I described one simple money management system in my previous post. We need data for similar backtest so it is good to know few handy webpages with very long historical financial data serie for free. As I am mainly invest / trade on daily/weekly/monthly time frames I could give you short list only for this data granularity (and not tick, minute or hourly data granularity).
finance.yahoo.com - well known and absolutely great site, free daily data for stocks traded on US exchanges, several currency pairs, commodity and interest rates data series
http://www.irrationalexuberance.com/ - data from Robert J. Shiller famous book Irrational Exuberance. Stock index data, earnings, dividends, interest rates and CPI for USA from 1871 with monthly granularity. There is also building cost index and home price index for real estate in USA.
http://www.measuringworth.com/ - absolutely great site with very long data series on CPI, GDP, wages, interest rates, exchange reates and price of gold with yearly granularity. Price of gold is from year 1257 which is astonishing.
http://research.stlouisfed.org/fred2/ - data sources from FED with various granularity. Great history of interest rates and various inflation metrics. Great data serie is PPI index as it can be used as long commodity price index (for free).
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html - famous Fama/French data library with data history for various Fama/French factor portfolios - market, value, small cap minus large cap, momentum and with industry portfolios.
http://eh.net/databases/ - mostly macroeconomic data with some commodity data series
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