Back to Community
Bad price data or bad understanding of historic pricing?

Hi guys,

I'm really puzzled about the pricing I'm seeing for symbols like TMF, TQQQ. These are etf's that should not be affected by stock splits,
yet their pricing varies significantly (by 50% -70%) of the results I see in charting packages like Yahoo or Stockcharts.

Look at the following, which maps the effect of owning 100% of TMF versus the default of SPY, and records the prices of TMF below it. In July 2016, TMF suffered badly according to stockcharts , dropping from a high of about $31.58 to a low of around $16.24. But that's nothing compared to what Quantopian data records: Q shows these prices to drop from $121.05 to lows of $17.04. So they both end up at around the same price but the starting number diverges drastically.

Can anybody explain this to me?

Thanks
Serge

Clone Algorithm
0
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 59164a0e4a16f3619f25a6bf
There was a runtime error.
2 responses

It looks like TMF and TQQQ each had splits, which is causing the differences that you see.

TMF: https://www.splithistory.com/?symbol=tmf
TQQQ: https://www.splithistory.com/?symbol=tqqq

The prices will be split when you make historical lookbacks after each split, but logging the current price will show the prices that were known as of the simulation date.

Disclaimer

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 Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.

Jamie,

Thanks for that. All makes sense to me now.

Serge