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@Calvo and @Coincahca, which platform do you recommend, both for sourcing the historical data, testing, and its integrated programming capabilities. I usually use MATLAB for coding, but that's cause I am coming from engineering background. So, one option for me is to use say IG API to pull data and execute trades, and keep my processings in MATLAB. But of course it may just be easier and quicker in a platform with integrated programming capabilities. Falling into data science category, I suspect python would be the choice for most platforms and Algo developers. So I don't really mind switching if that's the case instead of trying to reinvent the wheel.

What I have in mind is not really an Algo that executes trades based on MAs or indicators. It's more a risk management scheme, in which trade parameters (take profit, stop loss, etc) come out of an statistical analysis. The analysis does not need to be updated live, but only when market conditions changes.