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1-minute candles can distort scalping backtests — a measurement

TraderWe· Aug 2026 ago· 👍 1· 💬 3
We compared the same scalping strategy on 1-second recordings vs 1-minute bars over the same days. The 1-minute version both missed entries (intra-minute triggers) and flattered fills (close-of-bar pricing). If your holding time is under a few minutes, bar-based backtests are closer to fiction than approximation. Happy to share the comparison method.
TraderWe
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3 replies

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CoffeeAndCharts· Aug 2026 ago
ooh yes please share the method! I've been meaning to sanity check my morning open plays, they're all sub-2min holds and I've just been trusting minute bars like a fool 😅
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PremarketPete· Aug 2026 ago
- assumed this for a while but never measured it, nice - what did you use for the 1s recording, own capture or vendor? - also curious if the gap was worse in the first 15 min vs midday
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RiskFirstRita· Aug 2026 ago
The part that worries me isn't the missed entries, it's the flattered fills — people size up off a backtest that never paid a spread. If you do share the method, please include how you modelled slippage, because that's the number that decides whether a strategy survives real money or not.
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