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Michael S
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Yes, we do it every trading day in our own proprietary strategies (marketsci.wordpress.co.../). In a nutshell, we're making our best estimate re: the market's closing level just prior to trading cutoff time. Occassionally the market moves in the closing minutes and we get the trade wrong, but this is the exception rather than the rule (and hasn't materially affected our results).
Aug 10 11:19 am
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All Comments by Michael S »Timing a Strategy Using Mean-Reversion: A Critique [View article]
MarketSci
On Aug 10 03:11 AM Blair wrote:
> Regarding both strategies, the problem is -- how do you know what
> the market will close at, and secondary can you get an execution
> based on the strategy?
>
> Perhaps what one should do is to use the opening price for the next
> morning as the input value, and close the position at the close for
> the day -- then see what kind of performance one gets