Reverse Splits on Minute Bar Strategy

[wuileng]

Hi,

I've been backtesting a strategy on minute bars of ETFs which regularly undergo splits and reverse splits. As far as I can tell, when using minute bars, NT assumes the price changes post-split without adjusting the quantity of shares for the reverse split.

e.g. on a 4:1 reverse split would result in a pre-split 100 shares @ 10 becoming a post-split 100 shares @ 40 instead of a post-split 25 shares @ 40 as you would imagine.

On the other hand, when using daily bars, everything is reverse split adjusted as you would imagine.

Now what I'm wondering is if I were to run this strategy live, would I encounter the same problem as above when a split/reverse split occurs? Or is this just a problem during backtesting?

Thanks!

[NinjaTrader_JC]

Hello wuileng,

Live data should not be affected as it would be the data directly coming from your data provider.

As for Historical, you may update the Splits and Dividends to effect your historical results by going to the Instrument Manager and use the "Update Splits and Dividends". Note not all data providers have this but you may view our Help Guide at the following link that will go over this.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?adding_splits_and_dividends.htm

Happy to be of further assistance.