I am testing an intraday strategy that performs the best if all I set is a stop loss, then allow the strategy to only exit on market close (or some preset time). Obviously the strategy works by finding the right direction to get in, then ride the trend. However, most "trend following" exit strategies seem to degrade performance significantly. I have tried specifying different set times other than market close, such as a few minutes before.. 30 min before etc.. In an effort to make sure it was not something specific to the close itself (such as bad data). All tests regardless of which pre-set time appears to perform great. Any thoughts on ways to manage the trade better? Exit strategies to try?