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In a brief comment in the amibroker-dll group, Paul Binnell pointed
out that CSI offers several types of "adjusted" data in addition to
split-adjusted and non-adjust prices. since this may be of interest
to those who do not frequent that group, I have take the liberty to
move the topic to the main group.
I will attempt to get the discussion going with an overview of
various types of adjusted data available. My understanding is that
all of the following types are available from CSI for US stocks,
however, I will be using terms that might not match exactly what CSI
calls each. Please note that I am not an expert on the different
types of CSI data so do not take my descriptions as gospel truth.
"RAW" DATA: (also known as non-adjusted data or pre-split data).
This is the price and volume figures one would see if one looked at
back copies of the newspaper. This data is the data a trader would
have had to use to make trading decisions for any given date in the
past. Raw data, in my opinion, is necessary for testing strategies
that use price filters (buyconditionA = RAWclose > 1.00). However,
Raw data often does not chart well if a stock has splits in its
history. Also Raw data can not be used to calculate profits.
SPLIT ADJUSTED DATA:
This is the simplest (and perhaps the most widely available type of
adjusted data). Whenever a split happens, the prices and volume data
prior to the split are adjusted by the ratio of the split. This type
of adjusted data is needed to draw smooth charts (without price
jumps due to splits). This data can also be used for accurate profit
calculations -- if the stock has never produced dividends.
DIVIDEND and SPLIT ADJUSTED DATA:
This adds dividend adjustments to the split adjusted data. If a
stock pays a dividend, and if that dividend is significant, the
stock often "dips" in its price the next day. Dividend adjusted data
is needed for calculate profits correctly for those stocks that
issue dividends. However, the early days of long time dividend
stocks can have their adjusted prices appears as negative values if
the total dividends paid by the stock is higher than a price it
traded for in the past. Not all stock programs can handle negative
priced stock data. I am not sure what AB would do if confronted with
a stock that had negative prices.
NON-NEGATIVE DIVIDEND and SPLIT ADJUSTED DATA:
I believe CSI has yet another type of data export that gets around
the negative prices caused by dividends. I have not given such data
a close look, so I might be wrong in assuming the negative numbers
are made positive by shifting the entire data range up by "X"
dollars. If this is the method it will remove the negative number
problem, but it could, depending on how it is implemented, create
distortions for percentage gains, etc.
IS THERE A "PERFECT" WAY TO ADJUST DATA?
We might as well ask, is there a perfect way to map a spherical
earth onto a flat piece of paper. Each map "projection" has its own
set of "adjustments" and these make some maps better for particular
purposes and other maps better for other roles. So it would see to
be for adjusted stock data: Some adjustment methods will be better
suited than other methods to test a particular stock system. But to
test a different stock system might require the use of an
alternative adjustment method.
Well I think enough has been said to get a discussion started, if
there is any interest. Also I do not have much more to say about the
issue since I have just become aware that it may be significant.
b
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