Chart shows negative prices

[acamus]

I successfully brought up a chart of WMT with no adjustment for splits and dividends. I used Yahoo as the data feed and drew a chart of daily bars between 1/1/1988 and 1/1/1989.

Then I followed the instructions and downloaded the splits and dividends in the Instrument Manager. I verified that the split and dividend data was consistent with that on the Yahoo web site. Then I enabled adjusting for splits and dividends in the Data tab of the Options box and drew the same chart. The prices were all negative for the time period above, though correct in more recent times. They all ranged somewhere between -3.05 and -2.45.

Maybe I just don't understand but I did not expect them to be negative. I expected them to be adjusted in the same way as Yahoo's "adjusted close".

Does anyone know what I'm doing wrong?

Thanks.

Al

[NinjaTrader_ChristopherJ]

Hello acamus,

Thank you for your post.

Please delete your historical data for WMT by disconnecting-->Tools-->Historical data-->Delete-->Reconnect.

Please open a new chart after this procedure and let me know if the issue persists.

[acamus]

Thanks ChristopherJ for the rapid response. I performed the procedure as described. My problem remains. The adjusted prices are still negative.

I don't believe the problem is the result of bad data for WMT. When I disable adjusting for splits and dividends in the Options box, the unadjusted prices are consistent with other sources of historical price data. Likewise, I manually verified that the automatically downloaded split and dividend data is consistent with Yahoo.

Thanks.

[acamus]

Any update on this? I would like to use NinjaTrader to back test some strategies over the long term, accounting for splits and dividends.

Thanks

Al

[NinjaTrader_Ben]

Hello,

The data from your provider does not supply this information, so we cannot stream it to you; therefore you cannot make any calculations based on div's and splits on your platform. Note that splits are reflected in the actual price of the stock and that will be refected on your charts etc. in terms of price.

[acamus]

I am able to download the splits and dividends from Yahoo and the split and dividend data reported in the Instrument Manager is consistent with what I see on Yahoo. I wonder if this is the problem though. It appears to report not the real dividend but rather a split adjusted dividend. Here's 1987:

7-Dec-87 $ 0.00375 Dividend
27-Aug-87 $ 0.00375 Dividend
13-Jul-87 2 : 1 Stock Split
15-Jun-87 $ 0.00375 Dividend
17-Mar-87 $ 0.00375 Dividend

I bet it should be:

7-Dec-87 $ 0.001875 Dividend
27-Aug-87 $ 0.001875 Dividend
13-Jul-87 2 : 1 Stock Split
15-Jun-87 $ 0.00375 Dividend
17-Mar-87 $ 0.00375 Dividend

Well not quite because there have been many more splits since 1987. Assuming the dividend was the same in real terms for the whole of 1987, the dividends after the split should be half the value because there are twice as many shares. Or maybe I got that backwards. Need coffee!

I know this isn't really your problem if the data is wrong. But if this is really what's going on, is there any way NinjaTrader could correct the dividend data when you update it so it is no longer split adjusted?

Many thanks

Al

[NinjaTrader_ChristopherJ]

Hello acamus,

You may disable Split adjust and Dividend adjust by going to the Control Center-->Tools-->Options-->Data tab.

I have provided a link below to our Help Guide that goes over the Data tab.

http://www.ninjatrader-support.com/HelpGuideV6/Data.html

[acamus]

Thanks. That isn't actually my problem. I want to use the adjust for splits and dividends feature. I am able to download the split and dividend information from Yahoo using the instrument manager. My problem is that the resulting adjusted price data is negative when viewed in the chart if you go back far enough in time.

I am suggesting that the data from Yahoo is not in the format that NinjaTrader needs. I think NinjaTrader needs the true non-split-adjusted dividends while Yahoo provides some kind of split adjusted dividend, as I showed in the example in my last post.

If my guess is right, it seems that NinjaTrader could correct the dividends whenever you update them from Yahoo. This would be a useful feature for people using Yahoo as a data source.

I hope I'm making sense.

Thanks again.

[NinjaTrader_ChristopherJ]

Hello acamus,

I will forward this to our development team for future considerations.

[noincomenojobnoassets]

Hi guys,

Any update on this? Having the same problem here.

Collecting data from Yahoo...

- AND adjusting for splits and dividends in NT gives a gap-free chart that sports negative stock price values at the beginning of the chart

- and NOT adjusting for splits and dividends in NT gives a chart showing the Yahoo price information, but showing gaps at the split/dividend points...

Regards

ninjna

[NinjaTrader_ChristopherJ]

Hello,

I have tested this on my end and receive the same results. I will forward this to our development team to see if there are any updates available.

[acamus]

Hi

I would like to use the backtesting feature of NinjaTrader but I don't feel I can draw meaningful conclusions for split and dividend adjusted historical prices that start out negative. Thanks for forwarding this to the development team.

Thanks for the support ChristopherJ.

[noincomenojobnoassets]

*** WORKAROUND ***

Guys, I have a workaround that does the job - not absolutely correct, but it allows far-reaching stock backtesting.

1) Click "Update splits and dividends" for each stock you would like to backtest. Make sure a Yahoo connection is enabled so that the split and dividend information can be downloaded.

2) Check Yahoo Finance for additional splits that NT does not automatically download - for the Nasdaq 100, I had 94 splits across 29 stocks that weren't downloaded by NT. Add these splits to the existing ones in the stock's properties (you need to fill in the date and the split ratio, both of which can be found by enabling "Events" -> "Splits" when viewing charts in Yahoo Finance).

3) Check "Adjust for splits" in Tools -> Data, leave "Adjust for dividends" unchecked.

This way at least you get a chart that does not drop into the negative for early dates, but is also continuous. Dividends remain unaccounted for this way, but splits definitely have the larger impact for backtesting.

Regards
ninjna