I have a question and some info to provide regarding end of day stock/ETF data adjustments.
** Question - Is there any reason why one would Not want to use stock data adjusted for dividends (adjusted or otherwise) for back testing purposes? ** Presumably most traders adjust stops and targets downwards to reflect dividend payments and the resulting security price decreases. If I use data to back test which has not been adjusted for dividends, how could my back-test be accurate? For example, I bought a stock at 104, my stop is at 99. The current stock price is 100. The company pays a 1.2% dividend. All else being equal, data unadjusted for dividends takes me out as price is adjusted to below 99. In reality I lowered my stop proportionately and remain in the market. If the stock rises from here the back test is wrong. I ask the question because I'm new to back testing and I am not finding a consensus on the issue of whether or not to adjust stock price data for dividends. Any advantages to using non-adjusted (for dividends) stock market data? Thanks in advance for your thoughts. Now for some information. I called/emailed/read web sites of data vendors to see how they handle adjusting, or not, stock/etf data for stock splits and dividends. Here is what I found, hope it helps. CSI - Their software provide the option to adjust, or not, for splits and dividends. eSignal - Adjusts for both stock splits and dividends IQfeed - Adjusts for both stock splits and dividends Premium Data - "... adjusted for all capital-related corporate actions - splits, reverse splits, capital returns, special dividends, stock dividends, demergers and spin-offs." "... not adjusted for ordinary dividends." Quotes Plus - Does anyone know whether they adjust for stock splits and/or dividends? I have called and emailed to find out with no reply. Yahoo - My understanding is that the Yahoo historical database adjusts for both stock splits and dividends Tradestation - Adjusts for both stock splits and dividends I do not believe Amibroker supports the use of Tradestation data. However, they are a major data provider and I was curious.
