Finding a high-quality data source is crucial for quantitative trading strategies. Also, having a long history is beneficial. Fama & French, for example, offer free historical data for stocks and a variety of factors. However, it is very hard to get good-quality and free data for other asset classes. For this reason, we have already examined how to extend historical daily bond data to 100 years.
For any event-driven analysis or to perform stress tests of various historical situations, long-enough data can only help. Whether one wants to analyze past market patterns, or simply examine the risk of their portfolio under different historical scenarios, the use case for long data is pretty straightforward.
Following the theme of our previous article, we decided to extend historical data of another asset class, commodities. This article explains our commodity data methodology and introduces data sources, which helped us extend historical daily commodities data to 100 years.