Dividend Adjusted Price Series

Author: ss161

Creation Date: 3/27/2009 12:31 PM

Wealth Lab » WealthScript (.NET) » Dividend Adjusted Price Series

ss161

3/27/2009 12:31 PM

i find this a useful function to adjust the Open High Low Close for dividends as they are paid. please note i've tested over a handful of names,but am still in the process of more completely testing the function.

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i find this a useful function to adjust the Open High Low Close for dividends as they are paid.  please note i've tested over a handful of names,but am still in the process of more completely testing the function.

[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
	{
		protected override void Execute(){

DataSeries CloseSave = Close * 1;
			CloseSave.Description = "UnadjClose";

Bars da = DividendAdjust(this, Bars);

DataSeries Adj		= Close - CloseSave;
			PlotSeries(PricePane, da.Close, Color.Blue, WealthLab.LineStyle.Solid, 2);
			PlotSeries(PricePane, CloseSave, Color.Red, WealthLab.LineStyle.Solid, 2);
			ChartPane AF = CreatePane(50, false, true);
			PlotSeries(AF, Adj, Color.Blue, WealthLab.LineStyle.Solid, 2);
			
		}

public Bars DividendAdjust( WealthScript ws, Bars b ) {

Bars bAdj = b;
			double adjFactor = 0;
			try {
				FundamentalItem fi = ws.GetNextFundamentalItem( 0, b.Symbol, "dividend" );
				DateTime nextXDate = fi.Date.Date;
				for (int Bar = 0; Bar < b.Count; Bar++) {
					DateTime curDate = b.Date[ Bar ].Date;
					if (curDate >= nextXDate) {
						adjFactor = adjFactor + fi.Value;
						try {
							fi = ws.GetNextFundamentalItem( Bar, b.Symbol, "dividend" );
							nextXDate = fi.Date.Date;
						} catch { 	// if we get an exception here, this mean that no more divs
							// so set the the date to the end of the dataseries and
							// div adjust the rest of the prices to the end with the current
							// adjust factor
							nextXDate = b.Date[ b.Count -1 ].Date.AddDays( 1 );
						}
					}
					// now we know the current adjFactor, so update O H L C with this value
					bAdj.Open[ Bar ] += adjFactor;
					bAdj.High[ Bar ] += adjFactor;
					bAdj.Low[ Bar ] += adjFactor;
					bAdj.Close[ Bar ] += adjFactor;
				}
			} catch { } // an exception means no divs, so just return the current Bars object.
			
			return bAdj;
		}				
	}	
}[/CODE]

Cone

3/27/2009 1:21 PM

Good show ss161, but a couple notes -

1) Use the Yahoo! Provider to load dividend-adjusted data directly. You can turn on/off the adjustment (and other options) in the Yahoo! tab in the DataSource Manager.

2) If you use dividend-adjusted data, make sure that you uncheck "Apply dividends" in the Backtest Settings Preferences (F12), otherwise you'll essentially be counting them twice.

ss161

3/27/2009 2:13 PM

i agree on point 2 completely

with respect to 1) i'm using 1 minute bar data, i can't get that from Yahoo, although maybe if you pay for data you can get it? (i havn't looked into it too much). either way, being able to turn it on or off on the fly in a script seems useful. of course, it requires access to fundamental data from fidelity to get the dividends.

Eugene

3/27/2009 2:22 PM

QUOTE:
although maybe if you pay for data you can get it?

No, even having a Premium account won't help get intraday historical data from Yahoo -- they just don't offer intraday backfills.

crk31174

8/5/2015 7:37 AM

Hi,

I tried using the Dividend adjusted data using the method that ss161 created on Fidelity data and compared it with Yahoo's dividend adjusted data. But they don't appear to match.

ss161, can you confirm if that is the case? Have you been able to do a comparison of the two?

Thanks,