Trading Data Cleaning Part 2: OHLCV Data Explained for Backtesting

OHLCV data records each bar’s open, high, low, close and volume, and its timestamp decides what your backtest can know.

By Dorian

For every price chart you’ve ever loaded is built out of bars and every bar squeezes thousands of raw trades into a four-price summary tagged with a single clock time.

The majority of backtesting errors originate in what that compression leaves behind.

As Part 1 of this series showed, mistimed data is the hardest bug to catch: every price printe…