A daily bar provides four important values: open, high, low and close. What it does not reliably provide is the sequence in which the high, low and intermediate price levels were reached. That may be sufficient for many long-horizon analyses. For a strategy with entry, target and stop levels, however, the missing sequence can be decisive.
A simple example
Assume a rule opens a long trade only when price reaches 100. The daily high is 110 and the daily low is 90. The daily bar alone does not tell us whether the market first fell to 90 and only later rose through 100 to 110 – or whether the trade opened at 100, then fell to 90 and only later reached 110.
The low occurred before entry. A stop at 95 could not have closed a trade that had not yet opened.
The trade was already open. A stop at 95 would have been triggered before the later high.
Both paths can produce the same daily bar. For the evaluation of a specific trade they are nevertheless completely different.
Why Version 1 states this limitation openly
Version 1 was built as a structural end-of-day test. It is useful for applying the same rules across many markets and analytical methods. It is not a complete simulation of real intraday execution. This is why Version 1 hit ratios and related metrics are not presented as production performance.
Early project investigations showed that sequencing can be material
Earlier development stages explored different assumptions for event order within a daily bar. Two lessons emerged. First, different sequencing rules could materially change results. Second, apparently simple corrections could introduce new errors themselves, especially when long and short logic were treated as mirror images even though their price geometry is different.
Those early experiments are not part of the current Version 1 performance evidence. They are, however, an important methodological reason why Version 2 is intended to resolve sequencing with finer data rather than estimate it.
What Version 2 therefore needs
- intraday data with reliable timestamps,
- an unambiguous event model for entry, target and stop,
- separately derived long and short rules,
- tests for periods in which several relevant levels are reached,
- documented treatment of break-even, trailing and partial positions.
Only once the event sequence is clear can costs, slippage and APS risk management be applied to an unambiguous trading path.
A daily bar tells us which prices were reached. A more realistic execution simulation also needs to know when they were reached.
This article explains the currently documented project state. It does not add a new performance claim and does not replace the risk disclosure or the formal revalidation planned for Version 2.