Strategies based upon End of Day data

[MarkSA]

How reliable would you consider a once daily trading strategy with good history based upon end of day, closing price data to be? (Wherein buy and sell trades are both executed at the close.)

If such a strategy was, in practice, to be extended into different hours of the day, such as trading at noon instead, but otherwise possessing exactly the same trade entry criteria, would you still expect the strategy to perform well?

Do you consider it pointless to use closing price data as buy and sell points since it is probably unrealistic to achieve those prices? And would you say that there is some factor existing which would cause trades executed at any other time of the day other than the close to ruin a perfectly viable strategy?

 

[Tuffty]

If such a strategy was, in practice, to be extended into different hours of the day, such as trading at noon instead, but otherwise possessing exactly the same trade entry criteria, would you still expect the strategy to perform well?

If the average holding period is several days plus, it should perform just as well.....and be easier to trade than trying to trade on exactly at the close.

 

[MarkSA]

The holding period is only one day (24 hours) with the sells and buys taking place at approximately the same time each day.

 

[Tuffty]

And would you say that there is some factor existing which would cause trades executed at any other time of the day other than the close to ruin a perfectly viable strategy?

As the hold period is 1 day then you may find trading it at another time of day may not work; it really depends on the anomily you're exploiting or whether the results so far are just a fluke.