Historical stock (ETF) price not accurate for longer time frames

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My algorithm was working fine for periods of up to 6 months, but when I expanded the timeframe to 2 years it started getting erroneous stock values. (I would paste an image to illustrate, but apparently this isn't supported.)
Here's google drive share of the image showing the problem:
https://drive.google.com/open?id=1XWGHne-HB2Oc2Yhs90iCWjOLviGfF8U7

For reference, this is what the real stock values are on Yahoo.
Stock values for 6/20/2019 are ~63.64
Stock values for 8/20/2017 are ~34.82

Relevant bits of code:

    context.stocks = [sid(39214)]

    price_history = data.history(context.stocks, fields="price", bar_count=7, frequency="1d")  
    for s in context.stocks:  
        current_price = price_history[s][-1]  
        #for testing stock values  
        log.info("CURRENT STOCK PRICE %s: %.2f HIST_HIGH: %.2f" % (s.symbol, current_price, prev_high_point))

Log output:
NEWER:
1969-12-31 16:00 initialize:48 INFO Original investment capital: 20000.0
2019-06-20 06:31 handle_data:74 INFO CURRENT STOCK PRICE TQQQ: 64.41 HIST_HIGH: 72.64
2019-06-20 06:32 handle_data:74 INFO CURRENT STOCK PRICE TQQQ: 64.28 HIST_HIGH: 72.64

OLDER: (incorrect values)
1969-12-31 16:00 initialize:48 INFO Original investment capital: 20000.0
2017-08-21 06:31 handle_data:74 INFO CURRENT STOCK PRICE TQQQ: 104.73 HIST_HIGH: 116.35
2017-08-21 06:32 handle_data:74 INFO CURRENT STOCK PRICE TQQQ: 104.70 HIST_HIGH: 116.35

Why would the older stock data be so different? The code is exactly the same, only the date range in the Build Algorithm panel is different. The ETF was operating at that time. Could it possible have doubled at some point?

2 responses

Dan Whitnable

@Jeff Axup I'm going to correct one statement you made...

For reference, this is what the real stock values are on Yahoo.
Stock values for 6/20/2019 are ~63.64
Stock values for 8/20/2017 are ~34.82

That should really be stated...

For reference, this is what the ADJUSTED as of 8-22-2019 stock values are on Yahoo.
Stock values for 6/20/2019 are ~63.64
Stock values for 8/20/2017 are ~34.82

Believe it or not, one would have had to shell out about $104 for a share of TQQQ on 2017-08-21. The reason Yahoo looks different is that they display adjusted prices and factored in the 05/24/2018 3:1 stock split for TQQQ (see https://www.splithistory.com/tqqq/). This is why the adjusted price for dates before 05/24/2018 are 1/3 of the unadjusted price on that day.

There are a number of posts here which may explain this better. Check out https://www.quantopian.com/posts/help-diferent-close-price-for-the-same-date-2 There are also some links there to a few other posts.

Use caution with Yahoo data. Since it's constantly being re-adjusted as of the current date, historical data downloaded six months ago may be different than what is downloaded today. It all depends upon if any relevant corporate actions occurred in the past 6 months. This is one aspect of Quantopian data which is important in research. It can be replicated by specifying the as-of date.

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Jeff Axup

Thanks Dan, you’re the one-man-answering-machine!
I thought that was a bug, but it seems like it’s normal behavior.
So it sounds like as long as I’m using a pipeline it will auto-adjust for splits, even when doing long hold periods.
Does either the pipeline or the yahoo adjustment account for inflation as well?

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