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To my understanding, all price data is by default dividend/split normalized. However what happens if I want to filter by stock price?
Let's for example take a stock that was once priced at $10 on 2010 and doubled its price each year to be $20 in 2011, $40 in 2012, $80 in 2013. in 2014, after reaching $160, they decided to split it 4:1 so it again costs $40.
now let's say my algorithm filters out from the universe stocks that cost less than $5. does it mean that in 2010 it wouldn't buy the stock (which now has an adjusted price of $2.5?
If so - is there a way to negate it? because after all, at the original price of $10 I'd want to buy the share but on 2.5 i wouldn't due to my commission fee structure and other reasons. But o the other hand I don't want my algorithm results to get screwed up by data that is not adjusted. So what do you do in cases like that?
Alexandre Catarino
When we use Coarse Universe Selection in our algorithms, we receive a snapshot of the market at that date with data that is not dividend/split normalized. After we select the symbols for our trading, their data will be normalized.
Taking your example, if you select stocks that are below $5, you will not pick that stock that was $10. On the other hands, if you select stocks that we above $5, you will pick it and if you buy it, you will at adjusted price of $2.5.
Eyal Netanel
Excellent! Thanks!
Eyal Netanel
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