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Problem w/ Daily Bars + Split Adjustment + Kinetick
Started:July 23rd, 2014 (07:14 PM) by wuileng Views / Replies:358 / 0
Last Reply:July 23rd, 2014 (07:14 PM) Attachments:0

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Problem w/ Daily Bars + Split Adjustment + Kinetick

Old July 23rd, 2014, 07:14 PM   #1 (permalink)
Elite Member
Kuala Lumpur + Malaysia
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: Interactive Brokers
Favorite Futures: ES
Posts: 25 since Aug 2012
Thanks: 13 given, 8 received

Problem w/ Daily Bars + Split Adjustment + Kinetick

Hi all,

I'm having a problem with the split adjustment of data.

I use Kinetick which has non-adjusted intraday data and adjusted daily data (for stock splits). The bulk of the strategies I run hold positions overnight, but are based on intraday data (usually 5-15 minute bars). In order to avoid huge errors in backtesting/WFO/optimization when stock splits occur, I use Yahoo's dividend and split adjustment.

With the dividends and splits adjusted, the intraday data from Kinetick works great through splits and dividends. However, since the daily data is already split adjusted, doing this seems to make a double correction, causing the daily data to be erroneous.

I am now trying to create a strategy based off daily bars which would benefit from a greater amount of historical data (I would just rely on intraday bars normally, but they don't go as far back as daily data). My thoughts are to create a new VM which I will use solely to develop daily bar strategies, which will use the adjusted daily data from Kinetick without any adjustments, but this isn't optimal of course, unless there is no other way around it.

Was wondering if anyone has the same issues or who could suggest a solution to this?


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