your backtest is only as good as your data. spent $200/month on polygon.io and holy shit the difference vs free data.
what i was using (bad) #
alpha vantage free tier
- 5 API calls per minute (fucking useless)
- 500 calls per day max
- data sometimes delayed 15+ minutes
- missing bars constantly
- greeks calculated from who knows what IV model
backtested on this garbage data for 2 years. explains why my results don’t match live trading.
what i switched to (good) #
polygon.io pro plan ($199/month)
- unlimited API calls
- real-time data (websocket streams)
- clean OHLCV bars, no missing data
- proper options data with greeks
- historical data back to 2003
the data quality difference #
pulled same SPX option data from both sources for april 15:
alpha vantage:
- 342 bars for trading day (missing 28 bars)
- greeks randomly null on 15% of bars
- bid-ask spread data completely wrong
- volume data doesn’t match actual exchange volume
polygon:
- 370 bars for trading day (complete)
- greeks on every bar
- accurate bid-ask spreads
- volume matches exchange reports
when i reran my backtests on polygon data:
- sharpe dropped from 2.1 to 0.9
- win rate dropped from 58% to 51%
- max drawdown increased from 12% to 22%
basically my strategies looked way better on shitty data because the data had gaps i was accidentally exploiting.
cost justification #
$199/month sounds expensive for someone down $59k. but think about it:
if bad data costs me $500/month in:
- missed trades (bars missing)
- bad fills (wrong bid-ask spreads)
- wrong position sizing (bad greeks)
then $199/month is worth it to avoid those losses.
other options i looked at #
IEX Cloud ($99/month)
- good for stocks
- options data is meh
- no greeks
ThetaData ($50/month)
- amazing for options
- only historical, no real-time
- using this + polygon combo
Bloomberg Terminal ($2,000/month)
- LMAO no
- overkill for retail algo trader
the free vs paid debate #
saw people on r/algotrading arguing you can trade successfully with free data.
maybe for daily/weekly timeframes. not for options with 30-60 day expiry where accurate greeks matter.
switching my entire workflow #
migrating all my backtests to polygon data now. gonna take a week to:
- download all historical data i need (2020-2023)
- rerun every backtest
- rebuild strategies that fail with clean data
- test on paper before going back to live
already seeing strategies that worked on alpha vantage completely fail on polygon data. good to know NOW before i lose another $10k.
3:47am. $199/month hurts but losing $59k hurts more. data quality matters.
-AK