Finding Historical Futures Data for Backtesting

Summary

This brief forum exchange addresses where to obtain historical futures data for strategy backtesting. Participants suggest using open-source financial data tools for daily bars, applying to a research service that offers a temporary trial, or downloading available data directly from an exchange. One reply notes a practical limitation: exchange downloads may provide daily records without the minute-level or tick data needed for more detailed intraday research.

The discussion is useful as a starting point for thinking about data sources and granularity, but it does not name specific futures contracts, describe data coverage, or compare accuracy, licensing, costs, and adjustment methods. It also does not provide sample data or validate any source. Researchers should confirm that a chosen dataset covers the required instruments, dates, and bar frequency before relying on it for a backtest, since the exchange option described may not suit intraday testing.

Key ideas

• The discussion offers open-source tools, a research-service trial, and exchange downloads as possible data sources.
• Exchange data is described as available at daily frequency.
• The replies identify minute and tick data as harder to obtain from exchange downloads.
• The exchange does not assess data quality, coverage, licensing, or suitability for a specific backtest.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.