Backtesting/Imported Yahoo Adjusted Close

[oyz79]

I'm trying to backtest strategies using Yahoo's adjusted close data because it is more accurate then the method NT uses to adjust the close. I've gone through the steps to properly format the historical data so that it is compatible with NT. However, when I export yahoo data to a txt file, the adjusted closes will show as lower then the actual low for the month due to the dividend being substracted from the close. Is there any way around this? Does anybody know of a way to also export an adjusted high/low from Yahoo? I'm close to getting this, but I need a workaround at this point. Here is the error I get when I import the txt file:

9/26/2009 6:47:50 PM Default VGPMX: Illegal close value in line 260. Close value needs to greater/equal low value: 20090202;10.56;11.92;10.27;10.18;1

I'm trying to calculate a basic 10 month simple moving average crossover system, so all I need is the monthly data, not daily. Any suggestions?

[NinjaTrader_Ben]

Hello,

What do you mean by adjusted close? You are just moving the close value? I am sorry, I have no idea what you are trying to do.

[oyz79]

If you go to Yahoo Finance and enter any symbol, you will see what I am referring to. Yahoo offers an adjusted close price, but not an adjusted high/low. I am exporting Yahoo historical data to excel, then to a txt file so that I can import it into NT. I want to use Yahoo's adjusted closing price instead of NT's because NinjaTrader uses fixed adjustments meaning it adjust prices simply by deducting the dividend for the ex-dividend date. Yahoo uses proportionate adjustments meaning they calculate the dividend as a percentage and removes the percentage for adjusting data prior to ex-dividend. Yahoo's method is the industry standard.

[StarBright2009]

Here is an article on the subject. If I find something better, I'll let you know.
By the way, I really enjoy you blog and Seeking Alpha articles and research.

http://luminouslogic.com/how-to-normalize-historical-data-for-splits-dividends-etc.htm

[StarBright2009]

Here is another article that goes into detail and provides code. This is part V of a series of articles. Part VI is the downloads are provided. I did not download, so it might not be what I think it is.

http://blogs.msdn.com/lucabol/archive/2008/09/26/downloading-stock-prices-in-f-part-v-adjusting-historical-data.aspx

[oyz79]

Great, thanks! I think the http://luminouslogic.com link may be what I need - I just have to write the ratio into the excel sheet before exporting to a txt file which could be time consuming but is better then nothing!