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Looks like a data anomaly. Spike in price from $1.7 to $17 for BNS in 2002
Saravanan Shanmugham
posted Jan 25, 2015

I was back testing the following algorithm and saw a sudden spike in return on a single day.
When I tried looking at the dailing positions/gains and transactions.

I notice a positiion in BNS that went from roughly 20K to being sold for 300K next day.

From what I can tell the price went from 1.7 to 17.
But when I look at the data in yahooI for prices in that time zone it is around 17.

I am not sure why there is that spike. Its spiking is skewing my results and I am wondering if it might be a problem with the quantopian data.

Thanks,
Sarvi

2 responses
John Fawcett
Jan 25, 2015

Hi,

Thanks for the heads up on a data problem.

I thought maybe we missed a reverse stock split or a big dividend, but digging around I was only able to find an announcement for BNS to be listed on the NYSE on June 7, 2002: http://www.prnewswire.com/news-releases/scotiabank-to-list-on-the-new-york-stock-exchange-77577432.html

Prior to that time, I believe that BNS was only listed in Toronoto. Maybe there was an ADR for BNS prior to the NYSE listing. This will take a bit more digging.

thanks again,
fawce

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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.

John Fawcett
Jan 25, 2015

Hi,

Looking at the time series of the pricing for BNS, we have prices from January 2002 through February 8 2002. Then, we have no trade data after Feb 8, until the NYSE listing day: June 7 2002. In the backtest, the February 8 2002 price is forward filled for the intervening four months, and then you see the huge jump. Google finance starts the time history for NYSE:BNS on June 7th, and that seems correct to me. Yahoo finance goes back to 1999, but I'm not sure what listing would be the source of pricing prior to the NYSE listing.

One reasonable fix on our side might be to truncate the history to start on the NYSE listing date.

thanks,
fawce

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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.