Jim,
So, on any day that there is a dividend or a split, you want to back
adjust your data that you're using to calculate the next signal.
Every time you back-adjust, you have to recreate your signals. If
that's how you want to do it, then I think that in quantstrat world,
you're better off
On Wed, 2012-05-02 at 00:00 -0400, Jim Green wrote:
Greetings!
Pls forgive me if this is an old topic. I have searched through list
archives extensively but I am just not sure if I am using quantstrat
correctly with intraday data.
...
Currently I use something similar to attached test.R to do
As an alternative to adjusting for dividends in quantstrat or blotter,
my qmao package (https://r-forge.r-project.org/R/?group_id=1113) has
two functions that adjust intraday data for dividends.
`adjustIntraday.yahoo` will download dividend data from yahoo and
calculate daily ratios. Those
On Wed, May 2, 2012 at 10:57 PM, Jim Green
student.northwest...@gmail.com wrote:
Thanks for the comment! personally I am hesitant to adjust intraday
prices for splits or dividends, and I prefer adjust positions to
account for the corp actions. Actually even for simplest technical
analysis on
On 3 May 2012 00:07, G See gsee...@gmail.com wrote:
If a stock splits in half, don't you think you should adjust for that
before performing technical analysis? You'd treat that big jump in
price the same as a real price jump even though if you had a position
in the stock, your PnL would be
Greetings!
Pls forgive me if this is an old topic. I have searched through list
archives extensively but I am just not sure if I am using quantstrat
correctly with intraday data.
I've attached sample minute ohlc data. after loading it, an xts object
spy.test would be populated as shown below:
