In this post, we’ll take at how we can use CSI’s “Unfair Advantage” program to create TradersStudio stock contracts. This is one of the most powerful and unique features of TradersStudio. As we’ve been describing in our previous posts, given unadjusted data, split-adjusted data, and dividend-adjusted data, TradersStudio can re-create a more realistic sequence of trades. In fact, without the TSSC (TradersStudio Stock Contracts), your backtesting results will show significant distortions.
Setting up the CSI Data
Open CSI, navigate to the Portfolio tab, highlight Import Portfolio – Stock Index Components, and select one of the built-in portfolios in CSI. Our example in this case will be the NASDAQ 100. Note – you can get a list of all NASDAQ 100 stocks by looking at our sample NASDAQ 100 directories. This example is meant just to show you how to correctly work with the CSI software.
Now, you will create three versions of the NASDAQ 100 portfolio using the following settings. Note – these settings are used to create an accurate replication of splits/dividends using the Dow Jones Industrial Average and NASDAQ 100 data included as demo data for TradersStudio.It is important to set up all three of the files the same. This setup must be followed exactly because creating a set of files with “Round to the nearest tick” checked for the “raw, unadjusted file” and not checked for the “dividend adjusted only” file results in a .005 cent per share “phantom dividend”. Use the following settings:
- File Format – ASCII
- Periodicity – D (for daily)
- ASCII separator – comma
- Date Format – includes century
- ASCII Field Layout – DOHLCV (date, open, high, low, close, volume)
- ASCII Misc. – Display decimals with maximum precision
- Ranging/Rounding – Modify high/low; Show loading; DO NOT Round to Nearest Tick.
- Historical Adjustments – see below. These settings will vary for each of the 3 files.
- Display Data – display as decimal. Do not check “Force 2 Character Symbols”. Leave this blank
- Back Adjust – Use only C++
1. Unadjusted – click on New – Options to make sure you have these settings:
Name – Nasdaq100_Unadjusted
Historical Adjustments – make sure none of the boxes are checked
Click on “OK” and “OK” and answer “Yes” when prompted if you want to build hard drive files.
2. Split Adjusted – same settings as above, except:
Name – Nasdaq100_SplitAdjustOnly
Historical Adjustments – only check the “Split Adjusted/can cause prices to go negative”box.
3. Dividend Adjusted – same settings as above except:
Name – Nasdaq100_DivAdjustOnly
Historical Adjustments – check the “Stock Dividends and Capital Gains” box. Click on “OK” and “OK” and answer “Yes” when prompted if you want to build hard drive files.
Now, for each of these directories, select the stocks you see in our Nasdaq 100 directories. All three directories have the same stocks. This is a requirement for the TradersStudio Stock format.
Now, check your UA directory. You should have directories (folders) for each of the three files and each file should contain the same number of objects – 100 in this case since this is the Nasdaq 100 portfolio.
After the three data directories have been created. Our next step is to set the data up so TradersStudio can use it. First, add the data using the Data Manager – Add/Edit Data Links discussed in the Data Manager chapter.
We have shown this to explain how to set up your own directories. Below we will show you how to download the portfolios which are available for TradersStudio owner from CSI.
Historical Adjustment Box
If you are using CSI data with TradersStudio and want to use TradersStudio Stock you can go into Unfair Advantage and download the setup for Nasdaq, S&P500 and Dow stock portfiolos. This will create a split-adjusted, unadjusted and dividend only adjusted directory for each.