Entry timing — RTH open vs signal close
Daily-bar proxy for regular-hours next-open fills vs same-bar close fills.
Universe: momentum scan (168/170) · start 2019-01-01
Rules: momentum_spec + RS>SPY + sector>SPY + liquidity floor (no pennies) + rising edge + ATR 2R hold 25
Proxy note: Daily bars only. RTH = signal next-day open; off-hours = signal-bar close. Wider-slip variant adds +12 bps as spread proxy.
| Variant | Trades | Win% | exp_R | total_R | CAGR% | MDD% | stop/tgt/time |
|---|---|---|---|---|---|---|---|
| rth_next_open | 1949 | 41.35 | 0.0714 | 139.1 | 29.55 | −70.37 | 1005/490/454 |
| offhours_sig_close | 1972 | 42.14 | 0.0751 | 148.2 | 31.97 | −74.61 | 1015/504/453 |
| offhours_wider_slip | 1981 | 40.54 | 0.0178 | 35.3 | 4.10 | −80.82 | 1045/493/443 |
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.