The Weekend Anomaly: Exploiting the CME Gap
2025-12-14
Crypto never sleeps, but money does.
The massive institutional capital that moves Bitcoin—BlackRock, Fidelity, the CME (Chicago Mercantile Exchange)—goes offline on Friday at 5:00 PM EST. They do not trade on Saturdays or Sundays.
This creates a liquidity vacuum. Weekend price action is often driven by retail traders and low-volume manipulation. It is "fake" price action.
However, when Wall Street wakes up on Monday morning, reality returns. The price often violently corrects to align with where the institutions left off. This phenomenon is known as "Filling the CME Gap."
The Logic: The Magnet Effect
The strategy is simple: The Friday Close is a magnet.
If Bitcoin pumps 5% on a Saturday on low volume, it is likely a "fake pump." The probability of it dropping back to the Friday price by Monday is statistically high.
We can automate this. We don't need to guess. We need a script that remembers exactly where the "Big Money" went to sleep and bets on the price returning there.
The Code: Pine Script v6 Gap Hunter
This script automatically draws the CME Closing Price on your chart and triggers an alert if the weekend price deviates too far from it (an over-extension).
//@version=6
indicator("Codon: CME Gap Hunter", overlay=true)
// --- Settings ---
// You can manually input the Friday Close, or use a security call if you have CME data
float manualFridayClose = input.float(0.0, "Friday CME Close Price (Manual Input)")
float deviationThreshold = input.float(2.0, "Gap Deviation %")
// --- Logic ---
// Identify Weekend (Timezone dependent, adjust as needed)
// Day of week: 1=Sun, 2=Mon, ..., 7=Sat
int day = dayofweek(time)
bool isWeekend = day == 7 or day == 1
// Calculate Deviation
float gapPercent = 0.0
if manualFridayClose > 0
gapPercent := ((close - manualFridayClose) / manualFridayClose) * 100
// --- Visualization ---
// Plot the Magnet Line
plot(isWeekend ? manualFridayClose : na, "CME Magnet", color=color.yellow, style=plot.style_circles, linewidth=2)
// --- Triggers ---
// Scenario 1: Price is 2% ABOVE the Magnet (Short the Gap)
bool gapShort = isWeekend and gapPercent > deviationThreshold
// Scenario 2: Price is 2% BELOW the Magnet (Long the Gap)
bool gapLong = isWeekend and gapPercent < -deviationThreshold
// --- Alerts ---
if gapShort
alert("3Commas Short Gap Fill", alert.freq_once_per_bar_close)
if gapLong
alert("3Commas Long Gap Fill", alert.freq_once_per_bar_close)
// Visual Labels
if gapShort
label.new(bar_index, high, "🔻 GAP SHORT", color=color.red, textcolor=color.white)
The Automation Layer
This is a specialized strategy that we only deploy on Saturdays and Sundays.
- The Venue: We use Bitget for this strategy. Bitget often has unique volatility on weekends due to its aggressive retail user base, offering better entry prices for gap plays.
- The Bot Configuration:
- Strategy: Mean Reversion (Counter-Trend).
- Take Profit: The Friday Close Price (The Magnet).
- Stop Loss: Wide. Weekend wicks can be crazy. We rely on DCA (Safety Orders) to average our entry if the gap widens before it fills.
Most traders lose money on weekends because they treat it like a normal market. It is not. It is a ghost town. Do not chase the breakout in a ghost town. Bet on the return to reality.
(Check the footer for the exchange links perfect for weekend scalping)