Price Adjustment Curve (PAC)

Accurate Price Input for Multi-day Strategies

By incorporating corporate action effects in the prices, PAC provides superior quality output in statistical models, option pricing, and streamlining backtesting. This is essential for strategies like Moving Volume Weighted Average Price (MVWAP) or Equity Curve Trading.

A key differentiator of PAC is the ability to access adjusted quotes and trade prices at different time intervals and granularity, providing clients with increased flexibility in choosing trading strategies.

Comprehensive Performance Measurement

In addition to tick data adjustment, PAC can be applied from market open to the end of the trading day. Calculating the equity curve is one of the most important steps in backtesting strategies – accessing a clean and accurate adjustment factor time series will help streamline the process.

Portfolio managers can measure portfolio performance using PAC with higher accuracy. Accessing the details of the corporate action in the dataset can help data scientists and quantitative strategists measure the effect of each action on their return structure.