[R-SIG-Finance] Is the adjustOHLC function working correctly?

[Joshua Ulrich]

Hi Ilya,

On Tue, Jul 8, 2025 at 10:41 AM Ilya Kipnis <ilya.kipnis using gmail.com> wrote:
>
> So, I'm not sure the adjustOHLC function is working correctly.
>
> MRE:
>
Thanks for the example. Here's the code and output from your image.

getSymbols("AAPL", src = "yahoo", from = "1990-01-01")
[1] "AAPL"

head(AAPL)
          AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
1990-01-02  0.314732  0.334821 0.312500   0.332589   183198400     0.2614986
1990-01-03  0.339286  0.339286 0.334821   0.334821   207995200     0.2632536
1990-01-04  0.341518  0.345982 0.332589   0.335938   221513600     0.2641318
1990-01-05  0.337054  0.341518 0.330357   0.337054   123312000     0.2650093
1990-01-08  0.334821  0.339286 0.330357   0.339286   101572800     0.2667642
1990-01-09  0.339286  0.339286 0.330357   0.335938    86139200     0.2641318

head(aapl <- adjustOHLC(AAPL))
             AAPL.Open    AAPL.High     AAPL.Low   AAPL.Close
AAPL.Volume AAPL.Adjusted
1990-01-02 4.321185e-08 4.597001e-08 4.290540e-08 4.566357e-08
183198400     0.2614986
1990-01-03 4.658305e-08 4.658305e-08 4.597001e-08 4.597001e-08
207995200     0.2632536
1990-01-04 4.688950e-08 4.750239e-08 4.566357e-08 4.612338e-08
221513600     0.2641318
1990-01-05 4.627660e-08 4.688950e-08 4.535712e-08 4.627660e-08
123312000     0.2650093
1990-01-08 4.597001e-08 4.658305e-08 4.535712e-08 4.658305e-08
101572800     0.2667642
1990-01-09 4.658305e-08 4.658305e-08 4.535712e-08 4.612338e-08
86139200     0.2641318

>
> That is, after using adjustOHLC, the adjusted close price for AAPL (4.56e-08) very much does NOT match the actual adjusted closing price column (.261).
>
> I'm not sure if this function is a completely kosher fix because it simply works off of the ratio between close and adjusted columns, but I'd think the most important thing is to make sure that the adjusted closing price matches, and that the same ratio should be used daily, no?
>
As is often the case, the issue is with the Yahoo data. I assure you,
AAPL was not actually trading at $0.33 at the beginning of 1990. I
have no idea what that number represents. It could be just a dividend
OR split adjusted price. I don't care enough to try and figure it out.
Just switch to a better data source. I use Tiingo [1].

getSymbols("AAPL", src = "tiingo", from = "1990-01-01")
[1] "AAPL"

head(AAPL)
          AAPL.Open AAPL.High AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
1990-01-02     35.25     37.50    35.00      37.25     1635700     0.2614729
1990-01-03     38.00     38.00    37.50      37.50     1857100     0.2632278
1990-01-04     38.25     38.75    37.25      37.63     1977800     0.2641403
1990-01-05     37.75     38.25    37.00      37.75     1101000     0.2649826
1990-01-08     37.50     38.00    37.00      38.00      906900     0.2667375
1990-01-09     38.00     38.00    37.00      37.63      769100     0.2641403

head(aapl <- adjustOHLC(AAPL))
          AAPL.Open AAPL.High  AAPL.Low AAPL.Close AAPL.Volume AAPL.Adjusted
1990-01-02 0.2474586 0.2632538 0.2457036  0.2614988     1635700     0.2614729
1990-01-03 0.2667639 0.2667639 0.2632538  0.2632538     1857100     0.2632278
1990-01-04 0.2685189 0.2720290 0.2614988  0.2641665     1977800     0.2641403
1990-01-05 0.2650089 0.2685189 0.2597438  0.2650089     1101000     0.2649826
1990-01-08 0.2632538 0.2667639 0.2597438  0.2667639      906900     0.2667375
1990-01-09 0.2667639 0.2667639 0.2597438  0.2641665      769100     0.2641403

You can see that adjustOHLC() is working correctly when you give it
correct inputs. The differences between the "AAPL.Close" from
adjustOHLC() and the "AAPL.Adjusted" from Tiingo are due to floating
point round-off errors, or lack of precision in the split / dividend
data that adjustOHLC() gets from Yahoo (at least that data appears
correct).

Best,
Josh

[1] https://www.tiingo.com/

> So, here's my function:
>
> adjust <- function(x){
>   ratio <- Ad(x)/Cl(x)
>   x[,1] <- Op(x) * ratio
>   x[,2] <- Hi(x) * ratio
>   x[,3] <- Lo(x) * ratio
>   x[,4] <- Cl(x) * ratio
>   return(x)
> }
>
> Thanks.
>
> -Ilya
>
>
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-- 
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com