Even if you can MOC, your own order can influence the closing price to move unfavorably vs. the backtest where you were absent. This is a huge issue on illiquid

Even if you can MOC, your own order can influence the closing price to move unfavorably vs. the backtest where you were absent. This is a huge issue on illiquid stocks or if you're trying to pick up a small edge even in liquid ones. Knowing market structure really well matters more than math for automated traders, just IMO. I've seen people who know it well make money with little math knowledge beyond undergrad level but never the reverse.