What Is An Unfilled Gap? Are They Profitable? (Amibroker And Tradestation Code)

The relevant article can be found here.

In plain English:

Strategy 1:

1. Yesterday was a gap down day.
2. Today is an inside day.
3. If 1 and 2 are true, we enter at the close.
4. We exit after 5 days.

Strategy 2:

1. Today is a gap down day.
2. The two-day RSI is below 30.
3. If both 1 and 2 are true, then enter at the close.
4. We exit after x days.

Strategy 3:

1. Two days ago was a down day.
2. Yesterday was a down day.
3. Today is a gap down.
4. If 1, 2, and 3 are true, go long at the close.
5. Exit after x days.

Amibroker code:

Strategy 1:

Buy=Inside() AND Ref(H,-1)<Ref(L,-2);
BuyPrice=Close;
Sell=C>Ref(H,-1);
SellPrice=Close;

Timestop:

oddis=Optimize(“Time based exit”,15,1,20,1);

ApplyStop(stopTypeNBar,stopModeBars,oddis,1);

Strategy 2:

Buy= GapDown() AND RSI(2)<30 ;
BuyPrice=Close;
Sell= RSI(99)>99; //no exit (in practice) thus forcing time stop exit
SellPrice=Close;
ApplyStop(stopTypeNBar,stopModeBars,oddis,1);

Strategy 3:

Buy= GapDown() AND Ref(C,-1)<Ref(C,-2) AND Ref(C,-2)<Ref(C,-3) ;
BuyPrice=Close;
Sell= RSI(99)>99;  //no exit (in practice) thus forcing time stop exit
SellPrice=Close;
ApplyStop(stopTypeNBar,stopModeBars,oddis,1);

Tradestation:

Strategy 1:

{
Are unfilled gaps profitable? (Strategy 94A)
Yesterday was a gap down day.
Today is an inside day.
If 1 and 2 are true, we enter at the close.
We exit after 5 days.
}

Inputs:
	HoldBars(5);

if InsideBar(High, Low) = true AND High[1] < Low[2] Then
	Buy this bar on close;
	
if Barssinceentry(0) >= HoldBars Then
	Sell this bar on close;

Strategy 2:

{
Are unfilled gaps profitable? (Strategy 94B)
Today is a gap down day.
The two-day RSI is below 30.
If both 1 and 2 are true, then enter at the close.
We exit after 5 days.
}

Inputs:
	HoldBars(5),
	RsiLookback(2),
	RsiTreshold(30);

if High < Low[1] AND RSI(Close, RsiLookback) < RsiTreshold Then
	Buy this bar on close;
	
if Barssinceentry(0) >= HoldBars Then
	Sell this bar on close;

Strategy 3:

{
Are unfilled gaps profitable? (Strategy 94C)
Two days ago was a down day.
Yesterday was a down day.
Today is a gap down.
If 1, 2, and 3 are true, go long at the close.
Exit after 5 days.
}

Inputs:	HoldBars(5);

if High < Low[1] AND Close[1] < Close[2] AND Close[2] < Close[3] Then
	Buy this bar on close;
	
if Barssinceentry(0) >= HoldBars Then
	Sell this bar on close;

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