When running my strategies last weekend, I noticed that SPY's Friday closing price was shown to be down relative to prior days' prices, even though SPY was up approximately 0.5% on Friday. I presume this is because SPY had a dividend on Friday, and the Friday closing price was shown to be the actual closing price, including the dividend reduction, but prior closing prices were not adjusted downward to reflect the dividend.

Question: Will the prior data eventually self-adjust to reflect the dividends, or is there something I must do manually (I believe I am using Fidelity data)? Or, on the other hand, is the data not adjusting because unadjusted data is considered to be more meaningful when running backtests?

You named the post "Adjust Data for Splits", but it seems like you're really asking about adjusting for dividends, right?

Depends on the Provider. Fidelity does not adjust for dividends, in general (I leave open the possibility of a special situation). Yahoo! data are dividend-adjusted if you select that option in the Yahoo! Data settings (Data Manager).

QUOTE:
You named the post "Adjust Data for Splits", but it seems like you're really asking about adjusting for dividends, right?

Right; thank you.

Per your suggestion, I tried using Yahoo Data (w/check in box for Adjust for Dividends) vs. Fidelity Data, and it did make a difference -- the Yahoo Data generated a Sell signal whereas the Fidelity Data did not. FWIW, my spreadsheet, on which I manually adjust prices for dividends, generated a Sell signal consistent with the Yahoo Data.

The particular strategy that I am monitoring uses the Indicator: AvePrice(C), which evaluates Hi & Low as well as Close prices. In Yahoo.com's financial section, the Historical Data for SPY shows dividend-adjusted prices for Close, but not for Open/High/Low. Do you know whether the Yahoo Data that W-L accesses adjusts Open/High/Low prices for dividends, or only Close prices? I could determine this myself if I could view the data that W-L is using, but I do not see a means to do so -- is there a way to view the actual data matrix that W-L is utilitizing when it runs a backtest?

QUOTE:
the actual data matrix that W-L is utilitizing when it runs a backtest?

It's the chart data. Right click the chart, copy price data, paste to Excel (if that's what you're after).

The dividend-adjusted calculation for Y! is given in the User Guide, Data > Data Manager > Create New DataSet > Data Providers > Yahoo!

Thanks!