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CSI Data - historical adjustments
http://www.smartquant.com/forums/viewtopic.php?f=41&t=10421
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Author:  mjmaurer [ Mon Dec 17, 2012 11:34 pm ]
Post subject:  CSI Data - historical adjustments

In the CSI Data "Properties" panel, I find the following settings:
* Adjust_Dividends
* Adjust_Splits
The CSI UA application also allows you to choose whether to use "additive" or "proportional" (multiplicative) adjustments. I've attached a screenshot of the CSI dialog to illustrate. The additive style preserves the dollar amount of the dividend (say $0.25) while the multiplicative style preserves the relative change (say 1%). The additive style may cause historical prices to be adjusted to negative values and does not preserve relative changes; this makes it unsuitable for most backtesting studies.

So far as I can tell, OpenQuant uses the additive style. I selected menu Data / Import / Instruments / CSI Data and requested historical data for symbol CCE (Coca Cola). In October 2008 the adjusted prices go negative, as shown in the second screenshot. Is there a way to choose the multiplicative style?

Thanks,
Mike

Attachments:
File comment: Screenshot of CSI UA settings window for historical adjustments
CSI-dialog-window.png
CSI-dialog-window.png [ 28.46 KiB | Viewed 6485 times ]
File comment: Screenshot of OpenQuant Data window for CCE
CCE.png
CCE.png [ 44.29 KiB | Viewed 6485 times ]

Author:  krn_2k [ Thu Jun 05, 2014 3:36 pm ]
Post subject:  Re: CSI Data - historical adjustments

Hi Mike,
I am the author of the CSI Data plugin. From memory I do not think multiplicative adjustments are in the older release included with OpenQuant. I am in the processing of updating the code for OQ so will include it if possible - perhaps in a week (or two, time permitting).

Cheers,
Keith

Author:  krn_2k [ Tue Jun 10, 2014 12:34 pm ]
Post subject:  Re: CSI Data - historical adjustments

New version 2.1.0.7 should be included in one of the next few OpenQuant releases adds this option for you. Let us know how it goes, thanks.

Author:  Dr. Anton Fokin [ Wed Jun 11, 2014 11:21 pm ]
Post subject:  Re: CSI Data - historical adjustments

Hi,

thanks to Keith, here are links to custom releases containing the latest version of the CSI provider:

http://www.smartquant.net/3D56B0D1-711B ... nt.x86.exe
http://www.smartquant.net/3D56B0D1-711B ... se.x86.exe
http://www.smartquant.net/3D56B0D1-711B ... er.x86.exe

Please take a look and let us know if it works as expected.

Regards,
Anton

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