Does anyone know of a systematic way to debug anomalous dividends? I have this huge cash deposit on October 31st, 2007, but it could be due to any one of 200 stocks, and I don't want to try to drop them one at a time to find out which one paid the dividend. Is there any way to log dividends or something like that?
Can you do a formal backtest, and take a look at the securities on that day or around there and see which one might be volunteering the extra cash. Is there any indication as to what might cause the boost: huge drop in price that's not caught by Q's exdividend adjustments? Or a buy out? Or something in price or activity that would indicate some clues?
Oh yeah I mean I guess I could do all of that, I was hoping there was a way to log the dividends paid and which stock paid them :)
Unfortunately I don't think we provide an easy way to figure that out. That's a problem.
One would hope you'd see a corresponding drop in the value of one of your holdings a few days beforehand, by looking at the positions in the full backtest screen. But if it's anomalous, then it might be a bug, and then even that won't solve it.
Perhaps you can share the backtest? Or email us the list of securities you're holding at support?
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I feel like you should be able to get this using the get_backtest function in research....
Another user was looking into something similar (https://www.quantopian.com/posts/anomalous-appearance-of-cash-during-backtest) and I suggested research to him as well. I started looking into it, but got distracted. Perhaps he figured something out and can help.
** I just realized I was suggesting the same thing as Market Tech just through research.
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Yeah, but it would still be a chore to try to map the cash flow to the stock, wouldn't it? Cash flows are not tagged with source or reason or anything, as far as I know?
I can confirm that the issues in the thread referenced by @Karen (https://www.quantopian.com/posts/anomalous-appearance-of-cash-during-backtest) are also due to weird dividends.
Perhaps it's a systemic issue/bug, and they can fix them all in one fell swoop? If there are a few big ones that show up visually, there's probably hundreds or thousands that we are not noticing...
In the investigations I've done so far, it's all one-offs, not a systemic issue. The last systemic issue of this nature was the one related to splits and dividends - it is fixed.
These one-off data bugs are a pain. It's the cost of doing business in finance - the data is always a little dirty, and you have to buy from a good vendor, and it's still not perfect. Doesn't mean I like it, though.
In my experience, the bugs like this tend to be found when people are using big trading universes, like from DollarVolumeUniverse and fundamentals. People stop looking at the AMZN and TSLA of the world and start scanning hundreds of stocks per backtest. The bad data examples start sticking up like that nail you stub your toe on out on the porch. The latest round of data bugs is, I think, a healthy by-product of the recent product advances.
(I haven't finished the investigations of 2-3 recent requests, and if I do find something systemic, I'll be sure to report back).
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
So, after a couple of hours of tedious digging through the backtest in reseach, I narrowed it down to one of the following stocks. This particular event happens between Oct 30th, 2007 and Oct 31st, 2007.
sid
24105 PALM
25392 AMED
20928 SNWL
22918 MDTH
8644 GYMB
21266 GTIV
10268 SCHN
7148 STFC
7918 RVI
33604 FSR
7728 UFCS
28049 SMOD
20284 SKX
23709 NFLX
8306 WOR
11361 PENN
17988 CBZ
33239 EIG
23687 GTI
19909 MKSI
3950 INT
11710 GEO
26350 PRX
27529 UEPS
8516 ELS
7367 TDY
19185 AKR
405 AMWD
6925 SKYW
26439 VVI
6489 RLI
1703 CNL
12615 TRK
5413 NR
2105 ASNA
6018 PLAB
4803 MEI
11999 AZPN
26410 BEE
6897 SIVB
20539 QSFT
23499 EPAX
987 BNE
209 AM
32121 KALU
8166 WGL
8288 WSO
25806 GBLI
6624 SAFM
21736 CBK
4435 LG
523 AAN
24489 GLNG
1833 CQB
4621 LZB
5621 OHI
26781 MKTX
21754 ENTG
23019 OMCL
1103 BRY What's the scoop on narrowing this down? For reference, it's a cash flow about 30x larger than the value of any of these positions...
Correction: It doesn't seem to be one of those after all. I need to rerun some backtests to make sure it's still happening...
Not sure if it helps you but 523 AAN is NaN on 2007-10-29 and 2007-10-30 (yahoo says it didn't trade on those dates either)
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.