Calculation of volume after split (Yahoo)

Author: Mockasino

Creation Date: 7/29/2014 4:20 AM

Wealth Lab » Wealth-Lab Developer/Pro » Calculation of volume after split (Yahoo)

Mockasino

7/29/2014 4:20 AM

Hello,

does anybody know exactly how e.g. Yahoo deals with splits regarding the volume.
In my opinion after a spit the volume has to be increased by the split factor.
in sample tests i noticed that this is not the case.
What about the historical volumes?

Does anybody know more in detail?

Thanks

Regards

Eugene

7/29/2014 4:21 AM

Split and dividend adjustments affect both price and volume. Do you have a specific sample test to prove it's not the case?

Mockasino

7/29/2014 4:32 AM

Hi Eugene,

hmm, the examples i checked are working fine now. So the volume is increased by the split factor.
Do you know when the recalculation of the data is done. Is it done directly the day after a split?
So i will check further examples.

Thank you.

Mockasino.

Eugene

7/29/2014 4:40 AM

Hi Christian,

The Yahoo provider, if you meant this, recalculates the data on-the-fly. To verify, you can change the preference (Data Manager > Yahoo! Data > Perform split/div adjustment) and refresh the chart.

Mockasino

7/29/2014 4:53 AM

Hi Eugene,

thanks,
yes, that i know.
But this "on the fly calculation" is based on the data Yahoo provides and when.
So is it the case that the announcement of the split is regarded in the data
latest the day after anouncement.?
Do you have an estimation regarding to that?

Regards
Christian

Eugene

7/29/2014 5:12 AM

Robert (Cone) knows this better than I do.

Cone

7/29/2014 8:02 AM

QUOTE:
Is it done directly the day after a split?

Usually, yes, for the update following the close of the ex-date. Ultimately, it depends if it's updated at Y! Finance. If you see the data in the historical price table (click for example), then it's probably available in the download for Wealth-Lab.

Mockasino

8/3/2014 6:19 PM

Hi cone,
Thanks for your Statement .
One question regarding backtests and Splits .
Am i able to take the current Daily Volume for
Calculation or do i always have to recalculate
The Volume With the splitfactor?
How to go on if i want to calculate the average
Volume over a Lookback period during which
a Split took Place ?
Do You know what i mean?

Regards
Christian

Cone

8/3/2014 6:39 PM

Both Price and Volume are adjusted for Splits. For example, for a 2:1 split, price is divided by 2, but volume is multiplied by 2. Consequently, the market cap traded (price * volume) is the same before and after the adjustment. Make sense?