Message-ID: <1432050375.538110.1496417342892@mail.yahoo.com>
Date: 2017-06-02T15:29:02Z
From: Vivek Rao
Subject: does quantmod::adjustOHLC adust for dividends?
In-Reply-To: <CAPPM_gSDAFqxiq3dKiDPTTN-KriCsJC=8SkwMA3CdpMahiqJ+A@mail.gmail.com>
Thank you. I see that the IBM.Open, IBM.High, IBM.Low, and IBM.Close columnsare adjusted for dividends, and IBM.Adjusted column actually contains the raw close.This is fine as long the user knows this -- the naming of the columns could suggestthe reverse.
Before Yahoo changed its data format, when I used?getYahooData from package TTR to get data, the fields returned wereOpen,High,Low,Close,Volume,Unadj.Close,Div,Split,Adj.Div . I think the label "Unadj.Close" for the raw close
is more descriptive.
Vivek Rao
From: Joshua Ulrich <josh.m.ulrich at gmail.com>
To: Ilya Kipnis <ilya.kipnis at gmail.com>
Cc: Vivek Rao <vivekrao4 at yahoo.com>; "r-sig-finance at r-project.org" <r-sig-finance at r-project.org>
Sent: Friday, June 2, 2017 10:51 AM
Subject: Re: [R-SIG-Finance] does quantmod::adjustOHLC adust for dividends?
On Fri, Jun 2, 2017 at 9:47 AM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
> That's a function of yahoo data no longer adjusting for dividends.
>
No, it isn't.
> On Fri, Jun 2, 2017 at 10:45 AM, Vivek Rao via R-SIG-Finance <
> r-sig-finance at r-project.org> wrote:
>
>> (I tried sending this message before joining the group, but it was held
>> for moderation.)
>>
>> It appears that the adjustOHLC function of the quantmod package does not
>> create an .Adjusted field
>> that reflects dividends.
>>
>> The code
>>
>> library("quantmod")
>> sym <- "IBM"
>> START.DATE = "2016-01-01"
>> div <- getDividends(sym,auto.assign=FALSE,from=START.DATE)
>> xx <- getSymbols(sym, from=START.DATE, src="yahoo", auto.assign=FALSE)
>> xx.a <- adjustOHLC(xx)
>> xx.uA <- adjustOHLC(xx, use.Adjusted=TRUE)
The issue is that you must set the symbol.name argument if the first
argument to adjustOHLC() is not named the same as the symbol being
adjusted.
This works:
xx.a2 <- adjustOHLC(xx, symbol.name = sym)
head(xx.a2)
? ? ? ? ? IBM.Open IBM.High? IBM.Low IBM.Close IBM.Volume IBM.Adjusted
2016-01-04 128.3440 128.6942 127.0568? 128.6753? ? 5229400? ? ? 135.95
2016-01-05 129.4420 129.5650 127.6342? 128.5807? ? 3924800? ? ? 135.85
2016-01-06 127.1893 128.3251 126.4700? 127.9371? ? 4310900? ? ? 135.17
2016-01-07 126.5457 127.7951 125.3437? 125.7507? ? 7025800? ? ? 132.86
2016-01-08 126.0535 126.6593 124.2931? 124.5865? ? 4762700? ? ? 131.63
2016-01-11 124.7568 126.6593 124.7095? 126.1009? ? 4974400? ? ? 133.23
>> cat("\ndiv\n")
>> print(head(div))
>> cat("\nxx\n")
>> print(head(xx))
>> cat("\nxx.a\n")
>> print(head(xx.a))
>> cat("\nxx.uA\n")
>> print(head(xx.uA))
>>
>> produces the output below. I'd expect that IBM.Adjusted field to have
>> different values
>> at the beginning of the period, depending on whether one adjusts for
>> dividends.
>>
>> div
>> IBM.div
>> 2016-02-08? ? 1.3
>> 2016-05-06? ? 1.4
>> 2016-08-08? ? 1.4
>> 2016-11-08? ? 1.4
>> 2017-02-08? ? 1.4
>> 2017-05-08? ? 1.5
>>
>> xx
>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>> 2016-01-04? 135.60? 135.97? 134.24? ? 135.95? ? 5229400? ? ? 135.95
>> 2016-01-05? 136.76? 136.89? 134.85? ? 135.85? ? 3924800? ? ? 135.85
>> 2016-01-06? 134.38? 135.58? 133.62? ? 135.17? ? 4310900? ? ? 135.17
>> 2016-01-07? 133.70? 135.02? 132.43? ? 132.86? ? 7025800? ? ? 132.86
>> 2016-01-08? 133.18? 133.82? 131.32? ? 131.63? ? 4762700? ? ? 131.63
>> 2016-01-11? 131.81? 133.82? 131.76? ? 133.23? ? 4974400? ? ? 133.23
>>
>> xx.a
>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>> 2016-01-04? 135.60? 135.97? 134.24? ? 135.95? ? 5229400? ? ? 135.95
>> 2016-01-05? 136.76? 136.89? 134.85? ? 135.85? ? 3924800? ? ? 135.85
>> 2016-01-06? 134.38? 135.58? 133.62? ? 135.17? ? 4310900? ? ? 135.17
>> 2016-01-07? 133.70? 135.02? 132.43? ? 132.86? ? 7025800? ? ? 132.86
>> 2016-01-08? 133.18? 133.82? 131.32? ? 131.63? ? 4762700? ? ? 131.63
>> 2016-01-11? 131.81? 133.82? 131.76? ? 133.23? ? 4974400? ? ? 133.23
>>
>> xx.uA
>> IBM.Open IBM.High IBM.Low IBM.Close IBM.Volume IBM.Adjusted
>> 2016-01-04? 135.60? 135.97? 134.24? ? 135.95? ? 5229400? ? ? 135.95
>> 2016-01-05? 136.76? 136.89? 134.85? ? 135.85? ? 3924800? ? ? 135.85
>> 2016-01-06? 134.38? 135.58? 133.62? ? 135.17? ? 4310900? ? ? 135.17
>> 2016-01-07? 133.70? 135.02? 132.43? ? 132.86? ? 7025800? ? ? 132.86
>> 2016-01-08? 133.18? 133.82? 131.32? ? 131.63? ? 4762700? ? ? 131.63
>> 2016-01-11? 131.81? 133.82? 131.76? ? 133.23? ? 4974400? ? ? 133.23
>>
>> Vivek Rao
>>
>> _______________________________________________
>> R-SIG-Finance at r-project.org mailing list
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