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Category
Import Specification
Description
Price data adjustment setting
Syntax
Adjustment: choice
Choices
Capital - (default) no dividend types are converted to splits
CapitalSpecial - corporate restructuring events (mergers etc.) and special dividends are converted to splits
TotalReturn - all types of dividends are converted to splits
None - adjustment information is not imported (not recommended)
Notes
RealTest receives adjusted and unadjusted prices along with split and dividend histories from Norgate and some other sources.
Imported data is then stored and used in unadjusted form so that each price reference on a given date reflects the actual price that was traded on that date.
When necessary for multi-bar indicator calculation or lookback comparisons, on-the-fly adjustment is performed.
See Split Handling for additional details about how this works.
General best practice is to use the default Capital in most cases.
Here are the trade-offs for each choice:
•Capital only treats actual stock splits as splits, simulating every other adjustment event (ordinary dividends, special dividends, spin-offs and other corporate restructuring events) as a cash dividend payout. This introduces an occasional large price gap (with corresponding simulated dividend payout) around corporate restructuring events.
•CapitalSpecial additionally converts special dividends and corporate restructuring events to splits, which avoids those price gaps, while still correctly simulating payout of ordinary dividends.
•TotalReturn converts all dividends to splits. This makes trades held across an ex-dividend date look like their share quantities were adjusted when they actually would not have been. It also puts every lookback price reference and multi-bar indicator on a total-return scale: the current bar's C is still the as-traded price, but past bars are scaled down by the accumulated dividend factor. Ratio-based calculations such as ROC, RSI or a moving average crossover work as intended (they simply measure total return rather than price return), but a formula that compares a past price to an absolute dollar level, e.g. Lowest(C, 250) > 10, is testing an adjusted value that can be well below what actually traded.
If you want the realistic fills and dividend accounting of Capital but also need a total-return price series (e.g. for momentum or relative-strength ranking), use the Adjusted function in your Data section rather than importing with TotalReturn. That gives you both the unadjusted and the fully-adjusted series in the same test.
Adjustment can optionally be specified separately for each DataSource block in an import definition. This enables your data to include a mix of e.g. TotalReturn and Capital-only adjusted symbols. It is even possible to import the same symbol from the same source both ways by defining two DataSource blocks for the same source and using the IncludeList alias syntax for one of the instances of the symbol.
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