I am using
www.stockfetcher.com
The data is only EOD and is $16.95 per month (I got the advanced subscription). You can test 2 year periods over from 2002-2007.
I have been pouring over the data and the most effective trading system produced sell signals on my shorts a few days later than my original entry date and would have saved me a ton of pain!
I am using just a 5 day holding period with no exit strategy currently (to be worked on). So far my data:
Longs: 58% winning rate (average return 0.90% over 5 days not including transaction costs)
Shorts: 51% success rate (average return 0.19% over 5 days) NOTE for clarification: Stock price averages a -0.19% dip over next 5 days.
For the shorts there is only about 20% of the sell signals my longs produce and it is a very small edge, although it is in a bull market).
My short technical analysis had to be extreme #'s to get any edge, had to go more overbought than I did on oversold on the long side.
FYI- I am using RSI(2), RSI(5),MA(50), MA(200), and 5 and 10 day high (or low), and a $5 stock price and 30,000 avg. volume in my analysis to far.
Interesting thread, the combination of this and a good pummeling in November, especially the final week in November, is making me really do some much needed work and self reflection after 3 very easy months! I thought I was the next Warren Buffet [img]/images/graemlins/tongue.gif[/img]