Just to add to my previous post, it was relatively easy to try...

Just to add to my previous post, it was relatively easy to try one other scenario, i.e. since all but 1 of the 181 AUDUSD gaps in the data set closed within 6 months, what if the 4 day rule is changed to a 6 month rule (for anyone comfortable in holding a gap open position that long)?

The results in this scenario are:

1. 104 tradeable gaps (> 10 pips on open)
2. 103 close within 6 months, 1 remains open (for 3 years)
3. Profit from the 103 closed gaps = 4849 pips
4. Stoploss for the 1 gap that doesnt close within 6 months = 479 pips
5. Profit/loss (or reward/risk) ratio = 4849/479 = 10.1:1
6. Net profit = 4849 - 479 = 4370 pips

So the reward/risk ratio is 4x higher than when using the 4 day stoploss rule, and the net profit on all gaps is more than double that under the 4 day stoploss rule, both of which (imo) are a commensurate return for taking on the extra risk of leaving gap trades open that long.

Of course, anyone trying this gap trade should base their rules on their own risk tolerance profile.

Cheers, Sharks.