Proper way to determine action price on historical dividend/split adjusted data? - futures io
futures io futures trading

Proper way to determine action price on historical dividend/split adjusted data?

Discussion in Traders Hideout

    1. trending_up 1,609 views
    2. thumb_up 0 thanks given
    3. group 1 followers
    1. forum 1 posts
    2. attach_file 0 attachments

Welcome to futures io: the largest futures trading community on the planet, with well over 125,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

Search this Thread

Proper way to determine action price on historical dividend/split adjusted data?

(login for full post details)
  #1 (permalink)
Philadelphia, PA
Experience: Advanced
Platform: Matlab, TradeStation
Trading: Stocks
GoldenRatio's Avatar
Posts: 207 since Aug 2012
Thanks: 5,004 given, 290 received

I am conducting a breakout backtest and have a question on determining a proper action price. The split adjusted data I am using has precision to 5 decimal places. So, theoretically the buy price has precision of 5 decimal places.

Now my question is regarding the calculation of profit or loss %'s. For example, if the buy price is 0.46429 and the sell price is 5% below the buy price, then the sell price is 0.46429 * 0.95 = 0.4410755.
My question is, do I round the stop loss price to the precision of the input data or keep full precision throughout the calculation? ***Yes, I recognize we cannot buy at this precision and hence why I have this question.***

Performing the the loss % calculation with full precision is: (0.4410755/.46429) - 1 = 0.05.

Performing the the loss % calculation by truncating the sell price to match the input data precision is: (0.44108-.46429)/.46429 = -0.049990307781774.

So, should the loss be calculated as 0.05 or -0.04999? I want to ensure I am applying the proper method (close enough is not good enough for me, I want to do this right.)

Thank you in advance!

Started this thread Reply With Quote

Can you help answer these questions
from other members on futures io?
Which kind of Blockvolume is visible? - order processing
Emini and Emicro Index
Reading A set of Trading Signals
EasyLanguage Programming
What blockvolume is visible? - order processing
Indicators for pair trading MES and M2K
Platforms and Indicators
Market Position Indicator
The Elite Circle

futures io Trading Community Traders Hideout > Proper way to determine action price on historical dividend/split adjusted data?

Last Updated on February 7, 2016

Upcoming Webinars and Events

NinjaTrader Indicator Challenge!


Battlestations! Show us your trading desk - $1,500 in prizes!


Importance of Finding Your Own Way w/Adam Grimes

Elite only

Journal Challenge w/Jigsaw


Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432,
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts