If you haven’t come across the great data resource Quandl.com I highly suggest in doing so. A portion of the data that I used in writing my latest book came from Quandl, specifically the wiki futures or CHRIS database. Here is the link:
There is a ton of free futures data. The different contracts are concatenated into large files. However, the rollover discount is not taken into consideration so the data “as-is” is somewhat un – testable. I am in the process of scrubbing the data as well as creating a “Panama” adjustment to the contracts in the large files. As soon as I complete this task I will provide the data on this website. Purchasers of my latest book will find 10+ plus years of history of continuous futures data that I pieced together from several different sources, including Quandl.