Best source of historic prices?

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5th Apr '18 by brucepackard

18 comments 6357 reads

I have had a look through previous posts and no one seems to have asked this before:

I'm interested in a source of historic prices for AIM and small cap stocks, to download into excel. I want to backtest some strategies and hunches, to improve my timing and risk management. And also to test the extreme tails in the distribution - ie companies that do really well and increase > 10x in value.

Does anyone have a good source for download-able historic prices?

Thanks!

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About the Author

Brucepackard

Premium Member

former banks analyst, and also, analyst of former banks. Buy and hold investor, but just started playing around with CFDs. And writing a blog.http://brucepackard.com/

18 comments

Nick Ray

5th Apr '18

With the "collapse" of Google Finance I think the only remaining option is Yahoo Finance:

https://finance.yahoo.com/

If you search for a stock and click on historical prices and then choose you time period and click download you can get a CSV file of prices.

If there are other sources for UK stocks I would be interested to know.

Damian Cannon

5th Apr '18

This is the best source that I've found: https://shareprices.com/

They've got prices back to June 1999, where available, and it's easy enough to extract the prices into a file.

MoneyAM may also provide historical prices but only with a subscription?

Gromley

5th Apr '18

There are two other sources that I am aware of :

1. ADVFN

This is a paid for service (from memory c. £100 / year) - one of the benefits here over yahoo is that you can download ALL prices (they also cover some indexes and commodities as well as stocks) for a given day.

It's still therefore quite a lot of work if you want to access data over a significant period of time (although one shortcut dependent on what you are testing, might be just to download all the Tuesday for example as they would still give you a decent timeline but for 20% of the effort.

Swings and roundabouts as to whether this is therefore more effect than Yahoo where you have to download each stock individually, but can take it's whole history in one go.

2. Google Finance - via Google Spreadsheets.

I don't know if this option will persist, given what else is going on with Google finance, but works at the moment.

If you create google sheet https://www.google.co.uk/sheet... there are specific formulae that you can use to extract data from google finance into the sheet.

For example : =Googlefinance("LON:ZTF","price")would return the current market price for Zotefoams (LON:ZTF)

or the formula =Googlefinance("LON:ZTF","volume","01/01/2018","19/03/2018","DAILY")would give the daily volumes for the given date range.

I haven't really used Google Sheets much , but it does seem quite a nifty functionality.

General on back-testing though :

A couple of pointers from my experience of back-testing (other than the standard warning risk that you might just be fitting data to create rules that worked in the past but have no predictive power whatsoever)

1. Delisted stocks are normally deleted from the history a short while after the delisting, so unless you collect the data contemporaneously you'll be missing all of the dead-uns. Could be quite significant dependent on what you are backtesting. I did find a possible source of data for de-listed stocks (it might have been direct from the LSE I can't recall) but it was prohibitively expensive.

2. Stock splits and consolidations are more common than you would think. Out of interest I recently looked at the best performers of 2017 and of the apparent top 20 - 16 were false signals as a result of stock splits. Yahoo supposedly adjusts for this in it's "Adjusted close" column, but it doesn't seem to always get this right and appears to be inconsistent as to whether or not it also adjusts for dividends.

I've been looking at compiling a database of stock split dates and details, but it is quite a lot of work and quite far down my priority stack at the moment.

So there are options here, but AFAIK no perfect answer, but if others have better sources, I too would be interested to know of them.

Brigra

5th Apr '18

Although Google Finance has gone, the googlefinance function is still available in Google Docs.
You can download price history, volumes and much more and it is easy to export a Doc to Excel if required. The help file gives more info on how to use the function.

schober

5th Apr '18

A good selection of markets and 20y of price data + a load of indicators etc etc
Well worth a browse!
They don't seem to have a source of income so how long the offering will last is an open qu!

https://www.alphavantage.co/

The command
curl "https://www.alphavantage.co/query?function=TIME_SERIES_DAILY&symbol=BP.L&outputsize=compact&apikey=**********************&datatype=csv"

results in
timestamp,open,high,low,close,volume
2018-04-03,479.2500,479.2500,479.2500,479.2500,0
2018-03-29,472.9500,482.4000,471.1000,479.2500,50711031
2018-03-28,470.1000,473.8000,465.8500,471.4000,31262780
2018-03-27,475.9000,478.3000,473.0500,475.3500,36505351
2018-03-26,464.9000,473.6500,463.9500,469.5500,39528715
2018-03-23,460.6000,465.6000,457.3500,462.4500,33219378
2018-03-22,469.7500,471.4500 ............................... etc

andrewdb

5th Apr '18

The googlefinance function has stopped working for some euro stocks.
I like the ability to look at the data from anywhere using Google spreadsheets but am trying to get away from using googlefinance.

jonesj

5th Apr '18

Google spreadsheets can import prices from various other sites. Quite useful, when google does not have data for markets such as Singapore (for example).

PhilHofGrowYourDough

6th Apr '18

Thanks schober that is very helpful!

brucepackard

6th Apr '18

Thanks Damian - I hadn't come across shareprices.com before. That could be exactly what I'm looking for!

brucepackard

6th Apr '18

Thanks Gromley! Very helpful. I'll reply in detail to your other msg too. (I didn't actually know it was possible to msg other members privately on stockopedia).

brucepackard

6th Apr '18

Again - thanks Schober. I had low expectations that anyone would come up with sensible answer to my question - so thank you all for your input.
FWIW I originally got a programmer friend to help me webscrape prices from https://www.investegate.co.uk/ but found this was not perfect, missing data and also the share split / rights issue problems.

Mechanical Bull

12th Apr '18

I find Sharelock Holmes really useful for backtesting UK stocks: https://www.sharelockholmes.com/

You can create a screen from hundreds of indicators and the backtest the returns going back to 2003.

It is a subscription service, but it is only about £60/year, whichI think it is really good value for money.

Johnny2509

12th Apr '18

Not wishing to promote a competitor, but Sharepad lets you export price data into Excel. They do a three month offer for £25.

ezlifeme

12th Apr '18

Morningstar also seem to allow historic prices on single companies to excel FOC
(Load Company ticker, then under the share price tab select historic prices, select period to download then export Excel)

Nick Ray

12th Apr '18

I had a quick look at Alphavantage yesterday. They seemed fine for a stock like BARC but for YU they had no prices since 30-1-2018 except for yesterday's end of day price. That suggests MIFID2 problems. It looks like they are not seeing "O" trades so they struggle with thinly traded small caps.

ricky65

12th Apr '18

Going slightly off topic, for just viewing long term charts, I like Hargreaves Lansdown because they have chart data going back to 1988.

Retail Punter

12th Apr '18

Nick, Yahoo has the same problem

PhilHofGrowYourDough

12th Apr '18

Well the Alphavantage API has my charting apps back up and running. So thanks very much.

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Brucepackard

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