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[EquisMetaStock Group] Switch from open to prior close execution



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I'm considering a switch on one of my stock systems from executing entries
and exits at the open the day after a signal is received to executing same
day at or around the close. I'd be grateful for comments and experience on
the practicality of the shift.

This system produces long and short trades on S&P500 stocks with an average
trade length of 6 to 7 days. Entries and exits (apart from initial stops)
are made at the open following an EOD signal the prior day. Over the last 50
trades,  the average round trip overnight slippage (i.e. executed price vs.
the prior close) was 0.35%. Given an annual trade turnover of around 35
times, that's a 12% pa hit to portfolio returns.

To shift to same-day execution, I'd have to move from MS EOD to
Professional, buy same day data, and rewrite the system to work on an
intraday basis. I'd have to base execution decisions on price and volume
half an hour before the close (or leave conditional orders at the close) and
be making a lot of decisions in real time instead of quietly in the evening
. This sounds like a lot of work and expense to me, but even if I can
recover only half the slippage the savings could be worth it (particularly
on the short side).

Does anyone out there have experience in making such a change? 

Many thanks in advance.

Andrew






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