Negative Prices and Adjusted Data in VeighNa Backtests

Summary

A VeighNa community exchange discusses why a backtest may show a flat return curve when stock data contains negative prices after adjustment. One participant reports seeing negative values in forward-adjusted data for a stock and notes that crude oil futures have also traded below zero. A reply says VeighNa does not support negative prices in this context and distinguishes proportional stock adjustments, which should remain positive, from additive adjustments commonly used for futures, which can produce negative historical values.

The discussion recommends trying a different adjustment method when importing data from a CSV. It also notes that VeighNa does not provide an official data connection for the cited vendor, so the imported data source and its adjustment conventions matter. This is a brief forum answer rather than a technical explanation or tested comparison: it does not specify the backtesting engine’s exact behavior, identify a compatible adjustment method, or explain how to handle instruments that can trade below zero. Traders should treat it as a reported limitation and investigate their own data and framework setup.

Key ideas

• The discussion reports that VeighNa backtesting does not support negative prices in the case described.
• Additive futures adjustments can create negative historical values, unlike proportional adjustment in the explanation.
• The thread recommends changing the adjustment method for CSV-imported data.
• The exchange does not provide a tested workaround for naturally negative market prices.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.