Backtesting Data

In a previous lesson, you read that garbage in equals garbage out. How do you know that the data you are backtesting is reliable?

In this lesson, we very briefly discuss where you can get quotes and data to backtest your trading ideas on.

Yahoo!finance and Google

Both Yahoo! and Google provide free data. Our experience is that this is good data as long as you stick to the most liquid instruments, like SPY, QQQ, MSFT, etc. Both the open and close are normally reasonably correct, while the high and low readings are suspect and to be avoided.

Norgate

This is the best provider, hands down, but it’s quite expensive. However, they only provide EOD quotes and not data for day trading. Norgate is, to our knowledge, the only provider that offers data free from survivorship bias.

eSignal and IQfeed

These two offer lots of data, both EOD and intraday data, for a fee. We have used them on and off for years and can recommend their services.

Incubation

As you learned in a previous lesson, you should always let your strategies go through an incubation period. One of the reasons for that is to filter out any strategies that are based on faulty data!