High and low order inside a bar: the part nobody recorded

[Shadow Trader]

A candle shows open, high, low, close. The one thing it doesn't say is which came first, the high or the low. That ordering determines whether a long trade was stopped out before it hit its target, or after.

A common simplification assumes the path goes open, then high, then low, then close for a down bar, and open, low, high, close for an up bar. It's a heuristic and often wrong. Real paths wiggle: up, down, up, down, with the extremes reached at arbitrary moments.

For strategies using wide stops and targets relative to bar range, this barely matters. For anything tight, it's the whole game.

Researchers sometimes try to reconstruct likely paths using lower-timeframe data, so that one-minute bars are tested using their constituent one-second bars, and so on. The method works if the lower data exists. It also depends on sample quality.

The honest approach is to admit the limitation. A strategy whose result depends on the intrabar order isn't validated by bar data, and the only fix is better data.

What share of trades flip result depending on which came first inside a bar, the high or the low?