Historical Futures Data 5-min Bars (10 Years min)

[JBU1314]

Hi, I have a really hard time to find solid reliable historical data for backtesting my futures strategies. I know that Kinetick offers 2 years Day End min data but I am looking for data which reaches back 10 Years or more. Especially on the indicies like ES, NQ. The only thing I find are insanely expensive providers (20k and up). Any ideas?

[JBU1314]

CQG Data Factory

I just learned that it is possible to receive a monthly subscription from the CQG Datafactory to get historical data on futures on a 5min Bar granularity. I thought I share this in case somebody else needs this info.
This leads me to my next question for the NT support team. How can I use this data in the plattform for backtesting? Which format should I download the data? Is there an easy way to update? Please help. Attached a picture from the options screen on CQG download page.

[NinjaTrader_Jim]

Hello JBU1314,

Thanks for writing in.

You may ask for sample sets of data so you may verify a format that CQG advertises works in NinjaTrader 8. The format for importing historical data in NinjaTrader 8 is outlined in the documentation below. There are also visual instructions included on how to import the historical data.

Importing Historical Data - http://ninjatrader.com/support/helpG...AndDataFormats

After you have downloaded historical data and successfully imported it, you may back test your strategy for any interval in which you have historical data.

For more information on back-testing strategies, I suggest reviewing the videos in the help guide below and referencing the documentation for complete usage. Our instructional YouTube videos are also very useful in understanding the Strategy Analyzer.

Strategy Backtesting videos - http://ninjatrader.com/support/helpG...ndOptimization

Strategy Backtesting documentation - https://ninjatrader.com/support/help...a_strategy.htm

Strategy Analyzer YouTube tutorial - https://www.youtube.com/watch?v=doNXy_AXQXo

Please let me know if you have any further questions.

[JBU1314]

Hello Jim, Thank you for the feedback. Appreciate it. On more thing, what is Ninjatraders recommendation for the most suitable data provided for long-term backtesting (e.g. +10 Years back) for futures.
Best regards,
Juergen

[NinjaTrader_Jim]

Hello Juergen,

Thanks for writing back.

Data availability can vary between providers and for the instruments they host. Because of this, I will not be able to give you a clear answer as to which provider best suits your needs.

I will, however, refer you to a spreadsheet depicting our supported providers and what they offer. You may want to follow up with a provider that fits your needs to see if they have the data available for your instruments.

Data by Provider - http://ninjatrader.com/support/helpG...y_provider.htm

If you have any other questions, please don't hesitate to ask.

[JBU1314]

Thank you Jim,
It Would be great to add a column outlining how far back historical data goes for each instrument with all the providers listed since there are significant differences in time frames between them.

[JBU1314]

Hi NT Team, I would really need a little more guidance and support with this topic. I did significant research and I cant find any provider of historical intraday data (5-min bars) for futures on a longer than 5-Years looking back period. The list with data providers is only limited helpful since it does not detail the look back period. So, my question is again, from your experience what is the most suitable data provider if I am looking to backtest my strategies looking back 5-Years or more. I know Tradestation offers ~10 Years but I really dont like to switch to them since I love Ninjatrader. BUT I really need solid data for backtesting longer timeperiods on 5-min level. PLEASE HELP!

[NinjaTrader_ChristopherD]

Hello JBU1314,

This is Chris following up on behalf of Jim.

Most supported data providers for the NinjaTrader platform will guarantee 2-3 years of historical minute data. That being said, many of these data providers will offer additional minute data for more popular markets. If you can specify which instruments you are trading, I would be glad to help you find a data provider for the NinjaTrader platform that will meet your needs.

[JBU1314]

Hi Christopher, Thank you for the feedback. I mostly trade Futures:
ES E-mini S&P
NQ E-Mini NASDAQ
TF E-Mini Russell
ZN, ZB 10 and 30 Year Treasury
I am looking for at least 5 Years of 5-min Bar historical data. Better more. Any idea?

[JBU1314]

Hi Christopher, any news on this one? I really would appreciate some guidance from ninjatrader so I can make a sounds decision and have some solid data for my backtesting.
Thanks and best regards,
Juergen

[JBU1314]

Hi Christopher, did you ever see my responses? I was hoping you could give me some advise based on your initial feedback that you would be able to help to find the best provider for historical futures data (5-min Bar) 5-10 Years back.

[JBU1314]

Hi NT Team, I am not gonna let this go... :-) I feel like I am being ignored regarding that question since a couple weeks now. Could you please give me feedback? This is a pressing issue in the trading community... Christophers last question was: If you can specify which instruments you are trading, I would be glad to help you find a data provider for the NinjaTrader platform that will meet your needs.
I provided that information (see earlier post below) and it would be great to get some advice from you please

[NinjaTrader_ChristopherD]

Hello JBU1314,

I apologize that we missed your last posts on this thread.

Kinetick will provide at least two years of historical one-minute data for all supported markets. Many more popular futures contracts will have 5+ years of historical minute data available. For example, Kinetick will provide historical minute data for ES going back to March 2nd, 2007.

The only other option would be to purchase the data from a third-party vendor like CQG Data Factory and then manually import the data into NinjaTrader.

[JBU1314]

Thank you Christopher