Norgate Data Alternatives for Systematic Backtesting

Norgate Data Alternatives for Systematic Backtesting

Survivorship-free EOD bundles are excellent for backtests. Here is where API-delivered, point-in-time data fits and where it does not.

What Norgate Data Does Well

Norgate Data is a favorite among systematic backtesters for one reason: it ships survivorship-free end-of-day data, including delisted securities, with clean handling of splits, dividends, and historical index membership. The data is delivered as a managed local database that plugs directly into platforms like Amibroker, RealTest, and Python through its own package, which removes much of the plumbing a backtest usually requires.

The product is built around correctness for backtesting rather than breadth or real-time delivery. For a researcher running daily-frequency strategies on US and Australian equities and futures, that focus is exactly what makes it valuable, and it is why the data has a strong reputation among people who care about avoiding biased results.

Why Researchers Look for Alternatives

The first reason is the delivery model. Norgate is a subscription to a maintained local dataset updated by a desktop application, which suits some workflows and not others. A researcher who wants on-demand API access from a cloud job or a language outside the supported set may prefer a different shape.

The second reason is scope. Norgate concentrates on EOD equities and futures for specific regions, so anyone needing intraday granularity, options data, or wider international coverage needs another source. The third reason is the recurring one: survivorship-free prices are a foundation, not a complete research stack, and they do not include corporate-event feeds or point-in-time fundamentals.

A concrete example shows the boundary. Suppose you backtest a delisting-aware momentum strategy. Norgate's inclusion of dead tickers is precisely what keeps the test honest. Now suppose you want to add a financing-event filter that shorts names after a dilutive offering. That signal is not in an EOD bundle, however clean, and has to come from a separate dataset.

The Alternatives

Polygon.io (Massive) provides API-delivered US price data with deep history and flat-rate pricing, which suits cloud-based and Python-first workflows. Tiingo offers clean EOD data at a low price for daily-frequency research. Databento is the choice when the requirement shifts toward intraday and tick-level data.

The key property to preserve when you switch is point-in-time correctness, including survivorship. Our piece on avoiding survivorship bias explains why dead tickers matter, our explainer on point-in-time market data covers the broader discipline, and our roundup of the best market data APIs for algorithmic trading maps the API field.

Comparison Table

Where Norgate Still Wins

For platform-based backtesting where survivorship-free EOD data is the core need, Norgate is hard to beat on value and convenience. The local database is fast, the index-membership history is genuinely useful, and the integration with backtesting platforms removes work that an API leaves to you. A researcher who lives in Amibroker or RealTest gives up real convenience by moving to a raw API.

The trade is convenience and built-in correctness against flexibility and breadth. If your workflow fits Norgate's supported platforms and regions, the managed dataset is doing useful work for you. If you need cloud access, intraday data, or coverage it does not carry, an API plus your own point-in-time discipline is the path.

The Layer EOD Bundles Leave Out

Survivorship-free prices remove one major backtest bias. They do not supply the corporate-event signals or point-in-time fundamentals that many systematic strategies trade on. An EOD bundle records that a share count changed when it adjusts for a split, and it does not tell you a company filed a dilutive offering yesterday.

Alphanume's dilution events dataset fills that gap, parsing SEC filings into dated, machine-readable events, and the historical market cap dataset adds point-in-time size aligned to each trading day. These layer on top of whichever price source you use, so you keep survivorship-free prices and add the event and size context that an EOD bundle does not carry.

How to Choose

Stay with Norgate if you run platform-based backtests and survivorship-free EOD data in its supported regions is your main requirement, because it does that job cleanly and cheaply. Move to a cloud API when you need on-demand access, intraday depth, or wider coverage, and carry the point-in-time discipline with you. In both cases, add a structured event and size layer if your edge depends on corporate actions, because clean prices and research structure are separate problems.