CSI Data - historical adjustments  [SOLVED]

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mjm
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CSI Data - historical adjustments

Postby mjm » 29 Nov 2012

I am using MultiCharts QuoteManager to import instruments from the CSI data source. For example, I say:
Instrument / Add Symbol / From Data Source / CSI
(In a previous post I describe how my CSI account needed to have the API setting enabled for this to work.)

In the CSI Unfair Advantage interface, there is a process for creating a portfolio of symbols and setting properties to control adjustments for corporate actions such as splits and dividends. I've attached a screenshot of what that looks like. However, as best as I can tell, when you use Multicharts QuoteManager to extract historical data from CSI, the settings you may apply in the CSI application do not apply. It seems that the built-in connection from QuoteManager to CSI has its own hard-coded settings. I've simulated what I think these settings are in the second screenshot.
csi-adjustment-settings-1.png
desired CSI adjustment settings
csi-adjustment-settings-1.png (21.97 KiB) Viewed 285 times

csi-adjustment-settings-2.png
inferred built-in adjustment settings
csi-adjustment-settings-2.png (21.84 KiB) Viewed 290 times


The built-in hard-coded settings seem to use the "additive" adjustment (subtracting the amount of the dividend from prices before the dividend) rather than a "multiplicative" or proportional adjustment (scaling the earlier prices by the ratio of the pre- and post-dividend price). The additive technique has certain advantages, such as preserving cashflow for P+L analysis, but is generally not appropriate for backtesting.

For example, if a stock's unadjusted price was $10.00 on one day and $10.50 on the next, this represents a price change of 5%. If this price were adjusted using the additive technique and $5 of dividends have been paid since this date, then the adjusted prices will be $5.00 and $5.50. The daily change now appears to be 10%. The multiplicative approach preserves the relative daily change as 5%.

This can get even worse if the total dividends paid since a given date exceeds the stock's unadjusted price on that date. In that case the additively adjusted price will go negative. Obviously this is a disaster for backtesting. You can see an example of this for CCE (Coca Cola) in the third screenshot upper chart, and a comparison to the Yahoo data for CCE (which itself uses CSI as its data vendor) in the lower chart. Notice the different y-axis scales.
multicharts-CCE.png
CSI vs Yahoo adjustments for CCE
multicharts-CCE.png (34.3 KiB) Viewed 285 times


Have I correctly inferred the behavior of the Multicharts-CSI built-in connection? Is there any way to control the historical adjustment settings?

Thanks,
Mike

Environment:
Windows 7 64-bit
CSI Unfair Advantage v2.10.7.119
MultiCharts v8.0.5622.401, 64-bit

mjm
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Re: CSI Data - historical adjustments

Postby mjm » 04 Dec 2012

mjm wrote:Have I correctly inferred the behavior of the Multicharts-CSI built-in connection? Is there any way to control the historical adjustment settings?

I asked CSI technical support for help, and Rudi at CSI told me:
Unfortunately, the Back Adjusted parameters for Multicharts are preset to the criteria that is widely used by traders.

He suggested using ASCII Mapping as an alternative, or asking Multicharts if there was any way to control the adjustments used in the API.

I haven't yet found a way to control the adjustments. It seems like they are hard-coded in the Multicharts software.

Mike

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Henry MultiСharts
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Re: CSI Data - historical adjustments

Postby Henry MultiСharts » 11 Dec 2012

Hello Mike,

That is correct, the built-in connection from MultCharts to CSI has default hard-coded settings.
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Re: CSI Data - historical adjustments

Postby mjm » 11 Dec 2012

Henry MultiСharts wrote:That is correct, the built-in connection from MultCharts to CSI has default hard-coded settings.

Thanks for the follow-up. I am trying to use ASCII Mapping as an alternative.

-Mike

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Re: CSI Data - historical adjustments  [SOLVED]

Postby Henry MultiСharts » 12 Dec 2012

Hello Mike,

We will add ability to change the default settings in the next version of MultiCharts.


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