handle stock split during simulation if close price as filter

handle stock split during simulation if close price as filter

Win
2013-04-26 18:49:26

I made my initial download of US stocks by using trading object "Historical Stock Market Data" and then I'm using "Daily Stock Quotes" to make daily updates. When I do simulation, I'm afraid to use price as part of my filter. Since, it looks to me that the close price in database is adjusted close price (from Yahoo, Adj close).
To set price limitation in simulation filter, potentially eliminates some good growth stocks. I'm wondering how do handle this situation. Should I calculate the original close price by digging into split/dividend data or by modifying the download objects to include two close prices (close and Adj. close)?
Thanks in advance!

QuantShare
2013-04-26 19:20:25

Here is a solution to handle this:
http://www.quantshare.com/sa-514-how-to-make-sure-your-historical-price-data-is-split-adjusted

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