[R-SIG-Finance] does quantmod::adjustOHLC adust for dividends?
Joshua Ulrich
josh.m.ulrich at gmail.com
Fri Jun 2 17:34:41 CEST 2017
On Fri, Jun 2, 2017 at 10:29 AM, Vivek Rao <vivekrao4 at yahoo.com> wrote:
> Thank you. I see that the IBM.Open, IBM.High, IBM.Low, and IBM.Close columns
> are adjusted for dividends, and IBM.Adjusted column actually contains the
> raw close.
This is not true. The IBM.Adjusted column contains the split-adjusted
close. It's the same as the raw close for this time period though,
because IBM has not had a split since mid-1999.
getSymbols("IBM", from ="1900-01-01")
head(IBM)
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
1962-01-02 578.5 578.5 572 572.0000 387200 7.626667
1962-01-03 572.0 577.0 572 577.0000 288000 7.693333
1962-01-04 577.0 577.0 571 571.2501 256000 7.616667
1962-01-05 570.5 570.5 559 560.0000 363200 7.466667
1962-01-08 559.5 559.5 545 549.5001 544000 7.326667
1962-01-09 552.0 563.0 552 556.0000 491200 7.413333
tail(IBM["1999-05"])
IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
1999-05-21 232.750 233.375 229.188 230.3750 6899800 115.1875
1999-05-24 230.312 230.688 221.750 223.7500 8598200 111.8750
1999-05-25 222.500 226.000 221.000 221.1875 9405000 110.5938
1999-05-26 223.000 236.625 221.438 236.2500 16628000 118.1250
1999-05-27 116.688 116.875 112.625 116.0000 10552500 116.0000
1999-05-28 116.000 116.750 114.188 116.0000 6379500 116.0000
> This is fine as long the user knows this -- the naming of the columns could
> suggest
> the reverse.
>
> Before Yahoo changed its data format, when I used getYahooData from package
> TTR to get data, the fields returned were
> Open,High,Low,Close,Volume,Unadj.Close,Div,Split,Adj.Div . I think the label
> "Unadj.Close" for the raw close
> is more descriptive.
>
> Vivek Rao
>
> ________________________________
> From: Joshua Ulrich <josh.m.ulrich at gmail.com>
> To: Ilya Kipnis <ilya.kipnis at gmail.com>
> Cc: Vivek Rao <vivekrao4 at yahoo.com>; "r-sig-finance at r-project.org"
> <r-sig-finance at r-project.org>
> Sent: Friday, June 2, 2017 10:51 AM
> Subject: Re: [R-SIG-Finance] does quantmod::adjustOHLC adust for dividends?
>
> On Fri, Jun 2, 2017 at 9:47 AM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
>> That's a function of yahoo data no longer adjusting for dividends.
>>
> No, it isn't.
>
>> On Fri, Jun 2, 2017 at 10:45 AM, Vivek Rao via R-SIG-Finance <
>> r-sig-finance at r-project.org> wrote:
>>
>>> (I tried sending this message before joining the group, but it was held
>>> for moderation.)
>>>
>>> It appears that the adjustOHLC function of the quantmod package does not
>>> create an .Adjusted field
>>> that reflects dividends.
>>>
>>> The code
>>>
>>> library("quantmod")
>>> sym <- "IBM"
>>> START.DATE = "2016-01-01"
>>> div <- getDividends(sym,auto.assign=FALSE,from=START.DATE)
>>> xx <- getSymbols(sym, from=START.DATE, src="yahoo", auto.assign=FALSE)
>>> xx.a <- adjustOHLC(xx)
>>> xx.uA <- adjustOHLC(xx, use.Adjusted=TRUE)
>
> The issue is that you must set the symbol.name argument if the first
> argument to adjustOHLC() is not named the same as the symbol being
> adjusted.
>
> This works:
>
> xx.a2 <- adjustOHLC(xx, symbol.name = sym)
> head(xx.a2)
> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
> 2016-01-04 128.3440 128.6942 127.0568 128.6753 5229400 135.95
> 2016-01-05 129.4420 129.5650 127.6342 128.5807 3924800 135.85
> 2016-01-06 127.1893 128.3251 126.4700 127.9371 4310900 135.17
> 2016-01-07 126.5457 127.7951 125.3437 125.7507 7025800 132.86
> 2016-01-08 126.0535 126.6593 124.2931 124.5865 4762700 131.63
> 2016-01-11 124.7568 126.6593 124.7095 126.1009 4974400 133.23
>
>>> cat("\ndiv\n")
>>> print(head(div))
>>> cat("\nxx\n")
>>> print(head(xx))
>>> cat("\nxx.a\n")
>>> print(head(xx.a))
>>> cat("\nxx.uA\n")
>>> print(head(xx.uA))
>>>
>>> produces the output below. I'd expect that IBM.Adjusted field to have
>>> different values
>>> at the beginning of the period, depending on whether one adjusts for
>>> dividends.
>>>
>>> div
>>> IBM.div
>>> 2016-02-08 1.3
>>> 2016-05-06 1.4
>>> 2016-08-08 1.4
>>> 2016-11-08 1.4
>>> 2017-02-08 1.4
>>> 2017-05-08 1.5
>>>
>>> xx
>>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>>> 2016-01-04 135.60 135.97 134.24 135.95 5229400 135.95
>>> 2016-01-05 136.76 136.89 134.85 135.85 3924800 135.85
>>> 2016-01-06 134.38 135.58 133.62 135.17 4310900 135.17
>>> 2016-01-07 133.70 135.02 132.43 132.86 7025800 132.86
>>> 2016-01-08 133.18 133.82 131.32 131.63 4762700 131.63
>>> 2016-01-11 131.81 133.82 131.76 133.23 4974400 133.23
>>>
>>> xx.a
>>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>>> 2016-01-04 135.60 135.97 134.24 135.95 5229400 135.95
>>> 2016-01-05 136.76 136.89 134.85 135.85 3924800 135.85
>>> 2016-01-06 134.38 135.58 133.62 135.17 4310900 135.17
>>> 2016-01-07 133.70 135.02 132.43 132.86 7025800 132.86
>>> 2016-01-08 133.18 133.82 131.32 131.63 4762700 131.63
>>> 2016-01-11 131.81 133.82 131.76 133.23 4974400 133.23
>>>
>>> xx.uA
>>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>>> 2016-01-04 135.60 135.97 134.24 135.95 5229400 135.95
>>> 2016-01-05 136.76 136.89 134.85 135.85 3924800 135.85
>>> 2016-01-06 134.38 135.58 133.62 135.17 4310900 135.17
>>> 2016-01-07 133.70 135.02 132.43 132.86 7025800 132.86
>>> 2016-01-08 133.18 133.82 131.32 131.63 4762700 131.63
>>> 2016-01-11 131.81 133.82 131.76 133.23 4974400 133.23
>>>
>>> Vivek Rao
>>>
>>> _______________________________________________
>>> R-SIG-Finance at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>>
>> [[alternative HTML version deleted]]
>
>>
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>
>
>
>
> --
> Joshua Ulrich | about.me/joshuaulrich
> FOSS Trading | www.fosstrading.com
> R/Finance 2017 | www.rinfinance.com
>
>
>
--
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
R/Finance 2017 | www.rinfinance.com
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