Stock Backtest Cost Basis and Adjusted Close Price Mismatch
Summary
The document reports a question about inconsistent price bases in a Chinese stock strategy backtest. A user compares adjusted closing prices retrieved from a stock factor data table with a position cost price returned after placing an order. The former is described as post-adjusted, while the cost price is unadjusted; comparing them directly causes incorrect take-profit and stop-loss decisions.
The post is a problem report rather than a solution: it asks how to resolve the mismatch but contains no reply or recommended conversion method. Its practical lesson is to check whether price series and position accounting fields use the same corporate-action adjustment basis before using them together in trading rules. It does not describe a particular adjustment formula, platform behavior beyond the reported case, or tested remedy.
Key ideas
- The reported historical close series uses post-adjusted prices.
- The position cost field is reported as an unadjusted price.
- Comparing values on different adjustment bases can distort stop-loss and take-profit checks.
- The post poses the issue but does not provide a resolution.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.