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You also need to be aware of the distortions which splitting your
data will cause in backtesting. It not only cuts prices down but
also cuts down daily ranges. The more splits, the worse it gets.
For example, look at AOL in 1993 - split, its under $1 most of the
year with tiny little daily ranges of 1/16-1/8, but really it was in
a range from $15-$60+ . You can't test anything on this data split.
Has anyone ever tried backadjusting stock data like with futures
rather than splitting it for test purposes ?
rich
At 11:18 AM 5/10/99 -0400, you wrote:
>You need to perform the split on the data so that the historical data
reflects
>the split. I personally use EOD data that performs the split for me, yet
still
>allows me to see the pre-split prices.
>
>
>The first dawn of smartness is to stop trying things you don't
> know anything about----especially if they run to anything
>over a dollar.
>
>
>Sentinel Trading
>rjbiii@xxxxxxxxx
>
>____________________Reply Separator____________________
>Subject: stock splits
>Author: Patrick
>Date: 5/10/99 11:02 AM
>
>Dear list,
>
>
>The stock prices I download from Prophet Data are the actual stock prices
>they are not adjusted for splits. When system testing on stock prices how
>do we deal with the large price drop caused by stock splits. These large
>drops in price seem to make all the system testing worthless.
>
>
>Regards
>Patrick.
>
>
>
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