Do the usual methods for Simulation Testing of Trading Systems all ignore the contribution of Dividends recieved during the holding period of a stock?
OBSERVATION: I am using BullCharts and TradeSim and as far as I can see:
a) The usual methods and software for simulation testing on historical data, ignore the profit contributions of Dividends received during holding periods;
b) The dividends show up (usually) as decline in share price on ex-Div date, thus lowering profit results and ignoring the cash received.
QUESTION: Is this observation of mine about dividends in system testing results correct, or is there another way?
This situation seems to apply with any of the method descriptions for such testing that I have so fare read and for other software platforms - including AmiBroker, Metastock, TradeStation(?) - but I have not reviewed many.
I am aware of the following which can be left aside in discussion of this topic:
a) There are manual methods available to account for the dividends, such as during Paper Trading - whether live or on historical data such as using the Training Mode in BullCharts.
b) Historical dividend data is readily available and that the BullCharts data feed provides dividend data in its reports.
c) Franking Credits increase the contribution - but testing methods developed in the USA would not even consider these since they do not apply there.
d) In the US market, dividends yields are typically smaller than in Australia - for a variety of reasons. Locals will know that dividend yields (on share price) in AUS can be as much as 9% for Telstra, 6% for Com Bank.