Given the amount of jockeying that occurs just before U.S. stock market closes each day, the closing price is arguably the most important price of the day. And the largest amount of volume in stock-index futures typically occurs during the last 15 minutes of pit trading — 3:00 to 3:15 p.m. CT. If the closing price is as important as it seems, the market’s trend just before the close should be worth following.

The following short-term strategy is based on this premise.