"Gaps Always Fill" Myth Across Six Futures Markets: Evidence From Nasdaq-100, S&P 500, Gold, Silver, Crude Oil, and Copper Futures

Abstract

A comprehensive statistical analysis evaluating daily gap-fill behavior and market mean reversion across major index and commodity futures. Validates that while long-term reversion features heavily in retail heuristics, time variance and execution costs heavily degrade strategy expectations. Access full data matrices and real-time distribution models at https://mpmmarkets.com