Adjusted data

Discussion in 'Data Sets and Feeds' started by azouz, Mar 31, 2006.

  1. azouz


    In order to do technical backtesting, i am having problem with yahoo EOD data as they are not split adjusted.

    Generally backtesting will results in a lot of errors as data are not split adjusted.

    How you guys do you handle that ? do you have any free EOD provider that offer split adjusted quotes ?

    I am using amibroker.

  2. maxpi


    You could pull the yahoo quotes into Excel and do your own split adjustment.
  3. colion


    Overwrite the daily data with historical data which is adjusted for dividends and splits.
  4. azouz


    "You could pull the yahoo quotes into Excel and do your own split adjustment"

    I can't do that for 8000 stocks.

    "Overwrite the daily data with historical data which is adjusted for dividends and splits"

    don't understand.

    You means get the adjusted column of yahoo data and replace it with the daily data ?
    I can't automate this with amibroker and as i said at the top i can't do this manualy to 2000 stocks.
  5. colion


    Your AmiQuote downloader has the option of downloading daily or historical data from Yahoo. The historical has dividend and split adjusted data. Look at AmiQuote's help file.
  6. In the recent past, Yahoo's EOD data was split-adjusted. I haven't used it for a few months, so it's possible they've changed it ... but that seems unlikely. If you haven't already, it might be worth double-checking.

    MSN's EOD data is split-adjusted. I prefer theirs over Yahoo because MSN doesn't adjust their data for ordinary dividends.
  7. colion


    Split and dividend adjusted historical data is available on Yahoo's website and is supplied by CSI. Whether a particular downloader can properly access this information is a different question.
  8. kut2k2


    According to yahoo, their final column ("Adj. Close*") in their historical stock prices download is adjusted for splits and dividends.

    Do you have a specific example where, say, a stock split occurred but yahoo didn't adjust for it?
  9. azouz


    My problem seems related to amiquote (downloader of amibroker).

    Amiquote download historical data from yahoo, but the problem is that he download the 5 or 6 first column and instead of downloading adjusted close column, he download close column (which is not split adjusted).
  10. colion


    As the saying goes, you can't make a silk purse from a sow's ear. AmiQuote is a relatively simple downloader and if it cannot handle adjusted data then it can't. Perhaps requesting such funtionality from TJ will quickly produce the modification that you want. Otherwise, you might want to consider purchasing one of the other downloaders that do permit downloading of adjusted data. Many of these will save the data in Metastock format and then you can use AmiBroker's Metastock importer. I've been using this approach with hardly a "burp" for about four years.
    #10     Mar 31, 2006