R is an excellent software for this kind of analytical work. However its problem lies in database integration. Unless you can really dig deep into the dirty you cannot build a reliable RT data link between R and your database of choice. A friend of mine's fund somehow managed to pull it off but for individual traders it's better to stay with the proven commercial software such as Matlab or SAS. Yes it's kinda expensive but you get your money's worth. SAS can link up with SQL databases pretty well and Matlab is more powerful function-wise, but you have to build your own data link (much much easier than R though).
Yahoo and Google Finance? Do they allow you to download their database of stocks? I need the hard data local. You can't run simulations on Yahoo finance.
Not that granular. End of day prices works for me. But I do need access to some basic characteristics of the stock, e.g. market cap.
In that case you can use a quote download software (e.g. Historical Quotes Downloader) to download free EOD ASCII quotes directly from Yahoo. I believe there are some freeware that can do this as well. From there you can build a dynamic data link to whatever database you are using.
Actually, survivor bias is something I should consider. The Yahoo data will not work because of this. Also, I need to know every stock in the universe to download the data. I would just rather have a more complete database myself. I think 50 years of data will be fine.