Daily open-high-low-close data is free, plentiful, and fast to test. But if your signal is generated using the closing price, how should you test it, without using intraday data? I'm not sure, but here are some thoughts. (1) If your system is anti-trend, such as buy at the close when it is below the N-day moving average, you can calculate the price that triggers a signal and place a limit-on-close order. But if you enter a big order, couldn't your limit order affect the closing price? (2) If you will calculate your signal 5 minutes before the close, you can test your signals on historical closing data with noise added, having standard deviation equal to the SD of returns from from close-5-minutes to close. (3) You can trading on the next open or the next close. Performance may be degraded for a short-term system, but it's better to err on the conservative side. Of course, it is best to buy and test with intraday data, but if you have 5 years of intraday data and 20 years of daily data, it's good to use all 20 years of data in some way.