DataSeriesOp.SplitReverseFactor gives different results depending on the date range

KGo

#1

4/4/2017 4:11 PM

The SplitReverseFactor function gives different results depending on the date range selected. It is ignoring splits that occurred after the end date of the analysis. Those splits are in the clicked data and must be represented in the adjustment. Try PSQ before and after 11/6/2014.

CODE:
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KGo

#2

4/9/2017 9:09 PM

Sometimes DataSeriesOp.SplitReverseFactor gives the correct value as with AAPL. However it is often incorrect as with:
CME
DDM
DXD
EWJ
EWM
FCX
IBN
MVV
PRAA
BIDU
PSQ
QLD
SBS
SDS
SH
Set the end date control to an early date say 2005 and try the below. If both blue and red line show at the last bar there is a problem. I believe the blue as coded is correct and have been using it as a replacement.

Please advise.

CODE:
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Size:

Color:

Sometimes DataSeriesOp.SplitReverseFactor gives the correct value as with AAPL. However it is often incorrect as with:
CME
DDM
DXD
EWJ
EWM
FCX
IBN
MVV
PRAA
BIDU
PSQ
QLD
SBS
SDS
SH
Set the end date control to an early date say 2005 and try the below. If both blue and red line show at the last bar there is a problem. I believe the blue as coded is correct and have been using it as a replacement.

Please advise.
[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		public DataSeries SplitReverseFactorSeries()
		{
			
			string description = Bars.Symbol + "_SplitReverseFactor" ;
			
			// Retreive cache if available
			if (Bars.Cache.ContainsKey(description))
				return Bars.Cache[description];

// Create Split reverse factor series
			IList<FundamentalItem> fList = FundamentalDataItems("split");
			DataSeries srf = new DataSeries(Bars, Bars.Symbol + "_SplitReverseFactor");               
			int b = Bars.Count - 1;         
			srf = srf + 1.0 ;
			srf.Description = description ;
			
			// Record all future splits on series
			for (int n = fList.Count - 1; n >= 0 ; n--)
			{            
				FundamentalItem fi = fList[n];
				if (fi.Bar == -1) 
				{
					if (fi.Date > Date[Bars.Count - 1])
					{
						// Future splits product on BC-1
						srf[b] = srf[b] * fi.Value ;
						PrintDebug( fi.Bar +"   "+ fi.Date.ToShortDateString() +"   "+ fi.Value + "   Cum End Value "+"   "+ srf[b] );
					}
				}
				else
				{
					// In series factor is applied to prices thru the bar before the split
					if( fi.Bar > 0 )
						srf[fi.Bar-1] = fi.Value ;
					PrintDebug( fi.Bar +"   "+ fi.Date.ToShortDateString() +"   "+ fi.Value );
				}
			}	
			
			// populate srf series with final values
			for (int bar = Bars.Count - 2; bar >= 0 ; bar--)
			{	
				srf[bar] = srf[bar+1] * srf[bar] ;
			}
			
			// Cache and return it
			srf.Cache[description] = srf ; ;
			return srf ;
		}
	
		
		protected override void Execute()
		{   
			PrintDebug( Bars.Symbol ) ;
			// Visual compare built in function to custom version
			DataSeries srf = SplitReverseFactorSeries() ;
			DataSeries srfWL  ;
			WealthLab.Rules.DataSeriesOp.SplitReverseFactor(this, "split", out srfWL); // Use this instead of Yahoo for Fidelity data
						
			ChartPane sfPane = CreatePane(30, true, true);
			PlotSeries(sfPane, srfWL, Color.Red, LineStyle.Solid, 7);
			PlotSeries(sfPane, srf, Color.Blue, LineStyle.Solid, 7);
			
		}
	}
}[/code]

Cone

#3

4/10/2017 12:23 PM

Thanks for pointing this out. I'll see what I can do to get this fixed.

marcomaier

#4

8/13/2017 8:34 AM

Hello,

I use the following part of code for my strategy:

CODE:
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Can you tell me how this code has to be modified ("Split (Yahoo! Finance)" is for the Yahoo-data) to work with the Data-Providers Morningstar Static and QuoteMedia or where I can find this informations?

Thanks and greetings

Marco

Eugene

#5

8/13/2017 8:38 AM

Hello Marco,

You cannot modify this code to use Morningstar or QuoteMedia providers as the source of split reverse adjustment. Said providers do not contain a fundamental item like "Split (Yahoo! Finance)".

P.S. Keep in mind that since these data providers do not support split and dividend adjustment you have to refresh the data once a split has taken place.

marcomaier

#6

8/13/2017 9:52 AM

Thanks for fast answering ...

Cone

#7

10/7/2019 6:28 AM

The topic starter's issue is fixed in 6.9.21.

KGo

#8

10/7/2019 4:48 PM

Thanks for implementing. How do I update WLP to get this?

Cone

#9

10/7/2019 9:03 PM

I'm currently expecting this 6.9.21 to be pushed out on Wednesday evening.

Panache

#10

12/29/2019 11:58 PM

CODE:
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Is there a way to build the bars object directly from the data series objects without having to do it bar by bar?

Eugene

#11

12/30/2019 5:56 AM

Probably. Create an Extension method for that and wrap it in your custom library (like C.Components). Should you have followup questions, please make sure to start a new topic. Despite quoting the code, what you're asking for is a separate question.