Stock splits vs backtesting

[braincell]

Quote from Murray Ruggiero:

TradersStudio has built in analysis for handling splits and dividends. You need to use three data streams unadjusted,Split adjusted and dividend only adjusted. It will correctly handle splits dividends and allow orders at real prices. This allows correct money management for stocks and ETF's.

Here is a link to a relative strength tutorial for stock and ETF trading.
http://tradersstudio.com/Tutorials/StockRotationScreening.aspx

Ah see, that's an interesting way of doing it. I haven't seen a single app that handles specifically corporate actions like that so I'm not sure what intradaybill was going on about that this is very common. Thanks I'll look at it, even though I'm probably already decided on how to do my version.

Quote from Rationalize:
Hi Murray, funny coincidence - you invented a system called Braincell , right?

Oh I didn't know that was him. I read about that system. However I've never used it since I don't think NeuralNets are very practical for trading applications.

 

[sle]

Out of curiosity, is there a good free (or cheap) source for corporate action data (splits/divs/takovers)?

 

[Murray Ruggiero]

Quote from sle:

Out of curiosity, is there a good free (or cheap) source for corporate action data (splits/divs/takovers)?

http://getsplithistory.com/list?c=A

This is for splits , but would require a lot of work to make usable.

 

[Rationalize]

Quote from sle:

Out of curiosity, is there a good free (or cheap) source for corporate action data (splits/divs/takovers)?

Sounds like someone's tracking their own baskets

 

[sle]

Quote from Rationalize:

Sounds like someone's tracking their own baskets

Almost - trying to create a historical vol database.

 

[Rationalize]

Quote from sle:

Almost - trying to create a historical vol database.

I build a basket database once to walk a supposedly optimised ETF basket backwards.

Lots of moving parts .. and .. turns out it's hard to track an index without all of the index.

 

[Hook N. Sinker]

I use only the historic price data that is more recent and greater than say, $ 1 / share. That still might provide about 25 years of price data.

 

[Traveler]

+1. Exclude stuff under a certain price, but keep in mind that you might be excluding stocks that never split but were actually trading that low too.

 

[Rationalize]

In some markets, stocks under a buck make up significant index weight.

 

[Gyles]

Regarding the stock splits handling, please have a look at the following post:
Real World Equity Trading

Please let us have your opinion.