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For what is worth: Yahoo free data is already adjusted for
splits and dividends:
<A
href="">http://help.yahoo.com/help/us/fin/chart/chart-03.html
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, January 06, 2004 11:49
PM
Subject: RE: [amibroker] dividend (more
on the subject)
Hi Chuck,
Boy are we lucky to have you iron out all these data issues.
Looking back, before my AB days, I was just a babe lost in the woods. I
may still be in the woods, but at least I know which way is North
nowadays.
Anyway, the reason I wanted to respond to this particular thread was to
ask that as you work with CSI, can you please build this dividend-handling
ability into the end-product. I certainly appreciate that it comes down
to a better of two evils in terms of how dividends are handled, but knowledge
of the adv/disadvantages you've elaborated on in previous posts will allow us
to make an informed decision.
Kind Regards and Thanks,
Gary
Chuck Rademacher <chuck_rademacher@xxxxxxxxxx>
wrote:
<BLOCKQUOTE class=replbq
>
Hi
Al,
<FONT face=Arial color=#0000ff
size=2>
Not
to worry, this is a complex issue.
<FONT face=Arial color=#0000ff
size=2>
<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>
<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)
<FONT face=Arial color=#0000ff
size=2>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>
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