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Your return calculation should be on total return, i.e. include dividend income. Your signal, if it is price only, then you should take the price series and not adjust.


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Whenever you are looking to estimate total return, you would use adjusted closing prices. If you are strictly looking for the future stock price, you would use unadjusted closing price. I assume, though, that you are looking to predict the value of holding a stock during a given period, so you would want to use adjusted prices. The only time I've used actual ...



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