Dividend Adjustment of Yahoo Price Data?

0 votes
asked Jun 27, 2017 in AmiQuote by Dave

I recently purchased AmiQuote and have previously asked about extending AmiQuote to download Yahoo dividend data for user adjustment of Yahoo price data.  

My general question is:  How are AmiBroker users using Yahoo's adjusted close price in backtesting, if the Yahoo Open, High, and Low prices are not adjusted?  In many cases the Adjusted Close is not even within the High / Low range for the bar.

In the past, we downloaded Yahoo price data with the Split and Dividend data and processed all splits and dividends (properly) before any backtesting.  I can't emphasize enough how important the extension of AmiQuote to also collect the Yahoo Split and Dividend data is to accurate data files and, therefore, accurate backtesting.

Your last word on this extension was "looking into it."  Have you made any progress in this critical area?  Should this be discussed more completely in the forum area?  

1 Answer

0 votes
answered Jun 30, 2017 by anonymous

This is Yahoo incorrect dividend adjustment.

For the detailed explanation see:

http://www.amibroker.com/kb/2017/06/30/wrong-close-price-in-yahoo-data/

commented Jun 30, 2017 by Dave
Thank you for your very descriptive (and frustrating) analysis.  Something that worked well has been changed in ways that had nothing to do with automated downloading of data.

My suggestion stands:  If AmiQuote was extended to download Yahoo Price data, Yahoo Split data and Yahoo Dividend data into three (3) files, THE USER could unadjust or adjust the price data as needed as well as use alternate data sources, such as Google Finance, and perform the same adjustments as needed.

AmiQuote could be further extended to provide user-selected unadjustments and adjustments based on the data source.  This would effectively make AmiQuote more than just data collection utility by adding some rudimentary pre-processing.
commented Jul 6, 2017 by Eric
Try using Tiingo data. Nice and clean, adjusted, good history, free or cheap (depending on amount needed), can be downloaded and imported automatically with AmiQuote.
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