Split adjustment for Fidelity data like in Yahoo
Author: kelvinyip
Creation Date: 10/7/2019 12:17 AM
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kelvinyip

#1

10/7/2019 12:17 AM

For VXX using fidelity's daily data, I see that there are a few stock reverse splits like 11/8/2013. I want my prices adjusted for splits during backtesting. I used to use yahoo data and the adj is done by data manager checkbox. What do I do (function call) to make the same adj in fidelity data ?
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Eugene

#2

10/7/2019 5:22 AM

Fidelity doesn't support it but there's no shortage of examples on the forum:

https://www.wealth-lab.com/Forum/Posts/Yahoo-quot-Perform-Split-Adjustment-quot-to-not-adjust-Volume-37925
https://www.wealth-lab.com/Forum/Posts/SplitReverseFactor-gives-different-results-depending-on-the-date-range-38760/Page/1
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Cone

#3

10/7/2019 6:42 AM

Since it's unlikely that you'd really want to test with non-split data anyway (that would wreak havoc on most indicators), here's the way to go about it, as shown in the links above.

CODE:
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kelvinyip

#4

10/7/2019 11:58 AM

yeah it works. thanks
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Cone

#5

10/7/2019 12:11 PM

I made a mistake above that is now corrected:

CODE:
Please log in to see this code.
So the idea is to use the pre-split "C" series as a filter only. Your trading rules should still operate on the base series.
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