I've been using historical OHLC bars to design and build trading systems for quite some time. The downside of using bars is that in order to back test correctly, you need to maintain the same trading values through the whole current bar, so if I was trading 5min bars, I would need to use static trade levels from the previous 5min bar since I don't know exactly how things happens within the newest bar. One thing I've always noticed is that by changing the trade levels to calculate using the latest bar, profitability significantly goes up. A major cause of this is because those levels trade anywhere within that newest bar, but uses data from the end of it, ie being able to see into the future. Which makes the performance change completely unrealistic. But I have a nagging suspicion that there might be a real performance increase from using the more dynamic / reactive trade levels obtained by using the current bar, even though it would be impossible to back test. Does anyone with experience dealing with this phenomenon have any insights which might help me?