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Interesting Research Idea

I am interested in the most cost effective way for a research project. I have considering trying to do a historical stock end of day test for seasonality:

The general outline of the type of analysis I wish to conduct-

Build and query a historical end of the day data base for the most complete list of securities possible. I want to be able to look back in time and perform seasonal percentage price change analysis with user defined dates. For example, I want to look at the worst performing stocks for June 1, 1992 through August 30th and then look at their price change from Sep 1, 1992 through February 28th 1993. It would also be optimal to filter by other standard criteria such as market cap, exchange traded or stock price. The obvious challenges of doing this include but are not limited to; listing, de listing, splitting, dividend adjusting.

Can this be done? do you have any idea how I could build this cheaply, or If their is a current provider of this service, or do you have any other suggestions as to whom I could ask about this? The data is relatively cheap for this, but how could I format it to complete this project, can you advise me on how to format the data, can you advise me on how to perform my analysis?

Thank you for your time and consideration.