Upgaps following an unfilled down gap and unfilled up gap.

Today we are trading up over 9 points.  On Friday there was an unfilled down gap.  On Thursday the up gap was also unfilled.  Below is an equity curve of a strategy that fades up gaps following such action, 1 contract with the stop at end of day or gap fill.

As you can see this has happened 46 time over the last 12 years, with 36 or 84% either filling gap or closing in profit.

Again, please note this set-up does not include factors such as seasonality, trend, average drawdown etc, other factors that need to be considered.