Backtesting Data

[Bismark]

I need a source of historical data on NYSE or Nasdaq stocks that have tick prices and possibly volume per tick. I was going to import it into MS Excel to do some preliminary backtesting on an idea I have. At this point I don't really need some mega program with bells and whistles. Just need some raw data I can analyze on a few stocks with medium to high volatility and high volume traded. Can someone please point me in the right direction? Thanks.

 

[jmreeve]

www.tickplusdata.com

or

www.tickdata.com

 

[Bismark]

Thanks jmreeve. The stuff at Tickplusdata was exactly what I needed.

I noticed that the type data I wanted to use can exceed the capacity that excel can handle. They said a more powerful analysis software would need to be used. I just wanted a cheaper computational program to do rough testing this first go around. If it passes that I'll plunk down some real money for a program I can really hone it to perfection on.


Any tips anyone? Basically just need an excel type program with basic logic statements and such that can handle up to half a million ticks worth of data.

 

[jmreeve]

Have you looked at R?

http://www.r-project.org/

 

[dsplaisted]

Thanks jmreeve. The stuff at Tickplusdata was exactly what I needed.

I noticed that the type data I wanted to use can exceed the capacity that excel can handle. They said a more powerful analysis software would need to be used. I just wanted a cheaper computational program to do rough testing this first go around. If it passes that I'll plunk down some real money for a program I can really hone it to perfection on.


Any tips anyone? Basically just need an excel type program with basic logic statements and such that can handle up to half a million ticks worth of data.

Well, Excel 2007 will support up to 1 million rows.

Also, backtesting software will usually have a 30 day free trial. That would probably be enough to do your rough testing, and if it works out then you can go ahead and purchase the software.