| 5/6/2011 11:44:37 PM | hlf | 0.6459572 | 14152.50 | 104.84 | 14159.80 | 53.29 | 0.05 | -49.17 | -49.22 |
and realized that it is due to Herbalife doing a 2 for 1 split on May 18th 2011. Paranumeral fetches just the price deltas (as in just yesterday's) so as to minimize traffic but it seems we have a problem with splits. So I'll either do the adjustment (complex) or fetch all historical prices to ensure they're adjusted for splits. In the meantime this affects total performance very directly and significantly - splits are huge changes in price! Furthermore this issue plagues model building by adding lots of noise. So I have my work cut out.
Could you somehow leverage the Adj Close, adjusted for Splits/Dividends?
ReplyDeleteThat is what I use indeed. The problem however is with the daily fetching - and storage - of prices. These locally stored prices and their byproducts are the ones the system uses.
ReplyDelete