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Michael, I now have a dividend adjusted db.
These are the steps i followed.
Produce an ASX dividend adjusted db.
Inputs:
Sample DB with dividend history to June 2005, and template DB
as provided by Michael S. G.
AFL code provided by G.Jensen with file write code adapted from
G.Kavanagh.
1.7ghz PC with XP.
Steps:
1. Select Sample DB (in my case copied and renamed: "ASX_F_")
2. Use "z_exportDd" (source listed below) & AA EXPLORE to
prepare a
dividend file with Datenum field appended as open interest.
3. Paste exploration to new dividend file in .csv format. Steps (2 &
3) could be replaced with write to file using code example in other
AFL formula below.
4. Import the new dividend file to ASX_F_. Note that type 2 and 3
records are not altered in this step.
Make sure DMY is selected if appropriate, "more column"s is
selected and "open interest" is to be designated as the extra
column,
and tick "negative prices" (actually means zero or negative).
Takes
around 2 to 3 minutes.
5. Use SCAN in AA and "z_exportAdjDIV" (source code listed
below) to
write out dividend adjusted data. Note that the option taken is to
adjust prices upwards on the ex date for each dividend. Only symbols
which have (HAD) a "-DivD" record will be written out. Writes
around
700 symbol files in 7 minutes. You could add original close as
"open
interest": This may facilitate later updates.
Note also that the output has NO SUFFIX. That's because I put it
in a
different db. If you want to import it back to ASX_F_ (whatever), you
need to add a suffix in the AFL code and make appropriate changes to
AB categories so as not to mix up the unadjusted and adjusted data.
6. Import the dividend adjusted files to your renamed copy of
Template db. Note that this db does not have the datenum field in
the "-Divd" symbols.
Note that dividend adjusted data may give misleading results for
anyone trading leveraged instruments, or trading options because
dividends do not affect prices and therefore historic volatility may
not be calculated correctly.
Note that template db has many symbols for which there has been no
dividend.
SOURCE AFL code
/*z_exportAdjDIV*/
/*part of dividend adjustment -
determine cumulative dividend and
write out adjusted dividend*/
Buy=Sell=0;
x=StrLeft(Name(),3);
select=0;
select=StrLen(Name())==3;
divfile=x+"-DivD";
fd=Foreign(divfile,"i");
any=Foreign(divfile,"o");
exists=0;
for (k=0;k<BarCount;k++)
{
exists=Max(exists,any[k]);
}
div=100*Foreign(divfile,"H");
ex=IIf((fd-DateNum()==0)
AND (1==Foreign(divfile,"o"))
,1,0);
div=div*ex;
divtot=Cum(div);
divtot=IIf(IsNull(divtot),0,divtot);
divadj=divtot/100;
Filter=select AND exists;
AdjC=C+divadj;
Adjo=O+divadj;
adjh=H+divadj;
adjl=L+divadj;
AdjC=C+divadj;
quotes=(NOT IsNull(H));
Choose=(select AND quotes);
Filter=Choose;
//use scan not explore -- explore just for development
Valuei=ValueWhen((Choose),BarIndex());
first=Choose AND (Ref(Choose,-1)==0);
from=IIf(first==1,BarIndex(),0);
fromhere=0;
for( j = 1; j < BarCount; j++ )
{fromhere=Max(from[j],fromhere);
}
AddColumn(adjo,"adj o");
AddColumn(adjh,"adj h");
AddColumn(adjl,"adj l");
AddColumn(adjc,"adj c");
AddColumn(V,"v");
/*file write adapted from G.Kavanagh*/
flag=1 AND 2;// force boolean
flag=select AND exists ;
if (flag)
{
fh = fopen(
"c:\\_DataD\\ABexport\\"+Name()+"-DA.txt",
"w");
if( fh )
{
fputs("<ticker>,<date>,<open>,<high>,<low>,<close>,<volume>\n",fh);
t = Name();
y = Year();
m = Month();
d = Day();
for( i =fromhere; i < BarCount; i++ )
{
fputs( t + "," , fh );
ds = StrFormat("%02.0f/%02.0f/%02.0f,",
y[ i ], m[ i ], d[ i ]);
fputs( ds, fh );
qs = StrFormat("%.3f,%.3f,%.3f,%.3f,%.0f\n",
adjO[ i ],adjH[ i ],adjL[ i ],adjC[ i ],V[ i
] );
fputs( qs, fh );
}
}
else;
fclose( fh );
}
/**/
/*z_exportDd*/
/*part of dividend adjustment -
write out Date in comparable format*/
x=StrLeft(Name(),8);
x=StrRight(x,4);
select=x=="DivD";
z=StrLeft(Name(),3);
//y=z=="ANZ";
dnow=DateNum();
OI=dnow;
ex=O==1;
/*with my settings ab pads quote value
until next real quote, so have to drop those */
ex[0]=IIf(O[0]==1,1,0);//unless first bar is a dividend?
ex=IIf(Ref(ex,-1)==1,0,ex);
Filter=select AND ex;
AddColumn(O,"O" );
AddColumn(H,"H" );
AddColumn(L,"L" );
AddColumn(C,"C" );
AddColumn(V,"V" );
AddColumn(OI,"OI:= Datenum" );
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