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Damian,
I don't follow ETF's at all, especially in the US.
It depends on their treatment of divs - how do they handle them - do
they pass on the distribution to investors or absorb them?
For example - if I was a 'buy $ hold' trader then I would consider
that accurate dividend adjusted data is equivalent to the value of
the total return and backtest my strategies in that data (no need to
make any adjustments yourself).
So, if your ETF pays the dividend i.e. it is a surrogate for owning
the stock, then that is the method you should use.
IMO Yahoo data is accurate enough to do your preliminary estimations
of the 'goodness' of the strategy but if you are going to go ahead
and trade it then you need to make a choice if it is worth paying for
some data to crosscheck your answers.
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@xxx> wrote:
>
> It's a basic rotation strategy - so, it is in the market at all
times,
> and generally holds from 1-4 ETFs. So, it is likely that, at a few
> times, I'll be holding an ETF as they pay out a dividend.
>
> I'd like to add this dividend to the strategy to understand what the
> actual total return looks like - but my concern is that if I'm
> factoring the gains into because I'm using an adjusted close, I
> probably shouldn't be using the dividends in my calculations.
> Alternatively, I could use the raw returns and then add in the
dividend.
>
> Any thoughts appreciated - thanks for your thoughts.
>
> Damian
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> >
> > Hello Droskill,
> >
> > You don't say what your strategy is or exactly what info you want
or
> > how you want to use it.
> >
> > Strategies based around div day would be interesting to look at -
maybe
> > a few specialise in it and can be successful with it.
> >
> > Also, it is handy to know which stocks are on, or near, ex div
day but
> > it would be difficult to get the exact dividend from Yahoo.
> >
> > You would have to import Raw and AdjClose and compare the
difference to
> > get the adjFactor (see the AmiQuote read me for details on using
the
> > format files to send the RawClose to the OI field).
> >
> > However, sometimes the factor would have been adjusted for splits
so
> > you will have to try to differentiate those days (maybe they are
all
> > round numbers so that could work).
> >
> > (I have thought about trying it myself to see how it works out).
> >
> > If you want to use it for trading, accuracy might be a problem.
> > I have crosschecked a few Yahoo dividends by going to their
records and
> > then the homepage of the companies (a lot of companies keep a div
> > record at their Homesite >> Investors page).
> >
> > For the US I found the ones I checked were accurate - for
Australia
> > they were hopeless.
> >
> > Good luck.
> >
> > brian_z
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> > >
> > > Hey all,
> > >
> > > I've been looking at adding dividends to a complete strategy -
I was
> > > curious what others thought of this. My basic approach would
be to,
> > > in using Yahoo data, to use the adjusted close for trading
system and
> > > then calculate the dividends on the days where I'm holding the
stock.
> > > The issue here is that obviously the adjusted close already
uses this
> > > data - so I was wondering what others were doing on this.
> > >
> > > Thoughts appreciated.
> > >
> >
>
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