Historical Data Sources and Back Testing?

Discussion in 'Data Sets and Feeds' started by jftrader, Nov 21, 2011.

  1. jftrader


    I’m new to the futures market so please be easy on me if this is a stupid question. Where can you get historical data for the emini futures? If I want to back test a strategy using the YM can I just use the OHLC historical data for the DIJA index? How closely does the price and the movement of the YM follow the DIJA? Are they exact?

  2. Timeframe? Daily or tick?
  3. jftrader


    Sorry I should have clarified, just daily. I'm used to stocks so to compare to stocks I'm looking for the open, close, high, & low for the 9:30 to 4:00 hours.
  4. jftrader


    Also, does anyone know where the Yahoo Finance data for the Dow Jones Industrial Avg comes from? The numbers don't line up with the 9:30 to 4:00 OHLC values from an IB chart of the index. Is Yahoo Finance using a different time frame?
  5. Many of the Yahoo data are said to be from http://www.idc.com.
  6. ronblack


    Check the data sources on this link. Very informative and also includes links to free daily futures data you could use http://tinyurl.com/co75nur