EXPLANATION:

*Daily Sharpe Ratio and Annualized Sharpe Ratio for strategies with time in the market equal to T is:

Daily Sharpe = (Mean Per Trade) / (StdDev per Trade)

Annualized Sharpe = sqrt(1/T)*Daily Sharpe

A gap 'down' of 2% means e.g. Tuesday's close is 100 and Wednesday's open is 98.

A gap 'up' of 2% means e.g. Tuesday's close is 100 and Wednesday's open is 102.

If you select direction = 'down' and gap = '2', the gap strategy buys any open where the gap is down 2% OR MORE and holds until end of day. It is flat the rest of the days.