<syntaxhighlight>If Time=1000 Then Buy 1 Contract This Bar on Close;
<br>If Time=1100 Then Sell 1 Contract This Bar on Close;</syntaxhighlight>
If this strategy was back tested on simply a data series of historical trade prices, then the back test will assume that the trades were filled at the close prices of the bars. However, it's unclear whether the trades would have been filled at the close prices, because the close prices could have been on either the bid or the ask.