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Splits missing from data?

I ran a test where I buy and hold 100 shares of AMRS on 5/1/2017. Run that through 6/30/2017 and it looks like the shares of AMRS have increased by $270. The algorithm is assuming I still own 100 shares at ~3.25 per share, but AMRS had a 1:16 reverse split around 6/5/2017. So it should really show that I own around 6 shares at $3.25.

Rather than a gain of $270, it should show a loss of roughly $35.

Testing another stock over the same period, I substituted WCN into the same strategy. It also does not account for the change in number of shares. WCN split 3:2 on June 19, so the price per share was reduced, naturally. But the strategy does not take into account the increase in number of shares, so it reports a 10% loss of equity over the period.

I also tried logging Splits events to the console and did not find any. Are these splits missing from the data? Is that normal -- in other words, should I design my algorithms with the expectation that I need to find out about split events from an external source? OR alternatively, if someone can't duplicate, am I missing something about how Splits is used?

Added a backtest to this post showing fictional mega-profit from ignoring AMRS reverse-split ;-)

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Hey Rab Beverly - we normally adjust for splits/dividends or both so this looks like a bug. We'll post back here shortly with the solution!

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Just an update; this was fixed & was caused by some out of date data.

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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.


Good to know, thank you.

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Update Backtest





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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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