I've mentioned this before regarding the SPY reversion to mean system trades but there's been so many times when the trade conditions being met during the day only to be lost and thus no official SPY system trade at the close. The thing is, looking at a historical chart you can't know about them, but I see them over and over again. 

I've pointed out many times that probably each one many times would give a nice day trade. I'm not sure what the strategy would be there because again I'd say a majority of the time, an intra day trade signal is lost by the close and the trade doesn't occur. Therefore most of the time you would buy intra day off the SPY system signal, and probably in the majority of cases by the close the SPY system won't go long. So my thought there would be you would simply sell the trade at the close - basically each one of these would be a day trade, let's call them phantom trades, the ones that go away. Also by default it would be a winning trade anyway if by the close the conditions were lost because the market would have rallied enough off the lows to negate the conditions. Anyway something to think about

again the problem is I can't tell you how many phantom trades there are since you cannot know this by looking at a historical chart. Well, you can try and guess by looking at the indicators and candlesticks if there might have been a trade condition on some past days (like if you see a big doji), but it's a guess. Anyway maybe I'll start keeping a tally of these phantom trades so that we can get an idea how many there are. Are there 2 or 3 a month, 5 a month? who knows

enough enough soap box