I am trying to get adj.Open , adj.High and adj.Low prices. Most data sources like yahoo and google finance provide only adj.close price.
Is it possible to derive other adj. prices using close and adj.close values with considerable accurracy?
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2$\begingroup$ By definition adj_close = close + adjustment. From this you can calculate the "adjustment" and apply it to other prices. For Verizon on April 7 finance.yahoo.com/quote/VZ/history?p=VZ adjustment = 58.37-59 = -0.63 But note that the dividend is 0.628 so Yahoo has introduced some inaccuracy by rounding, also their method does not give true Total Returns (only approximately). But if adj.closes are good enough for you, you can use them in this way for O, H and L. $\endgroup$– nbbo2May 22, 2021 at 14:13
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1 Answer
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The formula is fairly simple.
Adjusted Open = Open * Adjusted Close / Unadjusted Close
Adjusted High = High * Adjusted Close / Close
Adjusted Low = Low * Adjusted Close / Close
Adjusted volume = Volume / (Adjusted Close / Close)
Since the Adjusted Close is only give to two decimal places, the accuracy is a little limited but should be OK for most stocks. There are exceptions for those that have had a lot of dividends, splits, reverse splits, spinoffs etc.
Also beware that some sources have various issues with past corporate actions and don't do this at all consistently (e.g. some data already been adjusted). Good ones to check that are usually messed up include TOPS and GE.
answered May 23, 2021 at 0:56
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$\begingroup$ But adjusted open should use previous period adjusted close and unadjusted close right? $\endgroup$ May 23, 2021 at 2:43
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$\begingroup$ No - that would change the OHLC relationship entirely. $\endgroup$ May 23, 2021 at 23:15
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$\begingroup$ So if say for day 1, OHLC is 10, 11, 8, 9 and Adj. Close is 8.5 then for the same period the Adj. OHLC = 9.44 , 10.38, 7.55, 8.5 ? $\endgroup$ May 24, 2021 at 10:10
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$\begingroup$ Since the adjustments are made at the end of the day and are in effect next day wouldn't it make sense to make adjustments to OHLC of next day instead of the same day? $\endgroup$ May 24, 2021 at 10:25
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$\begingroup$ You're now asking questions about how to do the adjustments and which dates they get applied to - which is a related, but different question. Adjustments are performed on all dates prior to the ex-date. The answer to prior question "day 1" is "Yes - that is correct" $\endgroup$ May 25, 2021 at 1:47