I was trading Duke Energy (DUK) and the algo had an unusually high return at the start of July 2012. I explored a little further and the daily price data at the start of July shows:
2012-06-29handle_data:16INFO 69.24
2012-07-02handle_data:16INFO 23.3
2012-07-03handle_data:16INFO 68.69 DUK had a 1:3 stock split on July 2nd, 2012, so I'm thinking the price on July 2nd wasn't adjusted correctly?
Google Finance also has that error:
Date Open High Low Close Volume
Jul 3, 2012 69.26 69.87 68.40 68.69 3,714,035
Jul 2, 2012 23.45 23.71 23.13 23.28 16,977,527
Jun 29, 2012 69.48 69.72 69.00 69.18 11,677,291
Yahoo Finance correctly makes the adjustment:
Date Open High Low Close Volume Adj Close*
Jul 5, 2012 68.22 68.73 68.05 68.57 6,174,100 63.40
Jul 3, 2012 69.26 69.87 68.40 68.69 3,714,000 63.51
Jul 3, 2012 1: 3 Stock Split
Jul 2, 2012 23.45 23.71 23.13 23.28 1,886,400 64.57
Jun 29, 2012 23.16 23.24 23.00 23.06 11,677,000 63.96
Hi Aidan,
The backtester tracks the historical prices and your portfolio receives dividends as cash payments We do not use an adjusted close price (as Yahoo does) but this is a request that we've heard before from other Quantopian members.
We decided to take the initial approach of using market close prices, but we do have the data to change in the future. It's something we're building towards, but I don't have a delivery date for adjusted close prices for dividends.
Cheers,
Alisa
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Alisa, this seems to be a split and not a dividend.
Also, how do you figure out returns when dividends happen if there is no adjustment?
You're absolutely right, somehow I missed that - thanks for pointing it out :)
And it looks like its a data error from our data provider. All of the data should be accurately adjusted for splits and merges. I'm going to file an issue with them and investigate further. Thanks for bringing it to our attention!
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.
Our data provider had the split date listed in their database as 07/02/2013 when it should have been 07/03/2013. Since we adjust historical prices at run-time to be continuous with the current price, the error in data provided to us was causing us to stop adjusting prices one day before we should have, thus causing the price data on 07/02/2013 to be incorrect. We've confirmed the correct split date, fixed the data in our database, and notified our data provider about the error. The discontinuity should now be gone.
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.
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.
