 · slug gap-down-fade