Ultimate Algorithmic Trading System

CHAPTER 5
Using Microsoft
Excel to Backtest
Your Algorithm
The majority of the testing that has been performed thus far in the book was
carried out using either AmiBroker or TradeStation. These are complete trading
solutions and should be able to fulfill all the needs of a trader. However, some
traders would like to use software that they already have on their computer.
Microsoft Excel has been a major player in the trading algorithm arena since the
beginning. Spreadsheets combine data with formulas, and as we have seen these are
the major ingredients to trading algorithms. Several years ago, I developed a very
simple spreadsheet to help a client generate his trading signals for the next day. The
system incorporated several indicators across several different markets. The Excel
workbook turned out to be quite large and required the user to type in the daily data
after the close each day. Excel spreadsheets are very powerful but when it comes to
calculating indicators and trade signals they can become very cumbersome.
This is where VBA (Visual Basic for Applications) comes in very handy. VBA
combines the power of the BASIC programming language with the power of
spreadsheets. I have created a simple single-market algorithm-testing platform for
those who wanted to use Excel and VBA. I call it the Excel System Backtester, ESB
for short. Here is a version of the Bollinger Band algorithm that has been evaluated
in the previous chapters programmed in our ESB platform.
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The Ultimate Algorithmic Trading System Toolbox + Website: Using Today’s Technology to Help You Become a Better Trader. George Pruitt
© 2016 by George Pruitt. Published by John Wiley & Sons, Inc.
www.rasabourse.com