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I hear you - I thought Yahoo data looked pretty data good - they give
a pretty detailed description of their methodology - but I'd be
curious what you think of it.
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 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@> 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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