[R-SIG-Finance] quantstrat with intraday data

[Jim Green]

Thanks for the comment! personally I am hesitant to adjust intraday
prices for splits or dividends, and I prefer adjust positions to
account for the corp actions. Actually even for simplest technical
analysis on daily data, I am still not sure if using dividend/split
adjusted data is the right way to do.

Jim.

On 2 May 2012 11:04, G See <gsee000 at gmail.com> wrote:
> As an alternative to adjusting for dividends in quantstrat or blotter,
> my qmao package (https://r-forge.r-project.org/R/?group_id=1113) has
> two functions that adjust intraday data for dividends.
>
> `adjustIntraday.yahoo` will download dividend data from yahoo and
> calculate daily ratios.  Those ratios will then be applied to intraday
> data.
>
> `AddCumDiv` simply adds back all dividends to the price series.
>
> With adjustIntraday.yahoo, the most recent observations will be the
> same as the unadjusted data, but the older observations will be lower
> than those that are unadjusted.
>
> With AddCumDiv, the oldest observations will be the same for the
> adjusted and unadjusted data, but the most recent observations will be
> higher for AddCumDiv.
>
> Although I believe these functions work like they're supposed to, they
> have not been rigorously tested, so YMMV.  bug reports encouraged.
>
> Since I just committed the AddCumDiv function a few minutes ago, it is
> not yet in the R-Forge build (although it is in the repo if you know
> how to svn checkout).  Since it's not in the build yet, I attached it.
>
> Regards,
> Garrett
>
> On Wed, May 2, 2012 at 8:02 AM, Brian G. Peterson <brian at braverock.com> wrote:
>> On Wed, 2012-05-02 at 00:00 -0400, Jim Green wrote:
>>> Greetings!
>>> Pls forgive me if this is an old topic. I have searched through list
>>> archives extensively but I am just not sure if I am using quantstrat
>>> correctly with intraday data.
>> <...>
>>> Currently I use something similar to attached test.R to do intraday
>>> work. in the code I liquidate everything before close so that I don't
>>> need to worry about splits and dividends. Is what I am doing the
>>> correct way of using quantstrat with intraday data?
>>
>> That's certainly the easiest answer.
>>
>> blotter contains some support for dividends, but it is only lightly
>> tested, since I personally don't need that functionality.  Additional
>> testing, direct feedback, and patches are always welcome.  Participation
>> by users is one of the ways these packages grow over time.  (and feel
>> free to take those conversations off-list)
>>
>>> Also if in future I will hold overnight positions, How would I make
>>> sure dividends and splits are correctly adjusted for pnl and summary
>>> statistics? would underlying blotter be smart enough to handle all the
>>> housekeeping?
>>
>> No Guarantees (of course that's true of everything in R).
>>
>> My recollection is that the addDiv function will add cash to your
>> account to cover dividends.
>>
>> I don't believe that there is a function for splits.  You'd likely need
>> to write that, we'd love the contribution.  It shouldn't be hard, as all
>> that needs to happen is that you add a transaction for the split with a
>> price of zero, adding more shares and lowering your average cost to
>> compensate for the split.
>>
>> As xts gains support for differing column classes this summer as part of
>> the funded GSoC project, it will get easier to add additional
>> information to transactions that will definitely include transaction
>> type.
>>
>> Regards,
>>
>>   - Brian
>>
>> --
>> Brian G. Peterson
>> http://braverock.com/brian/
>> Ph: 773-459-4973
>> IM: bgpbraverock
>>
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