Price & Market BehaviorExtended setInvalidNew

closing-auction imbalance drift

Updated dailyData needs: highlong onlyshort onlylong short

2023

Bogousslavsky, V., & Muravyev, D. (2023). Who Trades at the Close? Implications for Price Discovery and Liquidity. Journal of Financial Markets.

Citation only, paper link pending.

In plain terms

A big rush of buying or selling right into the closing bell tends to keep pushing the price the same way the next day.

How it works

The closing auction concentrates informed, index, and rebalancing flow. Unusually heavy closing-minute volume relative to the session's average per-minute volume marks end-of-day order imbalance; the imbalance direction is read from the sign of the last-hour return, and the move continues into the next session. A flat close carries no imbalance and is suppressed.

Live results

128 times picked on its own · 366 times inside a blend (343 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 366 such blended picks (343 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Intraday features daily
A data feed this strategy reads, refreshed on its normal schedule.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

End-of-day closing-auction order imbalance drifts into the next session.

Related families

close strength driftPrice & Market Behavior

A stock that finishes the day strong (rising into the bell and above its average price) tends to keep rising the next day.

afternoon driftPrice & Market Behavior

When a stock pushes hard in the afternoon (when the big institutions trade), it tends to keep moving the same way the next day.

vwap reversionPrice & Market Behavior

When a stock closes far away from its average traded price for the day, it tends to drift back toward that average.

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