I'm assuming you want to backtest the data for some automated trading system. You can have a system that works very well with Yahoo data but not in the real wo

I'm assuming you want to backtest the data for some automated trading system. You can have a system that works very well with Yahoo data but not in the real world due to two reasons: -data integrity -survivorship bias So to get good data you need to pay. It's imperative you have good data. A couple sites: Futures Data (free): http://www.tradingblox.com/tradingblox/free-historical-data.htm http://www.tradingblox.com/tradingblox/free-historical-data.... Futures Data (paid): http://www.pinnacledata.com/ http://www.pinnacledata.com/ Stock Data (paid, highly recommended): http://www.premiumdata.net/ http://www.premiumdata.net/ Stock Data (paid): http://www.csidata.com/ http://www.csidata.com/ You can get forex data from oanda, fxcm, metatrader, ninjatrader. You can also backtest on tradestation. Also, tick data and OHLC data can affect your style-- if you're swing trading you need OHLC but if you're doing more short term, you need tick data.