One bar, two incompatible trade histories
For this example only, stipulate continuous price paths, full execution exactly at the first touched exit price, no spread, fees, slippage or latency, and instantaneous cancellation of the other exit after the first fills. There are no additional entries. These conventions isolate ordering; they are not an execution guarantee.
| Admissible schematic path | First exit | Gross realised P&L per share |
|---|---|---|
| Open 100 → high 110 → low 90 → close 105 | Target at 108 | +8 USD |
| Open 100 → low 90 → high 110 → close 105 | Stop at 95 | −5 USD |
The positive close-to-open move of 5 is irrelevant to this bracket trade's realised P&L. Neither path keeps the position until the close. Likewise, two examples do not imply equal probabilities: the bar supplies no 50–50 distribution over paths.
An order must exist before its fill
For a deliberately stark illustration, replace the long position and its exits with one buy stop-limit instruction accepted before the same bar opens: activation at a qualifying path price of 108 or above, then a buy limit of 95. Keep continuous paths, instantaneous activation and full touch fills after activation.
On the high-first path, reaching 108 activates the buy limit; the subsequent fall through 95 fills it. On the low-first path, the early visit to 95 occurs while the limit is inactive. The later rise activates it at 108, but the remaining path ends at 105 without returning to 95: no fill occurs within this bar. Testing only “high at least 108 and low at most 95” would falsely fill the second scenario.
Entry timing matters for exit orders too. If entry occurs partway through a bar, an earlier low cannot retrospectively stop out the new position. A simulation needs an order-state timeline as well as a price path.
Intrabar stop and target ambiguity
Compare two paths consistent with the same OHLC bar.
Make the missing sequence visible in the result
A defensible research report can:
- Use finer observations where available, retaining any unresolved ties inside the smaller bars. Recorded trades still do not establish your queue priority or available executable size.
- Freeze a deterministic ordering convention before comparing strategies, record which trades depend on it, and show sensitivity to the alternative. Choosing the profitable ordering after seeing the bar embeds optimism.
- Keep ambiguous cases explicit or calculate alternative feasible histories. In the simple single-trade fixture, the two exit outcomes are −5 and +8 per share. These are conditional scenario outcomes under exact fills, not bounds on real execution losses. Removing ambiguous trades also changes the evaluated sample and should be reported.
For a multi-trade strategy, alternative exits may change cash, later entries and subsequent holdings. Carry each scenario through the full state evolution; adding isolated best and worst trade outcomes need not describe a feasible portfolio path.
Sources
- TradingView Pine Script v6: Strategies — “Broker emulator,” “Adjusting historical bar detail,” and “Stop and stop-limit orders”; current official documentation checked 30 October 2026.
- SEC / Investor.gov: Types of Orders — market, limit and stop-order mechanics, including execution-price uncertainty.