Revisit: Dividend Adjusted Data with Yahoo
Author: wphill
Creation Date: 4/23/2011 4:43 PM
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wphill

#1
I know that I have been down this road before. Sorry if I have forgotten the solution/explanation.

In the past I signed up for the premium Yahoo account in order to get static real time data. I was doing this to run coded programs near the end of the day in order to make weekly trades. Well, a number of months later I decided that it was not worth it. I dropped the account.

At this point, when I ran the weekly trading program on the dividend data set (still associated with Yahoo data), the trading history no looked the same as before. So, I wanted to see price charts. I was expecting that a price chart for let's say AWF would look different from the Yahoo data when compared to Fidelity data. Even though I was using yahoo data with the appropriate box checked off for dividend adjusted data in the Data Mgr, end of the day data no longer reflected dividends. The two price charts (same symbol, but different providers) looked the same.

My recollection is that one does not need a premium account to get end of the day data from yahoo in order to have price charts be adjusted for dividends. And, from a recent search within the Forum and per User Guide, this should be true.

Question: Is the above statement accurate?

Interestingly, though, the same trading program was getting slightly better performance with non adjusted yahoo data..which kind of makes sense. Since it was in the same ball park I let this issue slide. Fwiw...I use various trading strategies as a tool, not a blind mechanical trade. And, what I had from before was working. So, I have been kind of quiet on the trading front. Nonetheless, I really should know more about the data input.

(I am aware that when data is dividend adjusted from Yahoo that per Preferences I need to check box to not have dividends included in back testing.)

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Eugene

#2
Y! Premium account only removes the real-time streaming data delay, that's it.
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wphill

#3
Eugene,

Thanks.
Theoretically, therefore, trading history should not be effected if using end of day data, if using Yahoo data (dividends adjusted ) whether with Premium account or not with Premium Account? I get dividend adjusted price data either way?

(Re...price charts...I correct myself...I am now seeing a difference when comparing Fido and Yahoo data).
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Eugene

#4
Yes, trading history should not be affected whether using Premium or a regular account.
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hlh

#5
Some quick questions about Yahoo!. Probably asked/answered already somewhere in the forum (sorry if so):

Would subscribing at Y! also allow to have EOD data updated earlier after the close? I somehow think you WL guys once told me no, but as I interpret wphill he says it did, right?

WL4 vs. WL6.

What is the difference between Y! downloaded with WL4 vs. WL6. Obviously there is one and I am trying to figure out where and what. And also what I would need to set it best in WL6 for my trading setup backtests.

And, is WL4 Y! data the same when tested in (good old) WL4 as when tested in WL6 via the 'WL4 Files' provider?

Just curios: Is the data downloaded (now in WL6) raw price data of each particular trading day and then WL multipiles/divides the splits and works in the dividend adjustments?

The adjustment mod when Data Range specified settings (sure this is in the documentation): Would "Ignore splits and dividends which fall out of the range" give me the regular price an instrument tradet let's say in 1980 and not the significant lower price (if the stock went up over time and got split a couple of times)? This is somehow cool for price limits (e.g. if one does not want to trade an instrument under $10 for example). But would then mean to test e.g. on a year by year setting basis in Data Range, right?
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Cone

#6
QUOTE:
Would subscribing at Y! also allow to have EOD data updated earlier after the close?
No. The subscription is for real-time streaming.

QUOTE:
What is the difference between Y! downloaded with WL4 vs. WL6.
WL6 stores the raw data and applies the "correct" adjustment on the fly. There is no need to refresh the data for WL6. No so for WL4, which applies a correction that loses precision due to the use of the Y! Adjusted close field in the data.

QUOTE:
Would "Ignore splits and dividends which fall out of the range"...
Your thinking is correct. If you test an older date range, say with an ending date prior to 12/31/2009, then the splits/dividends that occur after 12/31/2009 won't be applied to the data with that option enabled.
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rbryant

#7
Hi related to dividend adjusted data for Yahoo, what does the radio button below do (under the Yahoo Data tab in the Data Manager), labelled "Keep the adjustments constant based on future prices"? I am trying to visualise specifically what that does and can't.

Thanks
Rod
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Eugene

#8
Hi,

It's documented in the Wealth-Lab User Guide (Help menu) > Data > Data Manager > Create New DataSet > Data Providers > Yahoo!
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rbryant

#9
Eugene
Thanks. Sorry I guess that is obvious - I was using the Search function in the User Guide to find the answer rather than drilling down into the contents.
Regards
Rod
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Eugene

#10
Rod,

You're welcome.
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