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Historical Data & Backtesting

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TjamesX

TjamesX

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This is related to the thread about techtrader I started.

I will be embarking on using free EOD data from float.com.au, and incorporating it into excel in order to implement techtrader and backtesting analysis. The data goes back to Jan 1997.

For all who have done the backtesting thing before (specifically tech), how does your data or system cope/account with the following;

Stock spilts?
Opposite of stock spilts (forgot the name?)?
Stock Renames?
Delistings?
Rights issue/share purchase plan opportunities?

Is there a place where I can get this information from for all ASX listed companies????????

Cheers
TJ
 
TJ

My data supplier Just Data auto adjusts the first 4.
I keep all delisted companies---well I have for the last 3 yrs.
Its worth having a very good data supplier and worth paying for it.

If it takes a couple of years to design a few good trading methods then its money well spent.
 
I just download data from Investorweb and some stocks they adjust, some are not adjusted
You can sometimes see and work out the rations for the splits and consolidations

You can download individual data to see if that adjustment has been made on their data
 
TjamesX said:
This is related to the thread about techtrader I started.

I will be embarking on using free EOD data from float.com.au, and incorporating it into excel in order to implement techtrader and backtesting analysis. The data goes back to Jan 1997.

For all who have done the backtesting thing before (specifically tech), how does your data or system cope/account with the following;

Stock spilts?
Opposite of stock spilts (forgot the name?)?
Stock Renames?
Delistings?
Rights issue/share purchase plan opportunities?

Is there a place where I can get this information from for all ASX listed companies????????

Cheers
TJ
Click to expand...

my 2 cents when adjusting the data for stock splits , include volume adjustments as well , for example if the share price is halved for a 1:1 split , then double the volume in the historical data
 
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