Backtesting documents and data are copyright and may be reproduced for the personal use of ITM Blog users, but not shared or publicised in any form without the express permission of Heather Cullen.
Trade the tide
not the waves
Histrocal data is becoming hard to access – most of it is now behind a paywall.
ITM readers can access it free here. It is complete up to 11 April 2025.
This makes it easy for you to set up your own backtesting system. The rules and calculations I use are in the Backtesting Documentation above. Feel free to adapt them to develop your own trading strategy.
The data is as clean as I can make it. There are some notable omissions in the S&P 500 dataset, with the open price not available from 1966 to 1982, and early volume data is not available. You can try to get the information from various sources – Yahoo.com is probably the best (but you can’t download or copy, and the open data is missing here also) and Investing.com (but they make it hard, all the dates are different and hard to convert)
I have tried to make these datasets as accurate and as usable as I can, but make no representations as to accuracy and you use them at your own risk. But its a great way to check on what the pundits in the press are telling you!
I have not included SPYG data as it is a subset of SPY and QQQ, so backtesting on both of these index ETFs will be more accurate.
The information on this website is general information only. The author is not a financial adviser. Information should not be taken as constituting professional advice. The author is not liable for any loss caused, whether due to negligence or otherwise arising from the use of, or reliance on, the information provided on this website or other related published material.
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Happy trading!
