Re: "Exit at the close" strategy

[Alex Matulich <alex@xxxxxxxxxxxxxx>]

>I'm testing a strategy using daily bars that exits at the
>close. I'd like to be able to exit 5 mins before the close since
>exiting at the close is not possible in realtime. I'd like to keep
>using the daily bars if possible.

Exiting at close is indeed possible in real time, if you use a
"Market on close" order with your broker.

If you want to backtest what will happen exiting 5 minutes prior
to close, that's not possible with daily bars.  I believe the best
you can do is give yourself extra slippage on exit to approximate
conservative worst-case performance.

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