All the back testing I've seen, seems to use close price for back testing.
If someone trades at EOD, so at the end of the bar, the action is taken on the close price. But if an order is placed, it would be executed at the open price of Day+1 ignoring slippage.
Then at the end of Day+1 another action is taken to decide to sell, that would be executed against the open price of the following Day+2.
So to calc todays profit if you were to buy at end of today you need to take into account tomorrows open and the following days open. Nothing to do with close prices at all.
Does this sound right to you guys?