Small gap fade
Gap fill trading rests on an old floor saying: gaps get filled. This version is selective. It only trades small NIFTY futures gaps of 0.2% to 0.5%, waits for the first 15-minute bar to close back against the gap as a sign the opening push has failed, then trades toward the previous day's close with the stop at the opening bar's extreme.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
With 18 trades no bucket reaches the size needed for a firm verdict, but one pattern stands out. Quiet sessions with a range under 0.75% lost ₹17,438 over 13 trades, winning only 23%: once the opening bar turned, the market often drifted without reaching yesterday's close and eventually took out the opening extreme. The 4 choppy days made ₹10,666 and all won, because a wide swinging session easily travels back across a small gap. The 3 gap-down opens of 0.4% or more all filled, for ₹10,094. Trades after a normal VIX evening lost ₹14,773 over 13.
About this strategy
- Compare the near-month NIFTY future's opening price with the previous session's close; trade only if the gap is between 0.2% and 0.5% either way.
- Skip the session right after a futures expiry, where the gap would include the switch to a new contract.
- Let the first 15 minutes form the opening bar.
- After a gap up, if that bar closes below the open, sell one lot on the next tick; after a gap down, if it closes above the open, buy one lot.
- Set the stop at the opening bar's high for a short or its low for a long, and the target at the previous close.
- Exit on the stop, the target or at 15:15; one trade a day at most.
Why traders use it
Small gaps often come from overnight cues that the Indian market has already partly priced, so the first wave of orders can overshoot and then fade. Waiting for the opening bar to close against the gap filters out days when the gap is being extended. The target, yesterday's close, is a level every trader watches, and the stop is right behind the failed opening move, giving a clear risk-reward on every trade.
The year in plain words
Small gaps that turned in the first 15 minutes were uncommon: from 1 Oct 2025 to 30 Sep 2026 the rules traded 18 times on NIFTY, about 1.5 a month, with a median hold of 40 minutes. Eight trades reached the previous close and 10 were stopped at the opening bar's extreme, a 44% win rate with similar-sized wins and losses. Net P&L was a ₹3,645 loss before costs and ₹8,885 after ₹20 per order and slippage. November lost ₹8,242 and June made ₹5,362. Over this sample, the gap-fill idea was close to a coin toss before costs.
What the settings do
Risks
- The sample is small, so a few trades decide the year.
- The stop sits at the opening bar's extreme, which can be wide after a volatile first 15 minutes.
- Gaps driven by real news may not fill at all, and the strategy has no event filter.
- Costs on each round trip are large compared with the small gap being traded.
Who it suits
Intraday futures traders who want a selective, rules-based morning setup with a defined stop and target, can wait through weeks with no trade, and have margin for a NIFTY futures lot.
Questions traders ask
What is a gap fill strategy?
It trades against an opening gap, expecting the price to return to the previous day's close. After a gap up it sells and after a gap down it buys, with the previous close as the target. This version waits for the first 15-minute bar to confirm the reversal.
Do NIFTY gaps always get filled?
No. In this test, 8 of 18 qualifying small gaps reached the previous close after the opening bar turned, and 10 hit the stop first. Gaps driven by major news often keep going rather than fill.
Is the gap fill fade profitable on NIFTY futures?
In this backtest from 1 Oct 2025 to 30 Sep 2026 it lost ₹3,645 before costs and ₹8,885 after ₹20 per order and bid-ask slippage. Statutory charges are not included. With only 18 trades the result is uncertain, and past results do not guarantee future ones.
Why trade only small gaps?
Small gaps of 0.2% to 0.5% are more often driven by overnight noise than by real news, so they are more likely to fade. Large gaps tend to reflect events that change the market's view, and they fill less often.