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Number of Potential Splits per Trading Day

by QuantShare, 2354 days ago
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This composite is based on "DetectSplits" function, which is a function I have shared few days ago and whose role is to detect potential splits on historical data (Should be mainly used if your data is not split-adjusted).

The composite or market indicator calculates for each stock in your database, the potential splits, sums them then returns the number of potential splits for all stocks and for each trading day.
If for example on January 6, 2008, the composite returns 5 then this means that it has detected 5 stock splits on that date (Different companies/stocks).

If your historical data is split-adjust and for any reason you want to use this composite. - You can use the following downloader to get non-split adjusted data (Adjusted & Unadjusted stock prices)
- Update the "DetectSplits" function so that it reads data from the custom database (That contains the non-split adjusted data) instead of reading the daily EOD database
- Apply this composite to get the number of potential splits per trading day.

Another solution would be to use the splits calendar downloader to get real splits data instead of guessing them using the "DetectSplits" indicator. Here is a link to the downloader: Splits Calendar - Historical data for U.S. Stocks


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Type: Composite Index

Object ID: 1274


Country:
United States

Market: Stock Market

Style:
Fundamental Analysis

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