Full ASX Excel Spreadsheet, page-24

Kiara,

Glad to someone is getting some use out of the sheet. I don't think it is possible to get back dated data for all the data types in my sheet. You could of course save the data from my sheet each day and build your own database.

Getting historical data from yahoo is as easy as putting this URL http://ichart.finance.yahoo.com/table.csv?s=BHP.ax into your browser. It will give you data for BHP back to 1987. This data will of course only contain open, high, low, close & volume.

Now if you want to do this on a grand scale obviously putting a URL into your browser 2000+ times would be not be impossible but it would be rather tedious.
There is a thread over at "Aussie Stock Forums" http://www.aussiestockforums.com/forums/showthread.php?t=28615. This guy has written a little perl script to do all this in one click.
All you need to to is install perl (very simple) and run his script which downloads historical data from Yahoo. The script looks in a csv file called "symlist.csv" which contains a list of ASX company codes of your choice.
He has gone one step further and included another script to convert the data into MT4 format and be charted in a MT4 program. If you haven't used MT4 it is an awesome free platform with countless charting indicators that have been written for it.

His thread gives a good explanation of how to get it all working. If you follow it closely it is fairly easy and a great way to get historical data into a chart.