[R-SIG-Finance] adjustOHLC discrepancy

Joshua Ulrich josh.m.ulrich at gmail.com
Sat Oct 6 20:49:14 CEST 2012


Looks like the issue was that dividends provided by Yahoo are
back-adjusted for splits.  I knew this (see TTR::getYahooData), but
that knowledge didn't find its way into adjustOHLC (until now).

I've updated adjustOHLC on R-Forge (r583) to un-adjust the dividends
before calculating the total adjustment ratio.  Please advise if you
(or anyone) notice any issues.

Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com

On Wed, Sep 19, 2012 at 5:23 PM, Jim Green
<student.northwestern at gmail.com> wrote:
> On 19 September 2012 04:00, Jim Green <student.northwestern at gmail.com> wrote:
>> Thanks Josh. I'll dig a little more with your clues and post back if I
>> find anything.
> Checked Bloomberg, many of the cacs from are wrong before 2009... some
> even don't make sense..
> Nasdaq, on the other hand, seems to have correct historical dividend data
> http://www.nasdaq.com/symbol/c/dividend-history
> adjusted close provided by yahoo seems reasonable. but need more time to test.
> Thanks to Josh again for looking into the issue!  Hope this post
> answers some potential questions regarding adjustOHLC.
>> Jim.

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