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I find that the late game relies very heavly on having the right units to deal with what the opponent has.

PvZ: Zealot/Archon with a few immortals is a very strong mix of units to make up the base of your army, from there you just scout and add what you need to deal with what he is making (Pheonix vs muta, disruptor vs lurker, more immortals and storm vs ultra/ling)

PvT: Adept/Stalker/Disruptor is a very solid late game army, you just need to add more adepts if he is going bio heavy and more stalkers if he is going lliberator heavy (and make sure you have good upgrades)

PvP: Lots of stalker/disruptor. I would really recommend getting a friend to help practice this, just spend some time blinking your stalkers out of the way of his disruptors while sending off your own disruptor balls.

As for what to do inorder to improve, I would say just have a clear plan for what you are going to do each game and stick to it. The more consistant you are the easier it is to see where you need to make adjustments.

Glad you are having so much fun with the game :) gl hf.