 Posted 6/22/2007 20:44:57
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| I was comparing the yahoo data to data from other providers. I have noticed the data seems to be way off from what they display on the site. I looked back, and it looks like they also present data for an adjusted close (that is what appears to be downloaded through RightEdge). What are the pro's and con's of using this data, vs. the non-adjusted data? I have been attempting to compare data between systems developed on WL, and some simple ones I have done on RightEdge. The data I have in WL is not adjusted, while it is in yahoo. I think this actually would cause a major problem with my back-testing: Take for example this data on AA that was pulled with RE yahoo adapter for open : 2/4/2003 17.79 2/5/2003 18.21 A difference of .42 , or 2.3% The actual open for those two days were: 19.59 19.90 A difference of .31, or 1.5% To me it would seem to cause problems with backtesting. Indicators, and entry/exit signals would be thrown off by this data, and I don't think the results would be accurate. Can someone confirm this for me? Is it possible to get this data non-adjusted. Maybe I should try open-tick (although I have seen problems with there daily data too), but before going down that road, I want to make sure I'm not going to run in to the same problem there.
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Posted 6/23/2007 08:19:29
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| Yes, I agree with you. This is a problem with back testing. The adjusted close includes dividends as well, so if your stock pays dividends, over time, they will begin to deviate. Of course, stock splits change the price quite dramatically. I've added a quick feature for the Yahoo plugin now. The Yahoo plugin now has service settings (click Configure Services, double click your Yahoo service in the list and then click the Other Settings... button). There is a checkbox to use adjusted close or not. Uncheck to get the data unadjusted. jibs76 (6/22/2007)
I was comparing the yahoo data to data from other providers. I have noticed the data seems to be way off from what they display on the site. I looked back, and it looks like they also present data for an adjusted close (that is what appears to be downloaded through RightEdge). What are the pro's and con's of using this data, vs. the non-adjusted data? I have been attempting to compare data between systems developed on WL, and some simple ones I have done on RightEdge. The data I have in WL is not adjusted, while it is in yahoo. I think this actually would cause a major problem with my back-testing: Take for example this data on AA that was pulled with RE yahoo adapter for open : 2/4/2003 17.79 2/5/2003 18.21 A difference of .42 , or 2.3% The actual open for those two days were: 19.59 19.90 A difference of .31, or 1.5% To me it would seem to cause problems with backtesting. Indicators, and entry/exit signals would be thrown off by this data, and I don't think the results would be accurate. Can someone confirm this for me? Is it possible to get this data non-adjusted. Maybe I should try open-tick (although I have seen problems with there daily data too), but before going down that road, I want to make sure I'm not going to run in to the same problem there.
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Posted 6/23/2007 11:30:48
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| Nice... Is this feature already available, or will be available in the next release? The 'Other Settings' is greyed out for yahoo in the RC1 build I am running now. I am testing some basic system functionality against WL to make sure I get similiar results. I am testing so that I can confidence that systems I transition from WL will behave the same. So far the testing is looking very good, results are identical even with some of the adjusted data! It would be helpful to get that non-adjusted data in for this testing though... Btw... I really like the idea that RightStream will be broker independent. The product is looking really good for me right now. Being a c# programmer I am imaging a whole world of possibilities... Great work!
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Posted 6/23/2007 15:19:44
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jibs76 (6/23/2007)
Nice... Is this feature already available, or will be available in the next release? The 'Other Settings' is greyed out for yahoo in the RC1 build I am running now. Sorry, I wasn't clear. I just added it at your request and it will be available in the next build I am testing some basic system functionality against WL to make sure I get similiar results. I am testing so that I can confidence that systems I transition from WL will behave the same. So far the testing is looking very good, results are identical even with some of the adjusted data! It would be helpful to get that non-adjusted data in for this testing though... Btw... I really like the idea that RightStream will be broker independent. The product is looking really good for me right now. Being a c# programmer I am imaging a whole world of possibilities... Great work! Yes, it's not only broker independent, but pluggable so that you can roll your own if necessary. Sounds like we have similar backgrounds. Wealth-Lab was a good tool for a long time. Our goal is to bring it to the next level. Thank you for the nice words.
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Posted 12/30/2009 14:13:27
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Is there a way to get split adjusted data but not dividend adjusted data via the Yahoo adapter? The 'Use Adjusted Close' setting for the adapter affects both which leads to the following issues: a) dividend adjusted prices lead to inaccurate results per the earlier discussion in this topic and b) non stock split adjusted prices lead to inaccurate indicators which use lookbacks.
Thanks, Duane
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Posted 12/31/2009 07:07:22
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Unfortunately, no. Yahoo only provides the data in those two ways.
dwebber (12/30/2009)
Is there a way to get split adjusted data but not dividend adjusted data via the Yahoo adapter? The 'Use Adjusted Close' setting for the adapter affects both which leads to the following issues: a) dividend adjusted prices lead to inaccurate results per the earlier discussion in this topic and b) non stock split adjusted prices lead to inaccurate indicators which use lookbacks.
Thanks, Duane
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Posted 12/31/2009 11:01:15
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I'm transitioning from WL and checked their Yahoo Data adapter settings. It currently allows for split and dividend adjusted data independently. I confirmed that the WL adapter is delivering split-adjusted but not dividend adjusted data for AAPL on 2/4/2003. Can you recheck to see if there is a way to accomplish the same via Yahoo's data?
Thanks, Duane
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Posted 1/6/2010 15:14:13
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Bill, Happy New Year...did you have an opportunity to re-look at the yahoo data?
Thanks, Duane
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Posted 1/7/2010 07:03:55
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Yes, but as I stated Yahoo only provides two columns, unadjusted and split adjusted. See something like this:
http://ichart.finance.yahoo.com/table.csv?s=MSFT&d=0&e=7&f=2010&g=d&a=2&b=13&c=1986&ignore=.csv
If you visit the page for MSFT data, you'll notice that there is an item in the HTML that denotes a dividend payment. We would have to scrape the HTML to find this, which is risky to support since HTML can and does change all of the time. That would put us in a maintenance scenario and a potentially broken or incorrect Yahoo plugin. So the jury is out ...
The good news is, the source for the Yahoo plugin is included in the samples. If you wanted to scrape the HTML and get this data you could.
dwebber (1/6/2010)
Bill, Happy New Year...did you have an opportunity to re-look at the yahoo data?
Thanks, Duane
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Posted 1/19/2010 12:04:06
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I notice that for the MSFT example you mention above the web page provides a separate radial button for dividends only. This allows manual download of dividend only data into a csv. Does yahoo provide this information as separate data for the symbol when accessing it through their api? If yes, this would avoid having to parse html.
Thanks, Duane
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