Adjust Open,High,Low,Close Prices For Splits and Dividends
Adjust all columns of an OHLC object for split and dividend.
adjustOHLC(x,
adjust = c("split","dividend"),
use.Adjusted = FALSE,
ratio = NULL,
symbol.name=deparse(substitute(x)))x |
An OHLC object |
adjust |
adjust by split, dividend, or both (default) |
use.Adjusted |
use the ‘Adjusted’ column in Yahoo! data to adjust |
ratio |
ratio to adjust with, bypassing internal calculations |
symbol.name |
used if x is not named the same as the symbol adjusting |
This function calculates the adjusted Open, High, Low, and Close prices according to split and dividend information.
There are three methods available to calculate the new OHLC object prices.
By default, getSplits and getDividends are
called to retrieve the respective information. These
may dispatch to custom methods following the “.”
methodology used by quantmod dispatch. See getSymbols
for information related to extending quantmod.
This information is passed to
adjRatios from the TTR package, and
the resulting ratio calculations are used to adjust
to observed historical prices.
This is the most precise way to adjust a series.
The second method works only on standard Yahoo! data containing an explicit Adjusted column.
A final method allows for one to pass
a ratio into the function directly.
All methods proceed as follows:
New columns are derived by taking the ratio of adjusted value to original Close, and multiplying by the difference of the respective column and the original Close. This is then added to the modified Close column to arrive at the remaining ‘adjusted’ Open, High, Low column values.
If no adjustment is needed, the function returns the original data unaltered.
An object of the original class, with prices adjusted for splits and dividends.
Using use.Adjusted = TRUE will be less precise
than the method that employs actual split
and dividend information. This is due to
loss of precision from Yahoo! using
Adjusted columns of only two decimal places.
The advantage is that this can be run offline,
and for short series or those with few adjustments
the loss of precision will be small.
The resulting precision loss will be from row observation to row observation, as the calculation will be exact for intraday values.
Jeffrey A. Ryan
Yahoo Finance https://finance.yahoo.com
## Not run:
getSymbols("AAPL", from="1990-01-01", src="yahoo")
head(AAPL)
head(AAPL.a <- adjustOHLC(AAPL))
head(AAPL.uA <- adjustOHLC(AAPL, use.Adjusted=TRUE))
# intraday adjustments are precise across all methods
# an example with Open to Close (OpCl)
head(cbind(OpCl(AAPL),OpCl(AAPL.a),OpCl(AAPL.uA)))
# Close to Close changes may lose precision
head(cbind(ClCl(AAPL),ClCl(AAPL.a),ClCl(AAPL.uA)))
## End(Not run)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.