Historical Price Data Definition

Backtesting runs on Historical Price Data.  It is the record of actual transactions for a stock, index, commodity, or other market. 

The atomic unit of data is the bar.  Each bar represents one unit of time and has an open price, high price, low price, close price and volume.    For end-of-day data, each bar represents one day.

Extra Insight:

Data comes with the backtesting engine and is also sold separately by data vendors who make it their core business.  Data originates with the stock exchanges who keep records of each transaction.

A weekly chart can be constructed from daily data.   However, its impossible to go to smaller granularity than the available data, e.g. daily data cannot be used to create a 15-minute chart.

Updated: 11/12/08.

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