Closing of Gaps With Floor Trader Pivot

Playing around with numbers this Saturday afternoon. I looked at the percentage of time that the ES Futures market has closed an 0930 ET open gap with the Floor Trader Pivot as defined as the (High + Low + Close) / 3. I used data from the past 2 years, and the daily time frame of 0930 to 1615 ET.

Gap Ups

For all up gaps, the gap was closed 59% of the time.
For gaps of less than 10 points, it closed 67% of the time.
For gaps of less than 6 points, it closed 77% of the time.
For gaps of less than 4 points, it closed 81% of the time.
For gaps of less than 2 points, it closed 92% of the time.

Gap Downs

For all gaps, the gap closed 62% of the time.
For gaps of less than 10 points, it closed 74% of the time.
For gaps of less than 6 points, it closed 81% of the time.
For gaps of less than 4 points, it closed 85% of the time.
For gaps of less than 2 points, it closed 97% of the time.

Charles