You do not need to generate simulated data to test your system. Just make that its average performance over many markets is above their average buy and hold performance.
You're misunderstanding what I'm looking for. I'm not looking for simulated data - I'm looking to simulate historical data again so I could put myself in the situation and improve my reaction times and strategies.
Thinkorswim's desktop application has this. It's called OnDemand. "Think OnDemand is a back-testing feature that replays historical market activity in real-time, leaving the user in charge of moving forward and backward as they wish in the past to test their trading strategies. think OnDemand gives the user a virtual account with a virtual balance of $100,000 so they can enter simulated trades based on the historical prices and see the hypothetical P/L change over time. Keep in mind that back testing is the evaluation of a particular trading strategy using historical data. Results presented in think OnDemand are hypothetical and may not take into consideration all transaction fees or taxes you would incur in an actual transaction. Past performance of a security or strategy does not guarantee future results or success. Results could vary significantly, and losses could result." http://tlc.thinkorswim.com/center/r...ols#WhatisOnDemandandwhatkindofdatadoesithave
I looked into OnDemand and found out that I'd have to open an account with TD's thinkorswim and that to gain access to this program I'd have to maintain a balance of $5,000 USD. The other problem is that TD has very strict margin requirements for certain instruments so that $5k would be stagnant, and I'd have to pay $29 in quarterly inactivity fees. Hopefully there's another option out there.
Really? I wasn't aware of that. I opened an account with thinkorswim before TD Ameritrade acquired them, and I haven't been subjected to any of these rules. I guess I got grandfathered in.
I you don't need more than 1 year of data to replay, and you have the patience to download that 1 day at a time for each instrument you require, then NinjaTrader/MarketReplay will fit your needs, all for free.
Some additional information from our Help Guide http://www.ninjatrader.com/support/helpGuides/nt7/market_replay.htm