Buy the close on signal day, or the next open?
Same momentum rule, 2019 onward: signal-day close versus the next regular-hours open.
When a signal prints, do I buy that day’s close or the next morning’s open? I ran the same rule from 2019. The close wins by a little. Widen the slippage assumption and the edge disappears.
Rule name: Setup momentum_spec. Daily proxy: RTH = next open, off-hours = signal-bar close.
Delta (close vs next open)
exp_R +0.0037 · total_R +9.1 · win% +0.79 pp · CAGR +2.42 pp · MDD −4.24 pp
Gap at RTH open vs signal close: n=1949 · mean gap 0.009% · median 0% · gap>0 on 49.67% of trades.
Takeaway
On this mechanical book, same-bar close fills slightly outperform next-open in backtest — but wider slippage assumption erases the edge. Live routing should assume realistic spread, not idealized close prints.
Source
Summarized from state/reports/entry_rth_vs_offhours_20260820_053222.md.