Split adjusted data

[siroki]

Hi,

I'm testing a daily swing trading strategy and I've noticed that my backfill daily data is not split-adjusted. I mean, day 1 i see $AAPL around 700 dollars and the next day after split at 100 dollars.

This makes backtesting a bit difficult because i get a 85% drawdown

Is there a dataprovider that provides adjusted daily data? I've tried Kinetick, and as most majors they don't offer adjusted daily bars.

[NinjaTrader_Bertrand]

Hi siroki, the Kinetick daily data should be split adjusted -

https://www.ninjatrader.com/support/helpGuides/nt7/historical_data.htm?zoom_highlightsub=split

Where do you see this happen, which date exactly?

Are you sure you're not mixing providers potentially here?

[siroki]

Do I need to enable Adjust for Splits and Adjust for Dividends in the Options>Data>Historical Chart Data section?

I was looking at PAYX which had a split on January 2nd 1996.. I had downloaded data end of december of around 46 and in january of 4

[NinjaTrader_Bertrand]

That would only be needed if you explicitly download split / divided data to apply from Yahoo. But Kinetick's daily data I would expect to be natively split adjusted.

Have you tried deleting present data and then downloading a fresh set only being connected to Kinetick?

[siroki]

No I have only redownloaded the existing stockset with Kinetick. I will delete all the old data from the db and reload from scratch. I might have mixed data from Yahoo, Google and Kinetick indeed.

[siroki]

Ok, I just cleaned and downloaded the data but the problem is still there...

Example SFUN 2011/02/18 .. I have price data going from 65.38 on 02/17/2011 to 4.13 on 02/18/2011

There was a 4:1 split on that date, but I cannot see whats going on here.. I have check on stockcharts.com and they show the correct adjusted data.

I used Kinetick for the backfill.

[NinjaTrader_PatrickH]

Hello Siroki,

Thank you for your response.

Are the options for Adjust for Spltis and Dividends disabled under Tools > Options > Data and under Tools > Instrument Manager > select the instrument > Edit > Misc > are there any Dividends or Splits defined?

[siroki]

Those options are both disabled, and I don't see any splits or dividends defined in the window you described.

[NinjaTrader_PatrickH]

Hello siroki,

Thank you for your response.

I am seeing the same behavior with the SFUN stock from both Yahoo and Kinetick EOD. Are you still seeing an issue in the split for the AAPL?

[siroki]

No, AAPL seems to be ok. So you also see a drop from 63 to 4 in SFUN?

[NinjaTrader_PatrickH]

Hello siroki,

Thank you for your response.

Correct, please refer to the attached screenshot.

[siroki]

Well that's clearly wrong data then. Because it traded at 16 dollars and then 4 after the 4:1 split.

I have verified at multiple sources.

[NinjaTrader_PatrickH]

Hello Siroki,

Thank you for your response.

Please provide a screenshot of the correct data.

[siroki]

Here is SFUN from multiple sources.

Stockcharts.com (split adjusted)


Tradingview.com (split adjusted)


Google (split un-adjusted)

[NinjaTrader_PatrickH]

Hello Siroki,

Thank you for your patience.

Please go to Tools > Instrument Manager > locate the SFUN > then select Delete > OK > then shut down NinjaTrader > go to the following directory on your PC: (My) Documents\NinjaTrader 7\db > delete the 'cache' folder in the 'db' folder > restart NinjaTrader > go to Tools > Options > Data > ensure the adjust for splits and dividends options are enabled > OK > then connect to Yahoo > open a new chart for the SFUN > when the chart loads go to Tools > Instrument Manager > SFUN > Edit > Misc > Update Splits and Dividends > OK > OK. Right click in the chart and select Reload All Historical Data.