Check out quantopian. It's FREE. I believe the resolution is minute(perhaps tick now not sure) All you have to do is learn PYTHON and their API. Pretty cool.. I'm waiting for them to have FUTURES data...
Look up EP Chan's book on Quantitative trading for cheap data sources. You have to go thru so many hurdles to get the data that's processed correctly or your models won't work properly. Seems forex is the closest there is to cheap, useable data since you don't worry about survivorship bias among other stuff.... +1 to the mention of EOD timeframe trading and Excel. It leads to techniques that are very forgiving and has some leeway. But perhaps, the poster is really determined play the intraday ATS game.
And one more thing, Tradestation does offer a compelling value. There is a generation of Automated Traders that grew up on that stuff. You can find lots of studies to research. Seems like the open source, non-easy language movement is just trying to re-invent the wheel with modern tech buzzwords.
I have used Multicharts and it is a good tool for beginners. Someone else mentioned Amibroker and that is also a good and affordable software with many capabilities bit it took me some time to learn. I tried Quantopian but this not an intuitive way of doing things for me at least and I had problems getting used to the fact that even simple stuff need many lines of code. Plus code is kept at the server so if you happen to come up with an edge you have to trust it is not viewable by operators. I am saying just in case because I do not think edges are found easily nowadays. But keep in mind that backtesting is not as trivial as the industry has presented it to be for commercial purposes and only a small percentage of traders now how to backtest correctly.
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Want the truth or a polite answer; on soft-ware,HE07 ?? OK the truth; my mind + my writing hand + your mind is probably pretty'' soft''., not an insult, its a fact Jack]Cheap??, yes I am cheap/tightwad,LOL Ther is no substitute for your mind, computers maybe quicker, maybe NOT; most likely you will learn better the way i say .NOT a prediction..... You may find a public library card helpful+ free ; i like my private library, real helpful,also but thats not the cheapest way. In other words Curtis ''turtle '' Faith said get your hands dirty with data.You dont really get your hands dirty with data if you try to use a computer as much as you can; but computers are handy for candlecharts, moving averages......
There are two aspects to consider: trading platform & market data. I would suggest using NinjaTrader as trading platform ... it is free as long as you are not trading live, its development environment is very good (C# with access to all of the .Net components) and their support is second to none. With NinjaTrader, you get free EOD data - that can certainly get you started on the programming side. Once you are comfortable developing in NinjaTrader, you will need quality intraday historical data ... subscribe to Kinetick or IQfeed for just one month, and download 4 years of minute data on all the instruments that you want - for less than $100, that will keep you busy for a while. When you need historical tick data, your best option is TickData ... you'll have to pay a lot more than $100, but at that point you will know exactly why you want such data.
Free version comes with 100 free tests. Additional tests are cheap ($2 for the 100 test bundle, and it gets cheaper as you buy bigger test bundles). Tool is very simple to use, and has good/simple docs. Link to App on iTunes: https://itunes.apple.com/us/app/confidant/id700777921?mt=8 Ben
I have had much time to play with Quantopian. I think their API from my very cursory look at it is not in the same framework as Tradestation, which seems more natural for traders. But there's also this https://www.quantconnect.com/ It's also free but it uses C# instead of python.
I guess the title didn't make it into the post. I previously said to try CONFIDANT on iPad. It offers customized backtesting, with forward simulation, and requires no programming whatsoever.