Adjusted & Unadjusted stock prices

by QuantShare, 2443 days ago

Share |

For those who want or need access to both adjusted and unadjusted historical stock prices, this item downloads both data from the Yahoo server.

This item has almost the same settings as the Yahoo EOD historical quotes, which is a download object that retrieves historical EOD data from Yahoo servers, adjusts the quotes using the adjusted close price field and stores the data into your application' quotes database.
This object uses the same adjustment script to store the adjusted quotes data into the quotes database. It also saves unadjusted historical data into a custom database, whose name is "unadj_quotes". This database contains the following five fields: date, close, open, high and low.

This object is helpful in many situations. You can for example use the unadjusted historical data in backtesting or analysis and at the same time have trading rules that use unadjusted stock prices.

For example, using an adjusted quotes database and creating a trading system that buys stocks whose share price is higher than 2 dollars, is not going to produce realistic results. This is because at the time, the simulator is going to check the close price, some split-adjusted stocks will have a low close price (at that time the real share price for some stocks is higher, because these stocks have not yet performed a split) and therefore will not be bought by the simulator.
In order to prevent this, you can use the unadjusted database to check whether the stock price is higher, equal or lower than 2 dollars.
Example:
Instead of using the following rule:
close > 2
You can use
GetData("unadj_quotes", "_close", LastData) > 2

You can use this item to download data for U.S. stocks as well as several international markets, including: Australia, Canada, UK, France, India, China, Spain, Singapore, Brazil, Japan, Italy, Hong Kong, Germany...