Down gaps after strong rally day

The ES emini futures are currently set to gap down.  Yesterday the $spx and $indu (Dow Jones) rallied hard, with the Dow closing up over 1.4%.  Below is an equity curve of a strategy that goes long any down ES gap when the previous day closes up by over 1 average daily range and leaves an open up gap.  The strategy exits at end of day or at gap fill.  Based on 1 contract over the last 12 years.

84.5% of trades either closed the gap or closed up on the trade, which suggests a decent historic upside edge for today’s session.  Please note this set-up does note include factors such as seasonality, trend, average drawdown etc, other factors that need to be considered. 

Please trade at own risk.