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Thanx for the useful info.
Do you know if Yahoo history (downloaded with AmiQoute) is split and
dividend adjusted?
--- In amibroker@xxxxxxxxxxxxxxx, "b519b" <b519b@xxxx> wrote:
> Group:
>
> 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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