Why gaps fill
Overnight price formation happens in a thin book. When the deep daytime book opens, the consensus price reasserts itself and much of the overnight move is retraced. This is a liquidity artefact rather than an information event.
Separating noise from news
The distinction is whether something actually happened. A gap on no catalyst is a liquidity gap; a gap on a policy decision or a geopolitical event is a repricing, and fading it means standing in front of the repricing. An automated version needs a news gate, and news gates are imperfect.
The honest return profile
High win rate, small average win, occasional large loss. This shape flatters a short backtest and ruins an under-capitalised account, because the sample that contains the losses is longer than the sample most people test on.