How to account for splits when backtesting

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How to account for splits when backtesting

Postby STAR_Trader » 11 Dec 2012


I use eSignal for data. Whenever an instrument has a historic split, the eSignal software automatically accounts/adjusts for them which keeps everything nice and orderly.

When the data is fed into MC the splits are not accounted for... This is a nightmare.

Attached is a chart for ticker symbol BIB (ProShares Ultra BioTech)

It had a 2:1 share split on the 5th of October 2012 as you can see, it causes all sorts of mess and artificial wild moves...

I have searched the user manual, but I cannot find how to account for or display charts adjusted for splits. Any idea?

BIB Split Issue Chart.png
BIB Split Issue Chart.png (18.91 KiB) Viewed 232 times

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Henry MultiСharts
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Re: How to account for splits when backtesting

Postby Henry MultiСharts » 12 Dec 2012

Hello STAR_Trader,

Data providers usually adjust the historical price on their end when there is a split. You just need to reload your chart to load the corrected data.
On the screenshot you have provided you are using Free Quotes data. Please plot a chart with eSignal data and reload it if the data is not adjusted.
You can check backadjusted eSignal, Barchart and IQfeed historical data on the attached screenshot.
BIB_Split.png (55.61 KiB) Viewed 242 times

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