Ohlc

Many short-term trading rules need facts a daily bar throws away. We coded 16 of them and five of Jim Dalton's, ran them on 16 years of one-minute data in ES, crude oil, Treasury notes, the grains, and SPY, and report what held up and what a daily-bar backtest can't see.

Many aspiring traders are told that using daily bars is good enough for all but short-term intraday strategies. We tested the guess many backtesting engines make about the path inside a daily bar against 16 years of one-second data in six futures markets. It gets the order of the high and low right four days in five, as it would on a random walk, but for a stop and a target near the entry it's close to a coin toss, and it flatters the tight-stop, wide-target brackets an optimiser is drawn to.

Every OHLC bar, regardless of its timeframe, is a lossy compression of the true price path. A bar records the open, the high, the low, and the close, but nothing about the trajectory between them.