Splits - Deriving from CSI

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AFJ Garner
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Splits - Deriving from CSI

Post by AFJ Garner » Sat Jan 03, 2015 7:15 am

Currently, we have been deriving split ratios from CSI. Even though we use the maximal precision setting in CSI UA this only outputs to 8 decimal places in the txt files. Hnec you can not accurately derive split ratios from CSI adj/unadj close prices.

Reuters output is to 15 decimal places. Perhaps even this is not enough when you get deeper into history with a large number of splits/consolidations.

You can pay extra and buy the split info from CSI. This seems the only sensible choice.

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Re: Splits - Deriving from CSI

Post by AFJ Garner » Sat Jan 03, 2015 7:39 am

I am sorry to be tedious and dull, but if Tim is reading this he might like to think of the implications for Trading Blox. I think what it means is that given the precision CSI uses in its output, it will be impossible to faithfully replicate back tests as future splits/consolidations alter (even if only very slightly) deep history back adjusted prices.

This is one of the reasons we are developing (pretty well HAVE developed) our own database which stores split ratios and unadjusted prices. That way we can provide our own output text files with our own choice of decimal places. But of course even that is no guarantee unless the software used all round can handle enough precision.

This doesn't really matter too much going forward and it does not / should not affect order output so long as you don't use deep history for the order output "back test". Rambling thoughts which may (or may not) be of interest to somebody.

Tim Arnold
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Re: Splits - Deriving from CSI

Post by Tim Arnold » Tue Jan 06, 2015 2:11 pm

We have the actual split data as part of the dividend files from CSI, so we could theoretically use that instead of the "stock split ratio close/uclose" that we use now. However we have not found a reason to as of yet. The close/uclose when adjusted for floating point variations seems to be spot on for all the stocks we have tested. I don't see offhand why you would need 15 decimals of precision for that.

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Re: Splits - Deriving from CSI

Post by AFJ Garner » Tue Jan 06, 2015 5:42 pm

Tim Arnold wrote:We have the actual split data as part of the dividend files from CSI, so we could theoretically use that instead of the "stock split ratio close/uclose" that we use now. However we have not found a reason to as of yet. The close/uclose when adjusted for floating point variations seems to be spot on for all the stocks we have tested. I don't see offhand why you would need 15 decimals of precision for that.
Sadly, I do not get split info as part of my package: I must ask them why not. In any event I need it.

Take the stock CHS as an example. Take the history of the adjusted price since 24/3/1993 from both CSI (8 decimals) and Reuters (15 Decimals) and calculate a couple of moving averages on each time series in excel. Say 10 days and 20 days. If SMA > LMA, "1", else "2". In the period up to 11/11/2014 there are 10 separate days on which the calculation differs.

Maybe this is worrisome, maybe it is not. A difference on only 10 days out of a total of 5,434 days can still make a difference to the signal and hence the back test results. It may be significant, it may not. But it will be different.

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Re: Splits - Deriving from CSI

Post by AFJ Garner » Tue Jan 06, 2015 6:02 pm

Although of course the non adjusted prices may be the culprit rather than the precision of the split adjustments. I will check it out tomorrow. In any event I would rather work from the actual split ratios than a derivation ( at least for our database). Regardless.

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Re: Splits - Deriving from CSI

Post by AFJ Garner » Wed Jan 07, 2015 6:09 am

For any one who has any interest here are the results of my further investigation. Using the same stock I calculated 3 and 5 day moving averages of the adjusted close from 24th March 1993 to 2nd January 2005,the latter being the last date when a split occurred. The unadjusted close for each day was identical as per Reuters and CSI.

There were 14 separate occasions where the crossover signals differed.

Therefore rounding to 8 decimal places does make a difference to rounding to 15 decimal places. Therefore test results may differ depending on which level of precision is used.

Back testing is perhaps an art not a science but you may as well aim for " accuracy" in the data you use.

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