Is there data available for backtesting on any major U.S. stock index (ideally the S&P 500) that goes back further than 1992 (ideally all the way back to pre- 1929 crash)?

Try the Y! Finance Provider (with dividend adjustments). You may not find any stock data that goes back that far, but they do have the Dow (^DJI) from about 1928.

This is may be of some interest to you.

US Listed and Delisted Stock data back to 1950 -

http://www.premiumdata.net/products/premiumdata/ushistorical.php

Database Coverage

Stock history is available back to January 1950 (over 58 years). Currently there are around 3500 securities on the NYSE, 600 securities on NYSE Amex, 800 securities on NYSE Arca, 3300 securities on the NASDAQ, and over 6000 securities on the OTC markets (OTC-BB, Pink Sheets, Other OTC). Our database also covers delisted securities dating back to 1950 (over 20,000 delisted securities). Index history is provided on over 800 indices including:

* Daily Dow Jones Industrial Average to its first day of inception in 26 May 1896, Dow Jones Transportation Average (1896) & Dow Jones Utility Average (1929).
* S&P 100 Index history back to inception in 1983
* S&P MidCap 400 Index history back to 1991
* S&P 500 Index history back to 1928
* S&P SmallCap 600 history back to 1995
* Comprehensive Dow Jones US indexes to 1997 (10 Industries, 19 Supersectors, 41 Sectors, 114 Subsectors using the ICB structure)
* Comprehensive S&P 500 Sector, Industry Group, Industry and Sub-Industry Indexes (using the GICS structure) back to 1989
* Comprehensive AMEX sector indexes to 1997
* All NASDAQ Sector & Fund indexes back to inception in 1971
* NYSE Composite Index back to 1966



Regards

Can anyone share any experiences here? Has anyone been successful getting data for the SPX back to 1950 into WLP?

Yahoo ^GSPC goes back to 1950. WLP is already set up to download from Yahoo.

Got it! Thanks Tumbleweed!