Dividend-Adjusted-Data

Nothing appears broken to get fixed. WL7 is downloading Yahoo dividends. Yahoo's data per se is adjusted for both dividends and splits.

Is your experience different? What if you restart WL7?

Hi Eugene,

Restarting WL7 has no effect.

In WL7, if you look at a chart for QQQ using with only Yahoo hist data enabled in Data Manager, you will see that a dividend of $0.40 was issued March 22, 2021. The closing price on March 22 is 318.61. The previous trading day's price (March 19) close shows 313.14. This is an unadjusted close price.

In WL6, March 19 close shows as 312.75 (~$0.40 less). You can confirm on Yahoo site looking at historical data for QQQ that, for March 19, 313.14 is listed as the unadjusted price and 312.75 is the adjusted price.

This confirms that WL7 is downloading unadjusted data from Yahoo that is not being adusted by WL7. Don't know if there is setting to change that.

Hope this helps....

Robert

Robert, the Close price of QQQ on 03/19/2021 is shown as 312.75 for me using Yahoo data. Adjustment takes place in the code base and Yahoo's AdjClose is adjusted for both splits and dividends.

Mine shows 313.14



Might I have a setting that is different than yours?

This is WealthData, not Yahoo. In Data Manager > Historical Providers, check Yahoo! and put it on top of WD.

Tip: look in the window status bar to see which data provider supplied the chart with data.

@Eugene yes I see that. Not sure how it defaulted to WealthData as I was sure I had Yahoo selected. Thanks. I'm glad it was that.

A couple of questions:

1. If I only check Yahoo and leave other proovidedrs unchecked, does it matter what order they are in?
2. Do default providers other than Yahoo deliver (or does WL correct to) Adjusted Close data?

Robert

1. No, it doesn't.
2. There are many providers so please feel free to check them out yourself, including extensions: https://www.wealth-lab.com/Extension

QUOTE:
There are many providers

Then specifically, do you know if the "default" historical providers listed in WL7 yield Close Adjusted Data?

There don't appear to be any Provider Specific Settings for these 5 providers, the summaries don't mention it, and you said WL does data massage on Yahoo data. Is Yahoo the only data you massage to get Close Adjusted?

I'm familiar with AlphaVantage, but they have different URL's for different types of data, including historical Adjusted Close. Don't see where I can select that with AV panel.

Basically, I want to know if I will get Adjusted Historical data by default in WL7 with all or only certain providers. It appears not to be the case with WealthData, as we saw. How would you suggest I find out?

While I was at it, the Alphavantage provider does hit the adjusted timeseries endpoint.

Unfortunately, our current workload won't let me go through each provider like this. You can estimate it by looking at our (incomplete) public backlog at:
https://www.wealth-lab.com/wishlist

Since you're evaluating WL7 let me suggest you try out the data providers you're interested in and see if they deliver the data in fashion required. All extensions are free to use for 14 days as well.

Got it. Thanks. Can you tell me if Yahoo is the only provider you massage data for?

With the new Data Correction Feature in Build 33, do you have recommended settings when using Yahoo! Daily Data?

To whom it may concern: Alphavantage has made their EOD data a Premium feature, it's not free anymore.

Hello, I am replying to this topic because I have a similar issue with Yahoo data that I thought was dividend-adjusted but now it appears it is not.

Here is a screen cap for DBA, 3/15/2024 with the yahoo data loaded.


and here is data from yahoo finance that i downloaded for the same date.


The data in WL does not match the AdjClose data in yahoo. Is there a setting or something that I am missing? I didnt see anything in the Data preferences tab.

Thanks

No there’s no setting. We do expose the dividends in the Yahoo Event Provider, sa
o make sure that’s enabled and you have dividends enabled in backtest preferences 👍

I tried using that setting in preferences and there is no difference. The chart still shows the unadjusted closes. I ran a backtest that buys and sells SPY each day and the results are identical with switch on and off. Yahoo data is at top of historical data providers.






what could the problem be?

Do you have the Yahoo Events Provider enabled in the Data Manager? And no, closing prices won’t change.

Thanks Glitch! I did not have the event provider for yahoo checked and it is now showing the dividends in chart and in backtest. The chart data still shows the unadjusted closes so is that expected behavior.? The issue is that I am building momentum strategies that assume the closing price is equivalent to adjusted close. Is there any way to do that with yahoo?

Since we bring in the dividends through the Events, we don't want to use the adjusted closes, because that would count the dividends twice.

There are 2 ways to work with Dividends. One is the configuration you have now, where the data is NOT adjusted for dividends, but their value is added to/subtracted from the backtest cash when you're long/short positions that pay dividends.

The other way it to disable "Collect Dividends" and find a Provider that can give you adjusted data for regular dividends. Norgate can do that, for example. With Y!, you'll have to adjust the data yourself, which you can do with a front-end routine that operates on the BarHistory during Initialize().

fwiw,
Wealth-Data and Q-Data adjust for extraordinary (special) dividends only. (Norgate has a setting for that too.)

Thanks guys! I understand now.. I just tested with Norgate with the dividend adjustments applied and "Collect Dividends" disabled and it gives the results i expect and the prices show the adjusted values.