Recent content by Timetwister

Thanks, I'd have to buy the all ETF one, as I'm looking for data for some less liquid ones. So so far it seems like it'll have to be either Algoseek for $500 or eSignal+Mechtrading if it's possible to download since inception.

Would it download data from inception? Here it says just 120 days: http://www.mechtrading.com/qcollector/esignal/faq.htm

Thanks, but I need longer term intraday data, preferrably from inception. So far the only website that seems to offer exactly what I want is eSignal (but it's a manual process that would take forever, as only 300 bars can be exported) and Algoseek (it seems the best but the minimum order is...

Thank you. Algoseek seems to offer exactly what I want, the sample files have all the information I'm looking for and in the format I want them (".csv"). However, their mininum order size is $500, while what I'd order would cost quite less at $5 per historical year (their price). I wonder if...

I want to check if there are any intraday patterns (like the ETF rising or dropping at a particular time). I contacted eSignal and they said that's not possible with their software, but that I can download the data from their software, although only 300 bars each time...

I have contacted Esignal support and it's possible to export their data to .csv, but it's a manual process (only 300 bars per export). Do you know how would it work with Qcollector? For me it's fine to pay $129 if it does that process automatically for all the ETF history.

So it would be $52 a month on Esignal and then $129 to but Qcollector (http://www.mechtrading.com/qcollector/esignal/order.htm)? The trial version only has a few tickers I don't want.

Can their data be downloaded as a spreadsheet? It seems like I'd have to use their own program. I just want to test if there are any intraday patterns depending on the time of the day.

Tickstory doesn't seem to have ETF. Eodata does, it's asking me $50 to buy intraday data of a particular ETF. Is that data every 1 minute, and since inception? It doesn't say anything. Esignal doesn't seem to have ETF data. About Worldtradingdata, it seems complicated (API...). I'm just...

Is there any place where I can download intraday ETF price data, in a format that can be imported into a spreadsheet (like Yahoo Finance)? I'd just want open and close prices, for 1 minute intervals if possible, but up to 1 hour would be fine. The longer is the historical data, the better. Thanks.

About the data being suspicious (if that's the case), I'd really appreciate if someone could share better data. About opening gaps, I don't see how could that be relevant when I'm only trading based on close prices. As long as close prices are correct, this backtest should be correct.

It's surprising that not only returns from 2000 stopped being way better than buy and hold, but they actually become lower (even negative). If the previous situation was somehow arbitraged away because of fundamental changes like the ones you commented, I'd expect this system to be about as good...

I wonder if something really changed (if so, why?) or if it's just a bad run (although quite long). It's still a great system if you just check the start and end point, and spectacular from 1950 to 2000. I'm adding buy and hold too to compare:

This uses Yahoo Finance's GSPC. What is wrong with that? You could implement this strategy just using futures, there's no need to do anything involving stocks. This uses close prices, not open ones. The strategy is very simple: If today's close is higher or equal than yesterday's close...