The timing of trade execution is an important consideration, but not necessarily a critical one. I have found that executing trades at the next day's open can produce highly similar results to trading at the close, or even approximately one hour before the market close.
Example
For example, I have accounts at M1 Finance that execute trades roughly one hour prior to the market close. Over time, the results from these accounts have been extremely similar to those executed precisely at the close. While there are some months where the pre-close execution outperforms, and other months where it underperforms, the long-term outcomes are virtually indistinguishable from trading at the close.
Execution Timing Considerations
This suggests that the need to precisely match the closing prices may not be as crucial as one might assume. Executing trades at the next day's open has also proven to yield highly comparable results to trading at the close.
Market Changes and Allocation Adjustments
The market can experience rapid changes in the final minutes of trading, which can lead to sudden shifts in asset allocations. Due to the momentum-driven nature of the strategies, these last-minute changes can occur as prices fluctuate heading into the close. However, it's important to note that in the vast majority of cases, the allocations remain consistent in the final hour, and the trades placed and executed either at the close or one hour prior to the close end up being the correct asset choice, requiring no adjustments the next day.
My Approach
In the rare instances where there are last-minute allocation changes, my approach is to make the necessary adjustments the following trading day. I will sell the original position and purchase the new one, rather than trying to execute the trade at the exact close. Over time, this has proven to be an effective and pragmatic solution, as the results are nearly identical to trading at the close, but with less pressure and potential for error in the final minutes of the trading day.