Yes, yahoo finance prices can be quite messy and sometimes even wrong for the reasons you mention. I wanted the code to be portable so that's why I used them.

Yes, yahoo finance prices can be quite messy and sometimes even wrong for the reasons you mention. I wanted the code to be portable so that's why I used them. We have the same strategy on Quantopian though (https://www.quantopian.com/posts/olmar-implementation-fixed-bug https://www.quantopian.com/posts/olmar-implementation-fixed-...) where we have 10 years of minutely data, adjusted for splits and dividends. It seems to do quite well.