|
PureBytes Links
Trading Reference Links
|
Brian - thanks for the thoughts. ETFs do pay dividends - what I don't
know is if automatically reinvested or paid out. Let's assume it is
paid out.
Would you:
1. Use adjusted data and add the dividend in.
2. Use unadjusted data and add the dividend in.
Once again - thanks for any advice!
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 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@> 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.
> > > >
> > >
> >
>
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|