Try
Sub test()
    Dim vDB, vR()
    Dim s As String, s2 As String
    Dim sT As Integer, sE As Integer, co As Integer
    Dim str As String, strResult As String
    Dim i As Long, n As Long, c As Long, r As Long
    Dim num As Long
    Dim T1 As String, T2 As String
    Dim strFn As String
    s = vbCrLf & vbCrLf & vbCrLf & vbCrLf & vbCrLf
    s2 = "," & Format(0, "000")
    vDB = Range("a1").CurrentRegion
    n = UBound(vDB, 1)
    sT = 1
    For i = 1 To n
        If vDB(i, 2) = "" Then
            num = num + 1
            c = c + 5
            If num = 1 Then
                sE = sT + 4
            Else
                sT = sE + 1
                sE = sT + 9
            End If
            T1 = Format(TimeSerial(0, 0, sT), "hh:mm:ss")
            T2 = Format(TimeSerial(0, 0, sE), "hh:mm:ss")
            ReDim Preserve vR(1 To c)
            vR(c - 4) = num
            vR(c - 3) = T1 & s2 & "-->" & T2 & s2
            vR(c - 2) = s
            vR(c - 1) = vDB(i, 1)
            vR(c) = s
        Else
            r = r + 1
            If r = 1 Then
                num = num + 1
                c = c + 4
                sT = sE + 1
                sE = sT + 9
                T1 = Format(TimeSerial(0, 0, sT), "hh:mm:ss")
                T2 = Format(TimeSerial(0, 0, sE), "hh:mm:ss")
                ReDim Preserve vR(1 To c)
                vR(c - 3) = num
                vR(c - 2) = T1 & s2 & "-->" & T2 & s2
                vR(c - 1) = vDB(i, 1)
                vR(c) = "High:" & vDB(i, 2) & " Low:" & vDB(i, 3) & " Close:" & vDB(i, 4) & vbCrLf
            Else
                c = c + 2
                 ReDim Preserve vR(1 To c)
                vR(c - 1) = vDB(i, 1)
                vR(c) = "High:" & vDB(i, 2) & " Low:" & vDB(i, 3) & " Close:" & vDB(i, 4) & vbCrLf
                If r = 3 Then r = 0
            End If
        End If
    Next i
    strResult = Join(vR, vbCrLf)
    Range("f1").Resize(UBound(vR)) = WorksheetFunction.Transpose(vR)
    '@@ Save Text file
    strFn = "Test1.srt"
    strFn = ThisWorkbook.Path & "\" & strFn
    TransToUTF strResult, strFn 'make srt file
End Sub
Sub TransToUTF(strTxt As String, strFile As String)
    Dim objStream As Object
    Set objStream = CreateObject("ADODB.Stream")
    With objStream
        .Charset = "utf-8"
        .Open
        .WriteText strTxt
        .SaveToFile strFile, 2
        .Close
    End With
    Set objStream = Nothing
End Sub
You got satisfactory answers from others, but I corrected my answers.
Displaying the results on a sheet will be time consuming. It will also add a lot of data. Why it's good to use arrays is the focus of this site.
Refer This
Sub test()
    Dim vDB, vR()
    Dim s As String, s2 As String, s3 As String
    Dim sT As Integer, sE As Integer, co As Integer
    Dim str As String, strResult As String
    Dim i As Long, n As Long, c As Long, r As Long
    Dim num As Long
    Dim T1 As String, T2 As String
    Dim strFn As String
    s = WorksheetFunction.Rept(Space(1) & vbCrLf, 4) & Space(1)
    s2 = "," & Format(0, "000")
    s3 = WorksheetFunction.Rept(Space(1) & vbCrLf, 4)
    vDB = Range("a1").CurrentRegion
    n = UBound(vDB, 1)
    sT = 1
    For i = 1 To n
        If vDB(i, 2) = "" Then
            num = num + 1
            c = c + 5
            If num = 1 Then
                sE = sT + 4
            Else
                sT = sE + 1
                sE = sT + 9
            End If
            T1 = Format(TimeSerial(0, 0, sT), "hh:mm:ss")
            T2 = Format(TimeSerial(0, 0, sE), "hh:mm:ss")
            ReDim Preserve vR(1 To c)
            vR(c - 4) = num
            vR(c - 3) = T1 & s2 & " --> " & T2 & s2
            vR(c - 2) = s
            vR(c - 1) = vDB(i, 1)
            vR(c) = s3
        Else
            r = r + 1
            If r = 1 Then
                num = num + 1
                c = c + 4
                sT = sE + 1
                sE = sT + 9
                T1 = Format(TimeSerial(0, 0, sT), "hh:mm:ss")
                T2 = Format(TimeSerial(0, 0, sE), "hh:mm:ss")
                ReDim Preserve vR(1 To c)
                vR(c - 3) = num
                vR(c - 2) = T1 & s2 & " --> " & T2 & s2
                vR(c - 1) = vDB(i, 1)
                vR(c) = "High:" & vDB(i, 2) & " Low:" & vDB(i, 3) & " Close:" & vDB(i, 4) & vbCrLf & Space(1)
            Else
                c = c + 2
                 ReDim Preserve vR(1 To c)
                vR(c - 1) = vDB(i, 1)
                vR(c) = "High:" & vDB(i, 2) & " Low:" & vDB(i, 3) & " Close:" & vDB(i, 4) & vbCrLf & Space(1)
                If r = 3 Then r = 0
            End If
        End If
    Next i
    strResult = Join(vR, vbCrLf)
    '@@ This not need. This is just for reviewing the results of the code on the sheet.
        'Range("f1").Resize(UBound(vR)) = WorksheetFunction.Transpose(vR)
    '@@ Save Text file
    strFn = "Test1.srt"
    strFn = ThisWorkbook.Path & "\" & strFn
    TransToUTF strResult, strFn 'make srt file
End Sub
Sub TransToUTF(strTxt As String, strFile As String)
    Dim objStream As Object
    Set objStream = CreateObject("ADODB.Stream")
    With objStream
        .Charset = "utf-8"
        .Open
        .WriteText strTxt
        .SaveToFile strFile, 2
        .Close
    End With
    Set objStream = Nothing
End Sub