I am quite notice at the business of backtesting for an automated strategy. I was wondering, can I/should I use High and Low for this purpose? On one hand, the algorithm will see these prices, but on the other, the order in which they are seen is not defined, so there is a potential ambiguity there. Also, buying at "High" is not realistic since the algorithm will never know that's it is the highest price for the day.
What do you think or advise?