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Hello,
I have a strategy that trades the UVXY. The UVXY reverse splits about once a year, and I'm trying to figure out which data normalization to set. When set to raw, my backtest returns are double that if I set the data normalization to split adjusted or adjusted. If someone knows the answer to which data normalization mode would mimic real life trading best it would be a huge help. Thanks!
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Varad Kabade
Hi Benjamin,
Thank you for your patience.
We suggest using DataNormalizationMode.Adjusted, which is the default in the above case. We can also use DataNormalizationMode.SplitAdjusted price in the above case. Since split adjustment could help you calculate the return more accurately, while the dividend is paid to your cash book like real-life brokerages. We need to note that the normalization mode should not affect the results significantly, but we need to make specific adaptations. For instance, indicators should use adjusted prices because of the jumps.
Best,
Varad Kabade
Benjamin Dominguez
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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