But also, do not backtest with open and close prices since you cannot reliably transact at these levels.
In particular because the only reasonable explanation for the intraday/overnight anomaly in SPY is a systemic one-way distortion of either open or closing prices (or both!)
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The first one seems plausible (and testable — look at direction of trade flow in overnight sessions). The second one would not persistently move the price in one direction, would it?
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