Saw this in May Active Trader magazine. Not sure if you can use this for backtesting, but here it is: Tick Data Inc recently released its database of intraday price and volume history on individual US equities. The database contains one-minute price and volume data on the largest 1,000 US stocks (based on market capitalization on June 30,2000) from Jan 1, 1991 to present. The data is provided in a compressed format with TickWrite--a software program that lets users create time intervals, adjusts prices for stock splits, and include pre-market or extended hour trading sessions. The Tick Data information can be imported into almost any third-party analytical package, including TradeStation, Metastock, NeuoShell and Excel. To learn more, go to http://www.tickdata.com