Dividends into IQFeed dataset
Author: sf631
Creation Date: 9/5/2014 12:06 PM
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sf631

#1
I'm working primarily with IQFeed EOD data, which I understand to be unadjusted for dividends (is adjusted for splits). I am testing systems with high dividend stocks and it's annoying not to be able to reflect the impact of dividends in my backtests when using IQFeed.

Any way to include divs from Yahoo data into my (unadjusted) IQFeed data price series?
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sf631

#2
Update: I've now just created Yahoo datasets since it's only EOD data I'm currently using. However I'm not able to get/see any dividends there either. I'm able to verify that the data plotted is raw, unadjusted for splits or dividends (as wanted) but there are no [YD] icons that I can get to appear, and no dividends appear in my backtesting results despite checking that box and running in portfolio sim mode.

Either div data isn't being downloaded or it is but isn't being applied. I read that the Yahoo EOD extension stores splits and dividends separately. Is there I way I can verify that?
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Eugene

#3
The Yahoo dividends should be there if you updated the DataSet. The provider requests them automatically in the background for each symbol being updated. You might not be seeing them because "Perform dividend adjustment" is not enabled. Please open the Data Manager > Yahoo! Data and enable that option. Then update the Y! DataSet manually and reload the chart / backtest.
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sf631

#4
Still not working. I tried updating the Yahoo! Data setting options then updating the dataset, no dice.
Then I tried to force the data to drop and reload using the "Reload Chart history" on one symbol. It re-pulled all bars but still no dividends appear on the chart.

The dividend adjustments have been made because the chart prices I see prices plotted that match the adjusted prices from Yahoo Finance historicals. Still get no dividends appearing in my backtest results.

Also, back to the initial question, is there a way to apply dividends gathered from Yahoo to a backtest run on IQFeed data?
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Eugene

#5
QUOTE:
Still not working.

Then the only explanation I have is that your Yahoo! provider must be out of date. Update the extension using the Extension Manager (you may need to switch to "Other extensions") to its latest version 2014.02. I recall that dividend adjustment was fixed back in 2013 but in WLP it may be not up-to-date (?)

QUOTE:
Also, back to the initial question, is there a way to apply dividends gathered from Yahoo to a backtest run on IQFeed data?

In my opinion, the only correct way to deal with this problem is to introduce dividend adjustment into IQFeed. I'll enter a task in our product backlog but presently we can't approach it due to assignment on more prioritized project(s).
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Cone

#6
There are two things you have to do to see the [YD] icons on the chart ("Perform dividend adjustment" isn't one of them).

1. Preferences (F12) > Chart Annotations: select the items you want to see on charts
2. In the Chart "Show" toolbar, make sure the yellow "S-circle" button is enabled.

That's just for the chart display. The only way to account for Yahoo! dividends into a backtest is by enabling "Perform dividend adjustment" in the Y! Data options.

Side note:
For the Fidelity Provider (only), dividends can be added in Portfolio Simulations by enabling Preferences (F12) > Backtest Settings > Apply dividends to backtest results...
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Eugene

#7
QUOTE:
The only way to account for Yahoo! dividends into a backtest is by enabling "Perform dividend adjustment" in the Y! Data options.

...but sf631 should note that it doesn't affect the IQFeed data.
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