Where to find historical investing data?

[akratic]

I'm a computer programmer who would like to crunch some numbers to learn about investing. Deriving things myself (such as why a mix of bonds and stocks is better than 100% stocks or 100% bonds) has always been the most educational approach for me.
The big challenge though is that I can't find the data. Does anyone know where to get historical market data? I know about Google Finance, Yahoo Finance, and http://www.econ.yale.edu/~shiller/data.htm
I don't want to pay a lot of money, but I guess at the end of the day I would. I want to see for myself the trade offs between dividend stocks or growth stocks, etc. Or perhaps run my own simulations of different asset allocations. I really like the approach used on http://FIREcalc.com but I would like to go more in depth.

[JohnnyH]

"I'm a computer programmer who would like to crunch some numbers" Famous last words!
What kind of data? EOD is all over the web... Or are you looking at minute? Equities, futures, options? Tick data is an utter PITA to database.
You might need to get an data provider trial, then snag all the data you want.

[jacob]

You can get historical closing prices from Yahoo (Historical Data). Things like earnings is much more work. You either have to find a database provider (a few like S&P and msn.moneycentral over 10-20 years for free) or dig through the annual reports.

[Marius]

A great starting point is Simba's backtesting spreadsheet.

It is highly regarded by the members of the Bogleheads forum and lets you do compare all kinds of portfolios in a matter of minutes.

http://www.bogleheads.org/forum/viewtopic.php?t=2520
Simba lists the data sources and their scope under the "Sources" tab of the spreadsheet.

[JohnnyH]

Earnings.com has a good breakdown of earnings with: date, EPS estimate/actual/previous year.
With the Firefox extension TableTools it's easy to grab.