|
PureBytes Links
Trading Reference Links
|
Hi
Al,
<FONT face=Arial color=#0000ff
size=2>
Not to
worry, this is a complex issue.
<FONT face=Arial color=#0000ff
size=2>
Yes,
the price drops on the day that a stock goes ex-dividend and for "normal"
dividends, this is not a problem. When a company floats a piece of
itself, the dividend can be substantial. Twenty, thirty, even fifty
percent fall in price on a given day.
<FONT face=Arial color=#0000ff
size=2>
Now
comes the problem of how your data supplier adjusts the price. Some
data vendors allow you to specify whether or not you want historical prices to
be adjusted for the dividend. Most do not. If your
data is not backadjusted to compensate for the dividend, you will see a huge
collapse in the price on the ex-date. If your system is in a trade,
it will see this price collapse as a loss. Depending on indicators
you use, false signals can be triggered. It will appear as a large
breakout to the downside, probably triggering stops in your system that should
be triggered. This is not good.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>However, backadjusting that includes dividend adjustments is not good
either. Dividend backadjustments are subtracted from the price (so
that P/L figures are correct) and it is possible to end up with negative prices
in your historical data. Of course, the stock never really went
negative. Just like YHOO or DELL shows backadjusted prices of ten
cents or so due to splits, a stock with a large dividend in its past can end up
with negative prices several years back.
<FONT face=Arial color=#0000ff
size=2>
This
thread started when Art asked about what happened to NCRX on the 2nd of
December. The price collapsed by $11. It was a cash
payout to investors. If you owned the stock, you had $11 cash in
your hand and your stock lost $11. No net change. However,
Art's data vendor DOES NOT adjust for dividends and cash payouts. So,
he sees a huge gap in his chart for NCRX. If I set a flag on my data
to adjust for that dividend, the backadjusted price hit a low of $2.06 on
the 10th of March, 2003. As you can see, if that cash payout
happened to be $14 instead of $11, the historical, backadjusted price on the
10th of March would show a negative value.
<FONT face=Arial color=#0000ff
size=2>
I hope
this helps. It doesn't get any easier trying to explain
it.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Tuesday, January 06, 2004 4:22
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
dividend (more on the subject)
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>
<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>
-----------------------------------------> Post
AmiQuote-related messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check
group FAQ at:> <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> >
Yahoo! Groups
Sponsor>
ADVERTISEMENT> > > > > >
---------------------------------------------------------------------------->
--> Yahoo! Groups Links>
> a.. To visit your group on the web,
go to:> <A
href="">http://groups.yahoo.com/group/amibroker/>
> b.. To unsubscribe from this group,
send an email to:>
amibroker-unsubscribe@xxxxxxxxxxxxxxx>
> c.. Your use of Yahoo! Groups is
subject to the Yahoo! Terms of Service.> > >
__________________________________Do you
Yahoo!?Yahoo! Hotjobs: Enter the "Signing Bonus" Sweepstakes<A
href="">http://hotjobs.sweepstakes.yahoo.com/signingbonusSend
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:<A
href="">http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:<A
href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Send BUG
REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:<A
href="">http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:<A
href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:<A
href="">http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:<A
href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:<A
href="">http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:<A
href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
<BLOCKQUOTE
><FONT
face="Courier New">---Outgoing mail is certified Virus
Free.Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).Version:
6.0.552 / Virus Database: 344 - Release Date:
12/15/2003Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:<A
href="">http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:<A
href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Sponsor
ADVERTISEMENT
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|