A.I.M. Users Bulletin Board

[SFSecurity]

Hi Gang, Jamil referred to using adjusted Yahoo prices for his XIV backtest. Except for the one stock split there are no differences. However, MORL has different prices for the two columns.

My question is, given that we, in theory, only checking monthly, wouldn't the price we would get would be the price that day? If it was not within 3-4 days of a dividend it seems it would be would be reasonably close to the price of a few days before the dividend. For example daily results around the last dividend are:



The difference in price between daily close and adjusted close is not much here, but when you go back to the first trades in 2012 it increases, for MORL, the day close is listed as $26.43 but the adjusted only $15.39.

Anyway, I ran a backtest on both and got wildly different results.



It does not seem reasonable to use the adjusted price as it seems to create a bias of rising prices that are not what it started trading at.

So, which is the reality that we should pay attention to?

Best,

Allen