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I'm a
little confused by the "prices can go negative" part. Is this because the
dividend is subtracted from the price? Wouldn't a "better" solution be if you
did a "percentage" calculation somewhat like a split?
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size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx] Sent: Tuesday, January 06,
2004 4:04 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] dividend (more on the subject)
<FONT face=Arial color=#0000ff
size=2>G'day, b...
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Another country heard from on the subject of
dividends!
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size=2>
IMO,
the BIG dividends could be considered to be rare. However, a
dividend of 10%, while not BIG, can still affect the P/L and indicator
calculations. Sometimes a company will float a division or
subsidiary, issuing stock in the new company and reducing the price of the
original stock by the same amount. It is not unusual to see 50%
falls in price arising from situations like this. I could run some
stats for you, if you feel it is important to know that much about the scale
of the problem.
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I
would hope that TJ might think this subject is important enough to give some
consideration. In order for that to happen, enough users would
have to:
<FONT face=Arial color=#0000ff
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<FONT face=Arial color=#0000ff
size=2>a. understand the problem.
<FONT face=Arial color=#0000ff
size=2>b. believe that it is serious enough that it should be
fixed
<FONT face=Arial color=#0000ff
size=2>c. convey that message to TJ.
<FONT face=Arial color=#0000ff
size=2>
If
TJ was to address the problem, there still is the issue of how the information
gets into the database. I hate to bring up CSI again, for fear
that users here will soon think that I have some sort of financial interest in
the company. I can assure you that I cannot benefit in any way by people
subscribing to CSI.
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With
that (hopefully) out of the way, let me describe how my own trading software
works. By the way, my software is not for sale, so there is no
potential conflict in tellying you about it.
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My
database, thanks to CSI, has a record of every dividend and dividend
date. This information is available directly from CSI. In
fact, with CSI you can backadjust your data to include or exclude
dividends. Obviously, the difference is the amount of the
dividend. Backadjusting for dividends, however, creates a new
problem; prices can go negative when backadjusting over several
years. My method of getting around this problem is to backadjust
over a moving window that is large enough to properly calculate the indicators
being used by the system. Since my database has dividend dates and
amounts, I am able to do this backadjusting on the fly. Yes, it
slows things down. No, I don't turn the feature "on" during
preliminary research of new system(s) and/or parameter(s). I only
turn it on in the later stages of my research in order to get an accurate
picture.
<FONT face=Arial color=#0000ff
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I
hope that the above helps people to understand the significance of the
problem. I don't recall it every being mentioned on this or any
other Yahoo board. I can assure you, however, that the subject
takes up a lot of my time and effort.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: b
[mailto:b519b@xxxxxxxxx]Sent: Tuesday, January 06, 2004 1:59
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] dividend (more on the
subject)Chuck,I am convinced. Dividends are
bad news. And with recent US tax changes they will notbe going away
anytime soon. Are the big dividend payouts rare enough that they can
be ignored in practice? I hope the answer is Yes, because I can not
see any easy way to compensate (otherthan manually checking all trade
candidates for recent dividends - too much tediouswork for my liking.)
b--- Chuck Rademacher <chuck_rademacher@xxxxxxxxxx>
wrote:> Another reason why I say that dividends are the BIGGEST
PROBLEM with data is> that not only did $11 disappear in one day from
the stock in question> (causing a loss), it also severely distorts
ALL technical indicators. Such> a move could look like a
SERIOUS BREAKOUT when, in fact, it's nothing but a>
dividend.> -----Original Message----->
From: indiana0352 [mailto:cs_winn@xxxxxxxxxxx]> Sent:
Monday, January 05, 2004 9:34 PM> To:
amibroker@xxxxxxxxxxxxxxx> Subject: [amibroker]
dividend> > > Does anyone know how I can
compensate for large dividend payments> made by companies
in the stock prices in AB??> > eh NCRX which
paid out a $10.92 cash dividend on Dec 2, shows in AB> as
dropping significantly that day when really it didn't.>
> The only way I could firgure it out would be to do a
reverse> division and calculate a split value which I
enter. Is there an> easier way?>
> TIA,> Chris> >
> > Send BUG REPORTS to
bugs@xxxxxxxxxxxxx> Send SUGGESTIONS to
suggest@xxxxxxxxxxxxx>
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