My strategy assuems we could buy or sell at exactly the daily close price. There's no bid/ask to worry about.
Although a stock market may close at 4:00 PM, many stocks continue to trade for at least 20 minutes after the close. We wait for the actual close price, and make our trading decision. There are risks to this practice.
* Trading volume typically plummets when the market closes. This causes market orders to become very risky. Therefore we use limit orders.
* Limit orders may not get filled, therefore we use total daily volume to throttle our trade size.
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