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                                                   How to adjust for splits in QS

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Dave Walton
2013-07-08 02:58:55


Although it appears that QS recommends using market data that is pre-adjusted for splits, dividends, and corporate actions, I have to disagree about adjusting for dividends. Adjusting for dividends often results in a non-linear distortion of the price series backwards in time and thus one may arrive at wrong conclusions when using technical analysis and trying to identify chart patterns . The two problems are: 1) what you see in backtesting will not match what you would have seen trading at the time, and 2) dividends in the future will change decisions that would have been made in the past and thus invalidates backtesting.

So, I would like to download unadjusted market data and adjust only for splits myself. It is easy to modify the yahoo downloader to get the unadjusted data, but how do I make the adjustment for splits? I already have a custom database with the split information by symbol but can I access that within the downloader or will I need to run a custom script via the script editor?



QuantShare
2013-07-09 06:10:37

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You should run a script via the script editor. You can implement your own split logic or you can wait next release so that we implement a "Split" function that takes a split ratio and automatically adjusts your data.


Dave Walton
2013-07-09 06:41:56

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Excellent news! Is there an ETA on the next release?


QuantShare
2013-07-09 10:54:13

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around 30-40 days (The next update will take longer than usual)


Dave Walton
2013-07-09 11:12:44

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OK, thanks. Would you be willing to send me an advance copy of the split function? I would send back beta test feedback.


clonex
2013-07-09 19:37:40

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QS 3.0 is comming ? :)


QuantShare
2013-07-09 21:46:28

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Ok, I will send you an advance copy when it is ready.

Clonex: Yes, QS 3.0 is almost here




Seeker
2013-10-17 00:58:59

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Does the latest version 3.0 have this function which takes a split ratio and automatically adjust the data?


QuantShare
2013-10-17 11:41:42

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Yes, in the script editor (Tools -> Script Editor), use the following functions:

Quotes.AdjustForDividend
Quotes.AdjustForSplit

Example:
Quotes.AdjustForSplit("A", new DateTime(2013, 5, 25), "2:1");




Seeker
2013-10-17 13:03:35

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OK. Thats great. i was wondering if there is something where QS can pick split/dividends, etc date and details from an excel file/custom database and adjust an entire price database historically for all the symbols.


QuantShare
2013-10-17 15:13:44

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You can get splits data from a downloader such as Splits Calendar - Historical data for U.S. Stocks.

After that you will have to write a script to read data from the custom database and apply each split.





Splits Calendar - Historical data for U.S. Stocks (by Patrick Fonce, uploaded several months ago)
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Seeker
2015-05-10 22:01:33

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When I enter this code for split as follows, noting happens though it says "no errors".

Quotes.AdjustForSplit("70000011", new DateTime(2007, 8, 16), "2:1");


Is it that this line alone would not suffice?



QuantShare
2015-05-11 03:27:02

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Make sure symbol is correct and that you select the symbol again in the chart (to reload the data)


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