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Best data feed for backtesting?
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Best data feed for backtesting?

  #1 (permalink)
Elite Member
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Best data feed for backtesting?

Hi,

I'm a complete newbie. My goal is to develop an automated trading strategy, most likely using MultiCharts. Before I commit any real money, I'm planning on spending a lot of time experimenting and backtesting. I'll probably start with stocks and ETFs.

I'm trying to pick a data feed to use with MultiCharts. I've reviewed the ones listed in their chart:
Data Feeds | MultiCharts Charting Software

I'm a bit surprised that many of these data providers only have intra-day data going back a few months. My instinct is that for purposes of backtesting, more historical data is better. I'd prefer to develop a strategy and backtest it against different periods of time to make sure that it holds together in different market conditions -- and make sure that any winning strategy isn't just a fluke based on the conditions of the past two months or six months. Is my assumption correct?

If so, what would people recommend for the data provider? According to the MultiCharts information, the TradeStation 8 feed seems to be the most complete, with minute data going back 20 years. Would this be the best candidate, or is it overkill? Many thanks.

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  #2 (permalink)
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  #3 (permalink)
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Xyzzy View Post
Hi,

I'm a complete newbie. My goal is to develop an automated trading strategy, most likely using MultiCharts. Before I commit any real money, I'm planning on spending a lot of time experimenting and backtesting. I'll probably start with stocks and ETFs.

I'm trying to pick a data feed to use with MultiCharts. I've reviewed the ones listed in their chart:
Data Feeds | MultiCharts Charting Software

I'm a bit surprised that many of these data providers only have intra-day data going back a few months. My instinct is that for purposes of backtesting, more historical data is better. I'd prefer to develop a strategy and backtest it against different periods of time to make sure that it holds together in different market conditions -- and make sure that any winning strategy isn't just a fluke based on the conditions of the past two months or six months. Is my assumption correct?

If so, what would people recommend for the data provider? According to the MultiCharts information, the TradeStation 8 feed seems to be the most complete, with minute data going back 20 years. Would this be the best candidate, or is it overkill? Many thanks.

After the last months I would say Nanex / NxCore. Point. The only feed that makes sure you have ALL the data, regardless pretty much what happens on your end. Sadly also one of the more expensive ones, and one that requires.... own programming. Nearly noone implements them. Plus they ONLY deliver complete exchanges, so some heavy programming is needed.

But their support is VERY focused on making sure ther are no gaps. Even if your network is down some days.

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  #4 (permalink)
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NetTecture's recommendation is a good one. One nice thing about nxcore is you can buy very complete historical data ($100 for a month of the entire CME) that includes all the level 2 information , which makes it possible for you to do detailed, accurate backtesting. You do have to write your own backtesting application or hire a programmer do it for you. This is the path I'm taking, but I've started a small group to share testing duties and defray expenses. We're using nxcore historical data for backtesting, and DTN IQfeed data for forward testing. We may eventually upgrade to an nxcore live feed if we feel the need.

DTN IQfeed seems to be the best quality retail data feed. It's owned by the same company as nxcore, and they seem to take the quality of their data and service more seriously than other affordable vendors.


Last edited by GoldStandard; January 16th, 2011 at 07:01 PM. Reason: grammar
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  #5 (permalink)
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IMO, DTN IQfeed is the best data feed solution and also well priced.

For backtesting, the best thing is to ask a friend to send you data. There are several historical data threads on the site in the Elite section with years of backfill shared among friends.

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  #6 (permalink)
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Yahoo Finance gives free EOD data for atleast 20 years (and even more in some cases). If you are experimenting, this is a good place to start.

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kiloguru View Post
Yahoo Finance gives free EOD data for atleast 20 years (and even more in some cases). If you are experimenting, this is a good place to start.

Ah - yes. That it going to be very helpfull in automatic trading. Especially without knowing the real data, the data quality and a ton of other factors.

With Yahoo:

* You only have EOD
* You dont know how to simulate executions at all (what about VERY thin days?)
* You dont know about gaps
* You dont know about possible data errors
* You dont know about posst trading changes that may have hit you (NxCore, for example, gives you raw data - traes as they happen, corrections / cancel as they happen, so you can consolidate your feed as you want).

Trading like "more active than buy and hold some months" - Yahoo is pretty much worth what you pay for it, zero.

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  #8 (permalink)
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DTN/IQfeed or E-signal.

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  #9 (permalink)
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NetTecture View Post
Ah - yes. That it going to be very helpfull in automatic trading. Especially without knowing the real data, the data quality and a ton of other factors.

With Yahoo:

* You only have EOD
* You dont know how to simulate executions at all (what about VERY thin days?)
* You dont know about gaps
* You dont know about possible data errors
* You dont know about posst trading changes that may have hit you (NxCore, for example, gives you raw data - traes as they happen, corrections / cancel as they happen, so you can consolidate your feed as you want).

Trading like "more active than buy and hold some months" - Yahoo is pretty much worth what you pay for it, zero.

I did mention that Yahoo data was EOD, right! So, if your strategy is based on EOD data then it can be used. You can have automated EOD trading.

I think Yahoo data is actually pretty good quality. I have benchmarked it against a couple of other sources (Google, Fidelity) and find it accurate. Yahoo data needs to be adjusted for dividends and splits. There are a lot of people doing that already and I have some scripts that do that.

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  #10 (permalink)
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Xyzzy View Post
Hi,

I'm a complete newbie. My goal is to develop an automated trading strategy, most likely using MultiCharts. Before I commit any real money, I'm planning on spending a lot of time experimenting and backtesting. I'll probably start with stocks and ETFs.

I'm trying to pick a data feed to use with MultiCharts. I've reviewed the ones listed in their chart

I'm a bit surprised that many of these data providers only have intra-day data going back a few months. My instinct is that for purposes of backtesting, more historical data is better. I'd prefer to develop a strategy and backtest it against different periods of time to make sure that it holds together in different market conditions -- and make sure that any winning strategy isn't just a fluke based on the conditions of the past two months or six months. Is my assumption correct?

If so, what would people recommend for the data provider? According to the MultiCharts information, the TradeStation 8 feed seems to be the most complete, with minute data going back 20 years. Would this be the best candidate, or is it overkill? Many thanks.



Big Mike View Post
IMO, DTN IQfeed is the best data feed solution and also well priced.


Hi,

This is my first post on futures.io (formerly BMT). Xyzzy's post pretty much described my situation...developing autotrading strategy using Multicharts for backtesting, trading through IB and am looking for a quality data provider with historical minute data going back +10 years.

I've been trying out DTN IQFeed for a couple of weeks and I finally figured out that IQFeed does not provide weekend data. I first noticed the weekend data gaps because the backtesting results always look unreasonable on the weekends. Has anyone also come across this a problem?

Is the top recommended data feed provider still Nanex/NXcore?

What are some other quality data feed provider I can explore...long historical minute data with weekend data and reasonably priced? Metastock? eSignal? FXCM?

Thanks.

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