Bug with dividends and splits adjustments

[androiduser14916]

To reproduce:

Download dividend and split data for EWJ from yahoo
Ensure that under NinjaTrader Options ->
Check adjustment for Dividends
Check adjustment for Splits

My TimeZone: (UTC+08:00) Kuala Lumpur, Singapore
Instrument timezone: US Equities RTH

Delete cache files for EWJ

SampleMACrossover

60 Minute data,
Fast = 8
Slow = 32

From 2012-01-01
To 2017-02-13

Exit on close = False

Run strategy once, cache files have been created.

Note down the Total Net Profit

Run strategy again, this time it is running on cache files.

Total Net Profit is different !!!!

EWJ was adjusted to $36 in 2012 when running without cache db files. (1st run)
EWJ was adjusted to around $46 in 2012 when running on cache files. (2nd run)

Feels like dividend adjustment was applied twice when cache is used.

[NinjaTrader_JessicaP]

Thank you for your report, androiduser14916. NinjaTrader 7 is no longer under active development, so any fixes we make will have to be through NinjaScript or through modifying the help guide. I will be testing the scenario you laid out in NinjaTrader 8. In the meantime, if you can suggest any modifications to the help guide, we will be happy to take these into consideration. I am including some relevant pages, which may be good candiates for adding a note regarding this behavior.

http://ninjatrader.com/support/helpGuides/nt7/discrepancies_real_time_vs_bac.htm

http://ninjatrader.com/support/helpGuides/nt7/how_bars_are_built.htm

http://ninjatrader.com/support/helpGuides/nt7/backtest_a_strategy.htm

I will return shortly with my findings for NinjaTrader 8

[NinjaTrader_JessicaP]

It looks like I couldn't see the same thing in NinjaTrader 8 that you were seeing in 7. Since this is not a built-in instrument, can you visit Tools -> Instrument Manager, edit your EWJ instrument, and send us pictures of both tabs in the instrument editor? Be sure to scroll down to your mappings section in the misc tab.

To send a screenshot with Windows 7 or newer I would recommend using Window's Snipping Tool.
Click here for instructions
Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.
Click here for detailed instruction

[androiduser14916]

EWJ exchanges = NYSE, Default

Note that in Ninja 8, when you want strategy to rerun and recalculate, you have to change something else otherwise it seems to just load from memory and not recalculate. So to force recalculation, I had to change the end date to 15/03/2018, Run, before changing it back to 15/03/2017.

[NinjaTrader_JessicaP]

Thank you androiduser14916. Can you provide a dropbox link with the dividend data you are using?

[androiduser14916]

The dividend and split info are provided in the attached pictures. You can add them manually.

Split
7 Nov 2016
Factor 0.25

Dividend
4 Jan 2015
Amount 20

[NinjaTrader_JessicaP]

To confirm, is this what you meant by "Download dividend and split data for EWJ from yahoo" ? This step is not referring to historical data?

[androiduser14916]

ninja 8 can't seem to download from yahoo. You can add the splits and dividends manually

[NinjaTrader_JessicaP]

Thank you for this additional information androiduser14916. It looks like we were not able to see quite the same thing on a clean installation on our end, even after adjusting the data between runs as instructed. We were using a pre-release version of NinjaTrader. If this continues into the next release of NinjaTrader for you please let us know with an e-mail to platformsupport[at]ninjatrader[dot]com, referencing Attn:NinjaTrader_JessicaP and 1676392 in the subject line of your e-mail, so that I or one of our staff can work with you directly to determine what is different between our systems.

[androiduser14916]

I think you misunderstood, the dividend data is input into the system before any runs.

Switch OS to time zone say Singapore

Before starting any runs, delete all files from \Documents\NinjaTrader 8\db\cache\

First run of strategy analyzer will cause creation of data files in \Documents\NinjaTrader 8\db\cache\US Equities RTH.Singapore Standard Time

Second run will make use of these files.

The 2 runs will yield different result

[NinjaTrader_JessicaP]

Thank you, I believe we are running the same test. Let's reduce any possible differences between our systems. According to this publicly available link,

http://www.nasdaq.com/symbol/mrvl/dividend-history

Marvell Technology Group has paid out several dividends. If we look at the built in symbol in NinjaTrader, and click "Update" to update its splits and dividends, we see that this has 2 built-in splits as well. While the splits are very old, since the behavior we are interested in is dividend behavior, I would like to ask that we both use this symbol for testing.

On my end I am adding a dividend of 0.06 on the following payment dates for this symbol (dates in U.S. mm/dd/yyyy format) :

4/20/2017, 12/28/2016, 10/19/2016, 7/12/2016, 4/22/2016, 12/29/2015, 10/22/2015, 7/1/2015, 4/2/2015, 12/29/2014, 10/2/2014, 7/2/2014, 3/27/2014, 12/23/2013, 10/3/2013, 7/3/2013, 4/4/2013, 12/21/2012, 10/4/2012, 7/11/2012

[NinjaTrader_JessicaP]

Thank you again for your report
androiduser14916.


This behavior was confirmed on our end. We will be investigating this further. Please keep an eye on the NinjaTrader 8 Release Notes page for updates and bugfixes.

http://ninjatrader.com/support/helpGuides/nt8/en-us/release_notes.htm

Tracking ID: NTEIGHT-11480

[NinjaTrader_JessicaP]

This no longer occurs in the latest pre-release version of NinjaTrader. Please let us know if this continues for you into the next release of NinjaTrader.