Last Gap Up/Gap Down Price Size

Using the "GapUp" and "GapDown" functions, it is easy to spot up and down gaps and tells on which bars these gaps have occurred. It is also very interesting to know the size of the gap.

First and for those who don't know what a Gap is; it is the price change between the high and low of two successive days on the bar where the today's low price is higher than yesterday's high price (This is for the definition of the gap up). The Gap down occurs when today's high price is lower than yesterday's low price.

There are several types of gap patterns (Common, Continuation, Breakaway and Exhaustion) and these patterns occur depending on whether the stock continues up or down after a Gap occurred.

The "GapUp" function in QuantShare allows you to detect bars where a stock is gapping up and the "GapDown" function is there to identify bars where a stock is gapping down. These two functions do not return the amount or size of the Gap. The size is defined differently for the Gap Up and Gap Down patterns. For the Gap Up pattern, it is the difference between the low price of the stock and the previous bar high price. For the Gap Down pattern it is simply the difference between the high price of the stock and the previous bar low price.

The current trading indicator returns the size of the Gap up or down that occurred during the previous N-Bars. This means that this function has one argument and this argument is there to define the lookback period that is used to search for gapping stocks. If the argument or parameter is set to zero then this function will returns Gap Sizes only on bars where these Gaps have occurred.

To distinguish between Gap Up and Gap Down, just look at the sign of the value returned by this indicator. If the value is positive then the recent Gap was a Gap up and if the sign is negative then the recent Gap was a Gap Down.

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