Your trading system is only as good as the data behind it.
You can have the best entry rules, the tightest risk management, and a portfolio of diversified strategies - but if your historical data is wrong, incomplete, or biased, your backtest results are fiction. And when you trade that fiction with real money, the losses are very real.
This is why I use and recommend Norgate Data for all of my US, Australian, and Canadian stock trading. After more than 20 years of systematic trading across multiple markets and data providers, Norgate consistently delivers the highest quality end-of-day data available for serious backtesting and system development.
In this guide, I'll explain exactly what Norgate Data offers, why data quality matters more than most traders realise, and which subscription package is right for you.
Disclosure: I use and recommend Norgate Data. The links in this article are affiliate links - if you subscribe through them, I earn a commission. I recommend Norgate because of its quality, not because of the commission. The decision to subscribe is entirely yours.
What Is Norgate Data?
Norgate Data is an Australian-based financial data provider founded in 1992 that specialises in high-quality, survivorship-bias-free end-of-day stock market data.
They provide historical daily price data and daily updates for the US, Australian (ASX), and Canadian (TSX) stock markets, as well as world futures and forex data.
What sets Norgate apart from most data providers is their focus on what serious systematic traders actually need:
- Survivorship-bias-free data - including delisted stocks that no longer trade
- Historically accurate index constituents - know which stocks were in each index on any given day in history
- Automatic data maintenance - stock splits, dividends, corporate actions, ticker changes, and new listings are all handled automatically
- Seamless software integration - native plugins for AmiBroker, RealTest, Python, and other platforms
Norgate does not provide live quotes, intraday data, or tick data. This is end-of-day data built specifically for backtesting, system development, and end-of-day signal generation - which is exactly what systematic stock traders need.
Why Does Data Quality Matter for Systematic Trading?
Data quality is the invisible foundation of every trading system you build. If the foundation is cracked, everything built on top of it will eventually collapse.
When you develop a trading system, you are making decisions based on historical price data. Your entry rules, exit rules, position sizing, and portfolio construction are all optimised against that data. If the data contains errors, your optimisation is meaningless - you are fitting your system to noise, not signal.
There are three categories of data problems that poison backtests:
Bad ticks and price errors. A decimal point in the wrong place or a zero where there should be a price creates false outliers. Your backtest shows a huge win or catastrophic loss that never actually happened. These phantom results distort your expectancy, skew your drawdown estimates, and give you false confidence in rules that only worked because of data errors.
Unadjusted prices. When a stock splits 2-for-1, the price halves overnight. If your data doesn't adjust historical prices backward for splits and dividends, you get artificial gaps on your chart. These fake gaps trigger false sell signals in your backtest, making your system appear to behave differently than it actually would in live trading.
Missing or incomplete bars. Gaps in your price history cause missed signals. Your backtest skips entries or exits that would have occurred on those missing days, making your system appear more or less reliable than it actually is.
Norgate Data handles all of these problems. Splits, dividends, and corporate actions are adjusted automatically. Data quality control is rigorous - every update is checked before it reaches your database. And the data is comprehensive, covering every trading day without gaps.
The practical result: when you build a system on Norgate data and trade it live, the real-world results match your backtest expectations. That alignment between backtest and live performance is worth far more than the subscription cost.
What Is Survivorship Bias and Why Does It Ruin Backtests?
Survivorship bias is the single biggest data problem in stock market backtesting - and most traders don't even know they have it.
Survivorship bias occurs when your backtest only includes stocks that exist today, ignoring the hundreds or thousands of stocks that were delisted, went bankrupt, or were acquired over the test period. You are testing on the survivors - the stocks that made it - while pretending the failures never existed.
This inflates your long-side results dramatically and understates your short-side performance. You are essentially giving your system advance knowledge of which stocks will survive and thrive, which is information you would never have had at the time.
The impact is not subtle. A system that looks fantastic when tested on today's index members often looks mediocre - or even unprofitable - when forced to respect what you actually could have known and traded at each point in history.
Norgate Data solves survivorship bias with two critical features: historically accurate index constituents and delisted stock data.
How Do Historically Accurate Index Constituents Fix Your Backtests?
This is the bigger of the two survivorship bias problems - and the one that most traders overlook entirely.
When you backtest on today's S&P 500 stocks across the last 20 years, you are pre-selecting the winners. Thirty years ago, most of today's S&P 500 companies were smaller or didn't exist in the index at all. They had to grow and prove themselves to earn their place. By using today's list historically, you are giving your system advance knowledge of which stocks survived and thrived.
The fix is historically accurate index constituents. On every single bar of your backtest, the data checks: was this stock actually in the index on that day? If yes, you can trade it. If no, you skip it.
This removes the time-travel effect completely. You are testing what you actually could have known and traded at that moment in history - nothing more.
Norgate Data is the primary source for historically accurate index constituent data on US, Canadian, and Australian markets. Without it, you cannot reliably backtest any strategy that restricts trading to a specific index - whether that's the S&P 500, NASDAQ 100, Russell 3000, ASX 200, or any other index.
The alternative is to backtest on the entire stock universe instead, but that trades a fundamentally different dataset to what you intended. If your system is designed to trade S&P 500 stocks, testing it on everything is not a valid substitute.
Why Do Delisted Stocks Matter?
Stocks delist in two ways: bankruptcy (the price trends down to zero) and acquisition (the price jumps up when another company buys them).
When you omit delisted stock data from your backtest, you miss both scenarios. On the long side, your stops usually catch the bankruptcies before they reach zero anyway, but you miss the acquisition gains - stocks that jumped 20-30% on a takeover announcement. On the short side, the effect is more mixed.
The bottom line: include delisted data if you have it. It generally improves the accuracy of long-side systems and gives you a richer dataset with more trades for optimisation.
But delisted stock data is secondary to index constituents. Without accurate constituent history, your backtest is fundamentally flawed - you are testing on a biased dataset. Without delisted data, your backtest is incomplete but usually not disastrous, provided your system has proper exit rules.
Norgate's Platinum package includes both features, which is why I recommend it as the minimum for serious trading system development.
What Markets Does Norgate Data Cover?
Norgate Data covers three stock markets:
- US Stocks - NYSE, NASDAQ, and AMEX listed securities
- Australian Stocks (ASX) - All ASX-listed securities
- Canadian Stocks (TSX) - TSX and TSX Venture listed securities
All three markets are excellent quality. They all include the same critical metadata: historically accurate index constituents, delisted stock data (at the Platinum level), and automatic corporate action adjustments. You can use any of these markets confidently to develop and test your systems.
Norgate also offers a Futures package covering approximately 100 futures markets across 11 worldwide exchanges, and a Forex package with daily currency data back to 1991.
What about other markets? Norgate does not cover European, Asian, or other international stock markets. For markets like Hong Kong, London, or European exchanges, you will need data from MetaStock, which offers a cost-effective subscription for broader international coverage.
The practical reality is that no single data provider covers everything. As your trading grows and you diversify across more markets, you end up using multiple data sources. I have always had at least two active data subscriptions running - Norgate for US, ASX, and Canadian markets, and MetaStock for everything else.
One important note: MetaStock data does not include historically accurate index constituents or delisted stocks. So when developing systems for markets covered by MetaStock, you need to be more careful about how you construct your trading universe to minimise survivorship bias risk.
Which Norgate Data Package Should You Choose?
Norgate offers tiered subscription packages for each market. Here is the breakdown for US Stocks (Australian and Canadian packages follow a similar structure):
| Feature | Silver | Gold | Platinum | Diamond |
|---|---|---|---|---|
| Currently listed stocks | Yes | Yes | Yes | Yes |
| Price history | Last 10 years | Last 20 years | Back to 1990 | Back to 1950 |
| Current fundamentals | No | Yes | Yes | Yes |
| Delisted stocks | No | No | Back to 1990 | Back to 1950 |
| Historical index constituents | No | No | Yes | Yes |
| 12-month price (USD) | $270 | $360 | $630 | $787.50 |
My recommendation: Platinum.
The Platinum package gives you at least 30 years of price history, delisted stocks, and historically accurate index constituents. This allows you to thoroughly and correctly backtest all types of systems without survivorship bias distorting your results.
Why not Gold or Silver?
Gold gives you 20 years of history. Silver gives you 10. Neither includes delisted stocks or historically accurate index constituents. This creates two problems:
1. Not enough market cycles. Ten years of data might only cover one full bull-bear cycle. Twenty years gives you slightly more, but you still lack the depth to confidently assess how your system handles multiple different market environments. With Platinum's 30+ years, you get several complete cycles, which makes it much harder to accidentally overfit your strategies.
2. No index-restricted backtesting. Without historically accurate index constituents, you cannot develop systems that trade only stocks within a specific index. A system designed to trade NASDAQ 100 stocks cannot be correctly backtested with Gold or Silver - you would need Platinum to verify that each stock was actually in the index on each day of your test.
What about Diamond?
Diamond extends the data back to 1950, which covers even more market history - including the 1987 crash. If you want the deepest possible understanding of how your system handles extreme events, Diamond is worth considering. For most traders, Platinum provides sufficient history.
How Does Norgate Data Work with Trading Software?
Norgate Data integrates seamlessly with the most popular platforms for systematic trading. My Norgate Data is set to automatically update, so every time I sit down at my computer, my data is already current with the latest prices. You can update manually, but there is no reason to when the automatic updater handles it for you.
Norgate Data with AmiBroker
The integration between Norgate and AmiBroker is straightforward. You set up a new database using the Norgate Data plugin - open AmiBroker, go to File, then New Database, select the Norgate Data plugin, and follow the prompts.
The plugin automatically handles all database maintenance: new listings, delistings, ticker code changes, stock name changes, and corporate actions are all reflected in your AmiBroker database without any manual intervention.
After each Norgate data update, you run a quick maintenance step in AmiBroker to pull in the most recent data and metadata. This takes seconds.
For a complete walkthrough of the setup process, see my guide: How to Set Up Norgate Data with AmiBroker.
Norgate Data with RealTest
The integration with RealTest is even simpler - there is no setup required at all. When you write a script in RealTest, you reference the Norgate Data watchlist you want to use in the import section, and RealTest imports the data directly from Norgate.
Before running a test or signal generation, you import the latest data to make sure you are working with the most current prices.
Norgate Data with Python
For traders who prefer to code their own backtesting frameworks, Norgate offers a Python API available through pip (norgatedata). This provides programmatic access to all the same data - prices, delisted stocks, index constituents, and corporate action adjustments - from within your Python environment.
Is Free Data Good Enough for Backtesting?
No. Free data costs you money in live trading.
The real cost of data is not what you pay upfront. It is what you lose when your backtest is wrong and you discover the hard way that your system does not perform as expected.
Free data sources like Yahoo Finance have three major problems:
Bad ticks. Decimal points in the wrong place. Zeros where there should be prices. These create false outliers in your backtest - huge wins or losses that never actually happened. Your expectancy calculations are distorted, and you build false confidence in rules that only worked because of data errors.
Unadjusted prices. Stock splits and dividends are not adjusted backward in the price history. This creates artificial gaps on your chart that trigger fake sell signals and corrupt your indicator calculations.
Missing or incomplete bars. Gaps in the data cause you to miss signals or overestimate the reliability of your system.
And the biggest issue of all: survivorship bias. Free data only includes currently listed stocks. If you are testing on today's S&P 500 members across 20 years, you are only testing winners. The stocks that went bankrupt or got acquired have disappeared from your dataset, massively inflating your results.
The cost of a Norgate subscription is trivial compared to what you will lose from faulty signals in live trading. A single bad trade caused by data errors can cost you more than years of data subscriptions.
What Are the Limitations of Norgate Data?
The only meaningful limitation I have found with Norgate over my years of using it is market coverage. Norgate covers US, Australian, and Canadian stock markets - and that is it.
Most retail traders will stick to one or two of these markets, so this is not a problem. But if you want to diversify internationally - trading Hong Kong, European, or other Asian markets - you will need a second data source.
I use MetaStock data for the markets Norgate does not cover. It is cost-effective, but it does not include historically accurate index constituents or delisted stocks. So you need to be more careful about how you develop systems for those markets to minimise survivorship bias risk.
The other limitation is that Norgate is end-of-day data only. There is no intraday, tick, or real-time data. For systematic end-of-day traders - which is what I teach and practice - this is not a limitation at all. It is exactly what you need.
How Much Does Norgate Data Cost?
Norgate subscriptions are available in 6-month or 12-month terms. Monthly subscriptions are not available. The 12-month option saves you roughly 10% compared to two 6-month subscriptions.
Here is the pricing for the recommended Platinum package:
| Market | 6 Months | 12 Months | Currency |
|---|---|---|---|
| US Stocks | $346.50 | $630.00 | USD |
| Australian Stocks | $346.50 | $630.00 | AUD |
| Canadian Stocks | $346.50 | $630.00 | CAD |
You can subscribe to one market or multiple. Each market is a separate subscription.
Subscriptions are not renewed automatically - Norgate does not retain your credit card details. You renew manually when your term expires.
Is a free trial available? Yes. Norgate offers a 3-week free trial so you can evaluate the data, test the software integration, and confirm it meets your needs before committing.
For the complete price calculator with all tiers and currencies, visit the Norgate Data website.
How Do You Get Started with Norgate Data?
Getting started is straightforward:
- Start the free trial - Sign up for the 3-week free trial to test the data and integration with your preferred software
- Choose your market and package - Select the market(s) you trade and the subscription level (Platinum recommended)
- Install the Norgate Data Updater (NDU) - This Windows application manages your data downloads and updates
- Connect to your trading software - Set up the plugin for AmiBroker, reference the data in RealTest, or install the Python package
- Schedule automatic updates - Configure NDU to update automatically so your data is always current
The entire setup process takes less than 30 minutes, and Norgate's documentation walks you through each step.
Click here to start your Norgate Data free trial
For AmiBroker users, I have a complete step-by-step setup guide with videos: How to Set Up Norgate Data with AmiBroker
Frequently Asked Questions
Does Norgate Data include dividend and split adjustments?
Yes. Norgate automatically adjusts all historical prices for stock splits, dividends, and other corporate actions. This means your backtest calculations - indicators, returns, and position sizing - are based on correctly adjusted data without any manual work on your part.
Can I use Norgate Data on a Mac?
Norgate Data Updater is a Windows application. If you use a Mac, you will need to run Windows through a virtual machine (such as Parallels or VMware) or use a Windows-based Virtual Private Server (VPS). Many systematic traders use a cloud-based VPS for their trading infrastructure regardless of their personal computer setup.
How often is Norgate Data updated?
Norgate provides end-of-day updates after each market's close. You can schedule the Norgate Data Updater to download automatically at a time that suits you, so the data is ready when you sit down to run your systems.
Does Norgate Data work with platforms other than AmiBroker and RealTest?
Yes. Norgate also integrates with MetaTrader, NinjaTrader, Optuma, and several other platforms. They also offer a Python API and data export in ASCII and MetaStock legacy formats. Check the Norgate Data accessibility page for the full list of supported platforms.
What happens to my data if my subscription lapses?
Access to the Norgate database requires an active subscription. If your subscription expires, you will no longer be able to access the data through any of the supported plugins or APIs. You can resubscribe at any time to restore access.
Is Norgate Data worth it for a beginner?
If you are serious about learning systematic trading and backtesting your own systems, then yes. Starting with quality data from day one means every backtest you run and every system you develop is built on a solid foundation. The alternative - starting with free data and rebuilding everything later when you discover the results were wrong - is far more expensive in both time and money.
Ready to Start Using Norgate Data?
If you are a systematic stock trader who takes backtesting seriously, Norgate Data is the best end-of-day data provider available for US, Australian, and Canadian markets.
Start with the free 3-week trial, choose the Platinum package for your primary market, and begin building your systems on data you can trust.
