META Gap Fill

## META Gap Fill — Full Methodology

### Gap Detection

1. **Gap identification:** Measure the overnight gap (today's open vs yesterday's close)

2. **Minimum gap size:** Gap must be ≥ 1.5% to qualify (smaller gaps fill too quickly to trade)

3. **Maximum gap size:** Skip gaps > 5% — these are often driven by fundamental catalysts and may not fill

### Entry Criteria

1. **Gap up → short:** If META gaps up ≥ 1.5%, wait for the first 15-minute candle. If it closes below the open, enter short targeting the gap fill

2. **Gap down → long:** If META gaps down ≥ 1.5%, wait for the first 15-minute candle. If it closes above the open, enter long targeting the gap fill

3. **Volume profile:** The gap zone must contain a high-volume node from the previous 20-day volume profile (institutional interest)

### Exit Rules

- **Profit target:** Previous day's close (gap filled)

- **Stop loss:** 0.8% beyond the gap extreme (gap extension stop)

- **Time stop:** Close after 5 trading days if gap hasn't filled

### Position Sizing

- Risk 1% of portfolio per trade

- Use limit orders at the gap-fill target for clean execution

### Best Market Conditions

Gap-fill strategies work best in range-bound, mean-reverting markets. META's high institutional ownership creates reliable volume profile levels. Avoid trading gap fills around earnings, product launches, or regulatory news — these create "continuation gaps" that don't fill.

### Backtest Notes

Tested on META daily/intraday bars from Jan 2019 to Dec 2024. Gaps are filtered for news catalysts. Commission and slippage modeled at 0.05% round trip.