I was reviewing my trades and found that my algorithm traded GS at 97.32 on 26th May 2005. I checked on Bloomberg adjusted prices and it was never that high on this date. The close was 85.224 and high was 86.601. It cannot be slippage because I am trading a very small quantity. How is that possible?
I must say that the prices agrees with Yahoo. Must be my bad with Bloomberg. I am using div adjusted prices.
This really beats me. Lets say you have a model that is based on returns. Now that stock goes ex div and the price falls down. If you don't adjust prices for dividends then the returns will be negative and model will output garbage. Like they say garbage in and garbage out.
Bloomberg has multiple adjustments which might not be the same applied in Yahoo or Q. Just make Bloomberg it split adjusted and see if it agrees. I forgot the code but there is a mnemonic to set the applited historic adjustments in Bloomberg.
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