Also note that this issue is discussed here: https://github.com/joshuaulrich/quantmod/issues/152
Comments welcome! On Fri, Jun 2, 2017 at 9:51 AM, Joshua Ulrich <josh.m.ulr...@gmail.com> wrote: > On Fri, Jun 2, 2017 at 9:47 AM, Ilya Kipnis <ilya.kip...@gmail.com> wrote: > > That's a function of yahoo data no longer adjusting for dividends. > > > No, it isn't. > > > On Fri, Jun 2, 2017 at 10:45 AM, Vivek Rao via R-SIG-Finance < > > r-sig-finance@r-project.org> wrote: > > > >> (I tried sending this message before joining the group, but it was held > >> for moderation.) > >> > >> It appears that the adjustOHLC function of the quantmod package does not > >> create an .Adjusted field > >> that reflects dividends. > >> > >> The code > >> > >> library("quantmod") > >> sym <- "IBM" > >> START.DATE = "2016-01-01" > >> div <- getDividends(sym,auto.assign=FALSE,from=START.DATE) > >> xx <- getSymbols(sym, from=START.DATE, src="yahoo", auto.assign=FALSE) > >> xx.a <- adjustOHLC(xx) > >> xx.uA <- adjustOHLC(xx, use.Adjusted=TRUE) > > The issue is that you must set the symbol.name argument if the first > argument to adjustOHLC() is not named the same as the symbol being > adjusted. > > This works: > > xx.a2 <- adjustOHLC(xx, symbol.name = sym) > head(xx.a2) > IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted > 2016-01-04 128.3440 128.6942 127.0568 128.6753 5229400 135.95 > 2016-01-05 129.4420 129.5650 127.6342 128.5807 3924800 135.85 > 2016-01-06 127.1893 128.3251 126.4700 127.9371 4310900 135.17 > 2016-01-07 126.5457 127.7951 125.3437 125.7507 7025800 132.86 > 2016-01-08 126.0535 126.6593 124.2931 124.5865 4762700 131.63 > 2016-01-11 124.7568 126.6593 124.7095 126.1009 4974400 133.23 > > >> cat("\ndiv\n") > >> print(head(div)) > >> cat("\nxx\n") > >> print(head(xx)) > >> cat("\nxx.a\n") > >> print(head(xx.a)) > >> cat("\nxx.uA\n") > >> print(head(xx.uA)) > >> > >> produces the output below. I'd expect that IBM.Adjusted field to have > >> different values > >> at the beginning of the period, depending on whether one adjusts for > >> dividends. > >> > >> div > >> IBM.div > >> 2016-02-08 1.3 > >> 2016-05-06 1.4 > >> 2016-08-08 1.4 > >> 2016-11-08 1.4 > >> 2017-02-08 1.4 > >> 2017-05-08 1.5 > >> > >> xx > >> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted > >> 2016-01-04 135.60 135.97 134.24 135.95 5229400 135.95 > >> 2016-01-05 136.76 136.89 134.85 135.85 3924800 135.85 > >> 2016-01-06 134.38 135.58 133.62 135.17 4310900 135.17 > >> 2016-01-07 133.70 135.02 132.43 132.86 7025800 132.86 > >> 2016-01-08 133.18 133.82 131.32 131.63 4762700 131.63 > >> 2016-01-11 131.81 133.82 131.76 133.23 4974400 133.23 > >> > >> xx.a > >> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted > >> 2016-01-04 135.60 135.97 134.24 135.95 5229400 135.95 > >> 2016-01-05 136.76 136.89 134.85 135.85 3924800 135.85 > >> 2016-01-06 134.38 135.58 133.62 135.17 4310900 135.17 > >> 2016-01-07 133.70 135.02 132.43 132.86 7025800 132.86 > >> 2016-01-08 133.18 133.82 131.32 131.63 4762700 131.63 > >> 2016-01-11 131.81 133.82 131.76 133.23 4974400 133.23 > >> > >> xx.uA > >> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted > >> 2016-01-04 135.60 135.97 134.24 135.95 5229400 135.95 > >> 2016-01-05 136.76 136.89 134.85 135.85 3924800 135.85 > >> 2016-01-06 134.38 135.58 133.62 135.17 4310900 135.17 > >> 2016-01-07 133.70 135.02 132.43 132.86 7025800 132.86 > >> 2016-01-08 133.18 133.82 131.32 131.63 4762700 131.63 > >> 2016-01-11 131.81 133.82 131.76 133.23 4974400 133.23 > >> > >> Vivek Rao > >> > >> _______________________________________________ > >> R-SIG-Finance@r-project.org mailing list > >> https://stat.ethz.ch/mailman/listinfo/r-sig-finance > >> -- Subscriber-posting only. If you want to post, subscribe first. > >> -- Also note that this is not the r-help list where general R questions > >> should go. > >> > > > > [[alternative HTML version deleted]] > > > > _______________________________________________ > > R-SIG-Finance@r-project.org mailing list > > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > -- Subscriber-posting only. If you want to post, subscribe first. > > -- Also note that this is not the r-help list where general R questions > should go. > > > > -- > Joshua Ulrich | about.me/joshuaulrich > FOSS Trading | www.fosstrading.com > R/Finance 2017 | www.rinfinance.com > -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com R/Finance 2017 | www.rinfinance.com [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.