Intrabar order is the thing OHLC throws away
Posted: Sat Oct 31, 2026 3:58 am
A one-minute candle gives four numbers: open, high, low, close. What it can't say is the order in which the high and the low occurred. Was the high first, then a fall to the low? Or the low first, then a rise to the high?
For a scalper with a 3-pip target and a 3-pip stop in the same bar, that order decides whether the trade won or lost. Both levels were touched. Which one came first is the whole question.
Backtests on bar data have to guess. Most testers assume a convention: for a bullish bar, the low came first, then the high. Or they use a pessimistic assumption, in which the stop is always hit first. The results depend heavily on the assumption, and neither matches reality consistently.
Tick data resolves it. With every price change recorded in sequence, the sequence is known. A strategy with tight targets can show completely different profits on tick data compared with bars.
The gap grows as the target shrinks. A swing trader aiming for 100 pips can ignore the problem. A scalper aiming for 2 or 3 pips can't.
It's the reason why any scalping backtest using only bar data should be treated as a rough sketch. The equity curve might be correct in shape, but the details are more or less fiction.
A quick way to see the damage: take a strategy with a 2 pip target and a 2 pip stop. On bar data with a pessimistic convention, any bar that touches both levels counts as a loss. With an optimistic convention, it counts as a win. On a busy pair, 15 to 25 percent of bars can touch both levels, and the results can swing from clearly profitable to clearly unprofitable depending on the convention.
That swing is the size of the uncertainty bar data leaves. Tick data narrows it, though it doesn't remove other issues such as spread and slippage.
How big was the difference when a scalping test was repeated on tick data after being run on bars?
For a scalper with a 3-pip target and a 3-pip stop in the same bar, that order decides whether the trade won or lost. Both levels were touched. Which one came first is the whole question.
Backtests on bar data have to guess. Most testers assume a convention: for a bullish bar, the low came first, then the high. Or they use a pessimistic assumption, in which the stop is always hit first. The results depend heavily on the assumption, and neither matches reality consistently.
Tick data resolves it. With every price change recorded in sequence, the sequence is known. A strategy with tight targets can show completely different profits on tick data compared with bars.
The gap grows as the target shrinks. A swing trader aiming for 100 pips can ignore the problem. A scalper aiming for 2 or 3 pips can't.
It's the reason why any scalping backtest using only bar data should be treated as a rough sketch. The equity curve might be correct in shape, but the details are more or less fiction.
A quick way to see the damage: take a strategy with a 2 pip target and a 2 pip stop. On bar data with a pessimistic convention, any bar that touches both levels counts as a loss. With an optimistic convention, it counts as a win. On a busy pair, 15 to 25 percent of bars can touch both levels, and the results can swing from clearly profitable to clearly unprofitable depending on the convention.
That swing is the size of the uncertainty bar data leaves. Tick data narrows it, though it doesn't remove other issues such as spread and slippage.
How big was the difference when a scalping test was repeated on tick data after being run on bars?