Historical Stock Data

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Trading Leech
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Historical Stock Data

Post by Trading Leech » Mon Nov 29, 2010 2:50 pm

I require historical stock data (open,high,low,close,volume, and possibly earnings) going back many, many, decades.

What are the best data sources for this?

Let me rephrase: Where do all those books like "How to Make Money in Stocks" get all their data on those stocks from olden times like Utah Securities in 1924, Thiokol Chemical in 1957, and Northwest Airlines in 1962?

Do you think Bloomberg would have this data? (I might be able to find someone with access to Bloomberg.)

sluggo
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Post by sluggo » Mon Nov 29, 2010 3:01 pm

One such book, which ran computerized backtests on individual stocks starting in 1953, said this:
  • All tests in this book use Standard & Poors' "Compustat" database, the largest, most comprehensive database of United States stock market information available.

tovetski
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Post by tovetski » Tue Nov 30, 2010 10:40 pm

Hi tradingleech,

I find the following offering hard to beat for security prices. For fundamentals, they have a product that joins on the "Compustat" database that sluggo referred to.

[url=http://www.crsp.com/products/stocks.htm]Center for Research in Security Prices[\url]

However, be prepared to fork out a few tens of thousands for CRSP and over 100K for Compustat, annually, if you want updates. The CRSP base is better for research but not good for live trading as the frequency of updates is monthly if I remember properly.

In any case, I am pretty sure both institutions can afford friendly reps that could answer any questions you might have on their product.

I think you can get a demo for CRSP that has a tiny subset of their database along with the proprietary GUI needed to interact with their database.

Good luck in your quest for securities data

Pierre

Trading Leech
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Post by Trading Leech » Tue Nov 30, 2010 11:00 pm

Thanks for the replies so far!

I guess there is simply no way for me to obtain affordable data going as far back as I want. So maybe my wants are unrealistic. Thus, maybe I should be focusing on what I need—not what I want.

It looks like I can find affordable historical stock data (from CSI Data) going back to 1980 or so. Do you think 20-30 year old data is good enough historical data to appropriately test a trading strategy? At least it would cover the 1987 stock market crash, the dot-com bust and the 2008 crisis. I guess this would make up for some nice data, but one can never be sure. It sure would have been nice to be able to cover the railroad and canal booms and busts of the 19th century, the stock market crash of 1929, and the commodity bull market of the 1970s—but whatever. What do you think?

On a side note, I have carefully read and studied The Way of the Turtle. This book focuses on commodity and currency futures trading. Accordingly, I bought all the data for that so that I could do my own coding to see if I could get the same results as posted in the book.

However, my question is: If a trading strategy works for futures, should it automatically work for stocks as well? Or do you think the strategies in Way of the Turtle wouldn't work for stocks? I'm just wondering if I'm wasting my time. (The reason I want to trade in stocks instead of futures is, of course, that futures are too expensive to trade for the common person.)

michaelt
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Post by michaelt » Mon Dec 06, 2010 12:01 am

It is my experience (and I defer to better and more experienced traders and analysts) that stock and futures require different trading approaches. They are two separate asset classes and have different economic roles and functions. It's not surprising that their price behavior is different.

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