In the world of backtests, we represent a constant flow of market data that your broker API receives as candles. A candle has the wonderful property of compressing all market activity over any period into 5 distinct data points – open, high, low, close and volume. With the benefit of this compression, however, comes a cost. The cost is loss of data. Once you go from 1-second granular LTP data to a 1-min candle, you’ve essentially distilled 60 price data points into 4.

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Why Is the Backtest Loss Higher Than My Stop Loss?

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Why Is the Backtest Loss Higher Than My Stop Loss?

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