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Note: that is Dividend adjusted data.
Very few providers use Div adjusted data.
(I can barely get it for the Australian market).
If you can find one who does you then have to ask yourself if they
are doing it correctly.
Assessing the accuracy of Fund 'dividends' would be even more
difficult - I think you should consider that one carefully (the
timing and methods of their distributions - it could vary from Fund
to Fund). I would definitely be (at least) talking to FastTrack about
their data if I was in your shoes.
TC claim to have adjusted data (and also have Fund data) but there is
a few question marks over their adjustment methods).
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> >Let's assume it is
> > paid out.
>
> 3. Use adjusted data.
>
> There is no need to consider dividends any further.
> Adjusted data is equivalent to the total return.
>
> (that is the easiest way to do it - there is no need to keeep
> dividend records and wo/man handle the data.
>
> brian_z
>
> -- In amibroker@xxxxxxxxxxxxxxx, "droskill" <droskill@> wrote:
> >
> > 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@>
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.
> > > > > >
> > > > >
> > > >
> > >
> >
>
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