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Tomasz,
I just discovered that Yahoo has changed what they put in their csv
download quotations. To see this, do a fresh download of QQQ's
entire history - there is a $111 price discontinuity on March 20,
2000 due to the 2:1 split on that day. That discontinuity will mess
up indictors, stop triggers and profit/loss calculations.
In the past Yahoo's csv file had OHLCV using split adjusted figures
(and no figure for non-adjusted, ie pre-split, prices).
But now Yahoo's csv download files have OHLC in NON-adjusted prices,
then Volume, then the ADJUSTED price for the close. Now the download
csv file matches the Web Table format Yahoo has long used.
May I suggest that AmiQuote be upgraded to do the following:
1. Put the non-adjusted close price into the AB's OI field (after
being multiplied by 100 to preserve the decimals). This is a very
valuable new piece of data.
2. Use the ratio of non-adjusted close and adjusted close to
calculate adjusted prices for OHL and put adjusted prices into the
OHLC fields in AB's database. That will solve the price
discontinuity problems.
This change by Yahoo is a tremendous "gift". Most data providers do
not give users any way to get the non-adjusted closing price. That
price is what should be used in any price filter. Using adjusted
prices in filters introduces subtle but potentially costly
distortions into back tests.
b
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