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Split and Dividend adjustment
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Split and Dividend adjustment

  #1 (permalink)
Elite Member
Munich Germany
 
Futures Experience: Beginner
Platform: MultiCharts .NET,MultiCharts,Amibroker
Broker/Data: Interactive Brokers IQFeed
Favorite Futures: Stocks,Index CFDs
 
Posts: 149 since Aug 2012
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Split and Dividend adjustment

Using multiple symbols listed at the NYSE for backtesting, data adjustment is very necessary.
When a split or a dividend payment takes place huge gaps can occur in the daily data.
With IQfeed there is no adjusted data which adjusts those price dislocations. Yahoo data feed delivers a adjustment column but this is not usable in MC.
Therefore, I am asking how others are handling their data adjustment especially for backtesting stock market strategies.

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  #2 (permalink)
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I just went thru this, I think I posted details here:

https://futures.io/elite-automated-trading/29764-big-mikes-custom-trading-platform-9.html#post374471

(cant remember which post, but recent)

Short version, use R quantmod to download Dividends and Splits from Yahoo, then use my own functions to calculate the adjustments. There is also quantmod:::adjustOHLC if you want to trust it, I had problems with it personally.

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  #3 (permalink)
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Nevermind, just realized you are using MC.

Mike

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  #4 (permalink)
Elite Member
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Thanks for your suggestion

Thank you very much for your suggestion.
I think it should be possible to get the Iqfeed data exported easily, to R or maybe a custom written C# code, using Multicharts.Net or Multicharts.
But in my opinion it will be a very cumbersome workaround, which can be affected by bugs.
Therefore, I hoped to have a reliable proven way to deal with that problem.

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  #5 (permalink)
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You are correct that IQFeed only has unadjusted data. Unless you are able to reliably get split/dividend data from another source (e.g., Bloomberg), the process that I've found best is this-

1) store unadjusted tick/minute/whatever prices from IQFeed somewhere (e.g., MySQL database)
2) store dividends (which are part of the Yahoo historical data feed)
3) download adjusted and unadjusted daily close prices from Yahoo at the end of each day
4) back into adjustment multipliers + dividend offsets after step 3 each day, then generate a new adjusted output file

Annoying, but manageable. Unfortunately, cannot share my code on this one. Good luck.

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  #6 (permalink)
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clonardo View Post
You are correct that IQFeed only has unadjusted data. Unless you are able to reliably get split/dividend data from another source (e.g., Bloomberg), the process that I've found best is this-

1) store unadjusted tick/minute/whatever prices from IQFeed somewhere (e.g., MySQL database)
2) store dividends (which are part of the Yahoo historical data feed)
3) download adjusted and unadjusted daily close prices from Yahoo at the end of each day
4) back into adjustment multipliers + dividend offsets after step 3 each day, then generate a new adjusted output file

Annoying, but manageable. Unfortunately, cannot share my code on this one. Good luck.


I am doing something similar already. However, IQFeed does send split adjusted data on closer inspection. But not dividend adjusted data.

Sent from my LG Optimus G Pro

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
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  #7 (permalink)
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Futures Experience: Intermediate
Platform: Python, R, WealthLab
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Posts: 4 since Feb 2013
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Alternatives (now that Yahoo API seems to be gone)

It seems that Yahoo is no longer allowing API calls for historical data, hence quantmod, TTR, pandas, or any other package/software which relied on Yahoo to get EOD historical data is out of luck.

I had used Yahoo data for a while to do exactly what was described in this thread (to impute Adj factors based on adjusted / unadjusted prices), then to apply these factors to other unadjusted data sets (IQFeed). I'm now in the market for either a new source of adjusted & unadjusted prices, or for a source of splits/dividends with which to create my own adjustment factors. It's surprising how many data vendors only supply unadjusted data.

Any leads, please let me know!

RT

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