I meant do you assume you can buy or sell at the vwap price (+/- some slippage) or the closing price? Essentially using a vwap algo to enter or exit. The more

I meant do you assume you can buy or sell at the vwap price (+/- some slippage) or the closing price? Essentially using a vwap algo to enter or exit. The more active (frequency and volume) your backtest is, the more inaccurate the results will be if you just use the closing price.