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                                                   Do backtests include dividends?

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Chaim6
2014-06-19 03:12:19


Do backtests include dividends in the results? I didn't see any mention of it in the 'Realized trades' tab of the 'Simulator Report'.

Thanks.



Alexander Horn
2014-06-19 05:53:26

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Only if you use dividend adjusted prices, or have manually adjusted data for dividend. If you use below Yahoo downloader, the close price refers to the Yahoo close adjusted for dividends and splits. Then the adjustment is applied pro-rata also to OHL data, see in pre-script. As dividends are considered through prices, there is no specific mention in backtest reports. There are other downloaders which allow you different treatment, though.




Yahoo EOD historical quotes (by QuantShare, uploaded several months ago)
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QuantShare
2014-06-19 08:43:15

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Another solution would be to backtesting using non-dividend adjusted data, download dividend database (we do have a downloader), then use the money management script to add cash. But this is a much more complicated solution.


Chaim6
2014-06-19 22:00:14

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Thanks Alexander and Quantshare!


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