It strikes me that flattening MOC (Market On Close) orders are often the exit of choice for trades with the day's trend. Especially when combined with protective OCO (One Cancels the Other) stops. Perhaps unwisely, I rarely use this tactic. Do you?
judging by P&L (IB) more often than not the money just mysteriously disappears in the last minute of trading when using MOC. I am not sure if this could be attributed to the way P&L is calculated or if MOC really carries a significant price for the convenience.
I don't think you can generalize and say that there is an edge there. moc prints are very inconsistent and its probably a 50/50, not to mention that you won't be able to cancel the order during the last 20 minutes if the market turns on you. Maybe I'm just bitter from having seen a few too many "can't miss" moc prints gap against me. Maybe you should try tracking the moc vs. where you exited for a period of time and find out whether you would have benefitted.