We quite regularly deal with this question.
The major index providers (S&P, Dow Jones, FTSE, MSCI) produce indexes
that are NOT adjusted for normal cash dividends but do adjust for
special dividends. This includes such headline indexes as S&P 500, Dow
Jones Industrial Average etc.
The major quote terminal vendors (eg. Bloomberg and Reuters) display
charts and data that are NOT adjusted for cash dividends.
Therefore Norgate chose early on to use the method employed by
institutional investors/traders and professional trading platforms.
Perhaps where this has become popular is that some online free chart
systems (such as Yahoo) displays with dividends adjusted but this is not
the industry standard (at least not at the professional/institutional
level).
That being said, in early 2010 we'll be releasing a beta version of our
entirely revamped data updating software and native plugin for AmiBroker
that will allow you to select:
a) No adjustments
b) Capital adjustments only (i.e. splits, reconstructions, reverse
splits, capital returns, spinoffs etc.)
c) Capital adjustments + special dividends (i.e. the same methodology as
S&P, Dow Jones etc.)
d) Total return (i.e. all capital adjustments plus all dividends).
It will also let you incorporate multiple stock exchanges/markets too.
It also updates the entire US markets including all maintenance in about
30 seconds per day on my PC.
Once it's ready we'll be asking anybody who is interested in helping
test to be part of the beta testing team. Anybody who is interested in
helping please email me on [email protected] to be notified when
it's ready for testing.
Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK& USA -
www.premiumdata.net
-------- Original Message --------
Subject: Re: [amibroker] Re: Telechart vs Norgate
From: B S <[email protected]>
To: [email protected]
Date: Mon, 28 Dec 2009 19:41:57 -0800 (pst)
Yes to the first question. If a stock is trading at
$10.00 on 12/1/2000 and the ex-date for a $1.00 quartely cash dividend
is 12/2/2000, I would expect the stock to open at $9.00 on 12/2/2000,
all else being equal. I believe to correctly test a trading
system, the price history for 12/1/2000 should be adjusted from $10.00
to $9.00. Additionally, all prices prior to 12/1/2000 should be
adjusted down by the same factor. Am I wrong? Further, why would you
adjust prices for special cash dividends but not ordinary quarterly
cash dividends - seems inconsistent both logically and economically.
------------------------------------------------------------------------
*From:* "[email protected]" <[email protected]>
*To:* [email protected]
*Sent:* Mon, December 28, 2009 10:00:15 PM
*Subject:* Re: [amibroker] Re: Telechart vs Norgate
Don't you agree that the market adjusts prices as dividends are paid?
A double adjustment?
In a message dated 12/28/2009 8:13:51 P.M. Central Standard Time,
bs2...@yahoo. com writes:
Hi- Question for those of you who use Norgate: how do you contend
with the fact that prices are not adjusted for ordinary cash
dividends? I've seen a few data providers who do it this
way...but I can't understand why...am I missing something? All
their reviews seem to be very positive, so I was disappointed to
discover this.
--- In amibro...@yahoogrou ps.com, "droskill" <drosk...@...> wrote:
>
> Norgate is likely, when they get finished with an upgrade this
year, to be my preferred data vendor - they're not quite there yet
for me (I want a single provider for both Amibroker and
Tradersstudio) but I'm guessing they will be soon.
>
> --- In amibro...@yahoogrou ps.com, Graham <kavemanperth@> wrote:
> >
> > Norgate data is very good
> >
> > --
> > Cheers
> > Graham Kav
> > AFL Writing Service
> > http://www.aflwriti ng.com
> >
> >
> >
> > 2009/3/24 jmdeacon <jmdeacon@>:
> > > I currently use Telechart EOD data. I have used it for the
last 3 years and have only found a handful of instances of bad
data. I am interested in having delisted data to eliminate
survivorship bias and heard about Norgate. They provide delisted
historical data back to 1950.
> > >
> > > Does anyone have any opinions on the quality of the Norgate
data?
> > >
> > > Thanks,
> > >
> > > John
> >
>
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