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Chuck:
I haven't followed this thread very closely, so forgive me if I am giving
the wrong information or am misunderstanding something. I always thought that
when a stock goes ex-dividend, the floor specialist automatically adjusts the
price downwards that day to reflect the per-share amount of the dividend. The
price could still close up on that day if the supply-demand forces drove it up.
So, prices that are downloaded from your data source should already reflect the
dividend adjustment, and you should not have to worry about that yourself. Thus,
prices cannot possibly go negative. Am I wrong, missing something, or what?
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, January 06, 2004 1:12
PM
Subject: RE: [amibroker] dividend (more
on the subject)
Hi
Dingo,
<FONT face=Arial color=#0000ff
size=2>
Yes,
prices can go negative as a result of backadjusting for dividends because the
dividend is subtracted. Although there is a very logical reason as
to why they are subtracted, I simply cannot come up with the reason at the
moment. Perhaps Howard or someone else can jump in here
and help me out? If I can remember the reason before someone
else comes up with it, I'll be back to you.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxxxxxxxxxx]Sent: Tuesday, January 06, 2004 10:01
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] dividend (more on the subject)
<FONT face=Arial color=#0000ff
size=2>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?
<FONT face=Arial color=#0000ff
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!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
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.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>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
size=2>
<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>
<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.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>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.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>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
size=2>
<FONT face=Arial color=#0000ff
size=2>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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