adjustOHLC discrepancy
On Tue, Sep 18, 2012 at 7:25 PM, Jim Green
<student.northwestern at gmail.com> wrote:
Dear List: I expect that use.Adjusted=TRUE or FALSE wouldn't affect the adjusted close. But running the following code proved I was wrong.
getSymbols('C',src='yahoo')
[1] "C"
head(adjustOHLC(C))
C.Open C.High C.Low C.Close C.Volume C.Adjusted 2007-01-03 190.8698 192.9960 187.6464 189.4639 2282100 498.66 2007-01-04 189.4639 192.5502 187.6464 188.8123 1658700 496.94 2007-01-05 188.6066 188.7780 186.7548 187.8179 1317900 494.32 2007-01-08 187.2349 189.1210 186.2061 188.7780 1236900 496.85 2007-01-09 188.6409 189.1210 185.8289 187.1320 1963000 492.52 2007-01-10 186.1032 186.8577 185.0059 185.6232 1744900 488.55
head(adjustOHLC(C,use.Adjusted=TRUE))
C.Open C.High C.Low C.Close C.Volume C.Adjusted
2007-01-03 502.3605 507.9563 493.8765 498.66 2282100 498.66
2007-01-04 498.6548 506.7777 493.8714 496.94 1658700 496.94
2007-01-05 496.3958 496.8471 491.5221 494.32 1317900 494.32
2007-01-08 492.7886 497.7525 490.0809 496.85 1236900 496.85
2007-01-09 496.4912 497.7548 489.0903 492.52 1963000 492.52
2007-01-10 489.8136 491.7992 486.9254 488.55 1744900 488.55
by using adjustOHLC, the C.close value is not the same as C.Adjusted
provided directly by yahoo.
C.Open C.High C.Low C.Close C.Volume C.Adjusted
2007-01-03 190.8698 192.9960 187.6464 189.4639 2282100 498.66
The adjusted close values from adjustOHLC will rarely ever be the same as the adjusted close values provided by Yahoo. I'm not sure I ever figured out exactly how Yahoo calculates the adjusted close, but the method used by adjustOHLC is simple and transparent (i.e. OSS).
I think adjustOHLC and adjRatios are theoretically correct and I wonder where this discrepancy comes from. Is it possible Yahoo uses a different method to calculate its adjusted close.
It's likely precision and/or an error in Yahoo's data. A $0.10
dividend was ex-dividend on 2009-01-29 (the first big difference),
when C was trading ~$4. The simple return of the raw (adjusted) close
prices between the 1/28 and 1/29 is -0.0736342 (-0.07132634). The
adjusted close should reverse the ~2.5% drop in price due to the
dividend payment, but they're nearly identical (especially given 2
decimal precision).
Keep in mind that adjustOHLC with use.Adjusted=FALSE simply pulls
split and dividend data from Yahoo and re-computes the adjustment
ratios. So if Yahoo's split and/or dividend data are incorrect, the
results of adjustOHLC will be incorrect too.
That said, something looks very odd with the results of adjustOHLC:
getSymbols('C',from='1900-01-01')
citi <- adjustOHLC(C)
chart_Series(citi)
Which adjusted close would everyone recommend? the raw close adjusted by adjustOHLC or the adjusted close provided by yahoo? Thanks! Jim.
I hope that helps a bit, though I realize I probably created more questions for you than I answered. Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com