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I believe that a better approach would be to convince the quote
suppliers that dividends & splits should be part of the delivered and
historical quotes. In the case of ETFs, they should be able to put
the dividend amount in the open interest field on the day the ETF
went ex-div.
Then, with AFL we can display dividend-adjusted returns while also
preserving the ability to access the actual prices and volume that
occurred on any day in history.
This would also allow each user to decide how they want to handle
split adjusted volume, as some prefer to keep the actual volume while
others prefer to adjust the volume also.
Some EOD quote providers do this now for mutual funds on the day they
go ex, but I am not aware of the ability to get the historical info
from them.
I believe that is essentially the method that FastTrack uses. My
understanding is that their database consists of past un-adjusted
prices along with the distributions and then when you call up a chart
it converts the data to dividend-adjusted returns before displaying
it and the associated calculations.
--- In amibroker@xxxxxxxxxxxxxxx, "johngalt0714" <johngalt0714@xxx>
wrote:
>
> Would anyone be interested in collaborating on the development and
> maintenance of a FULLY ADJUSTED / TOTAL RETURN quotes database for
> ETFs?
>
> With 10 or so collaborators, the application of distributions
> shouldn't be at all burdensome. We could begin by maintaining
> distributions only for the highest yielding ETFs and/or only those
> meeting other threshold criteria (such as minimum average trading
> volume or turnover, etc.). There is only one commercial source of
> fully adjusted quote data and they only maintain closing prices (no
> open, high, low or volume!). Plus, to get ETF quotes from this
vendor,
> you must subscribe to a huge database of mutual funds.
>
> For those who are unaware, the interpretation of TOTAL RETURN
charts
> can lead to very different technical conclusions than
interpretations
> based on unadjusted quotes.
>
> Please contact me privately if interested.
>
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