Ultimate Algorithmic Trading System

learning curve. You don’t need to know VBA to invoke the indicator or trading
functions. You will just need to follow the included templates.
If you are interested in learning some VBA and want to see under the hood, a
discussion of the source code is included in the ESB appendix. First off, let’s learn
how to use the software and its indicator and trading functions. The VBA tester is
based on one large loop. The software loops through each and every bar of data and
allows the user to create indicators and analyze patterns and make trading decisions
on each and every bar. Conceptually, it works like AmiBroker and TradeStation,
but doesn’t have all the bells and whistles. It can only test one market at a time, and
has limited performance metrics. However, it is sufficient to get your feet wet,
and since the source code is open, you can take it and do as you want.
■ VBA Functions and Subroutines
The heart of this algorithm is a 60-day Bollinger Band, and just like AmiBroker,
you get access to this indicator by calling a function:
Call BollingerBand(myClose, 60, 2, avg, upBand, dnBand, i, 1)
Some indicators return a single value and some return several. This function call
is actually a subroutine that returns three parts of the Bollinger Band indicator:
the moving average, the top band, and the lower band. The subroutine needs five
inputs or arguments to calculate the bands: price (myClose), length (60), number of
deviations (2), the current bar we are on (i), and the offset (1). Don’t worry about
the difference between a subroutine and function because in this application they do
the same thing, return indicator values. The only difference is in the way you call the
indicator and how the indicator values are assigned. Notice the difference between
a pure function call and our BollingerBand subroutine call:
myHH = Highest(myHigh, 20, i, 1)
Call BollingerBand(myClose, 60, 2, avg, upBand, dnBand, i, 1)
The function Highest returns a single value and that value is assigned to the
variable myHH. The subroutine BollingerBand is invoked by preceding the name
of the subroutine with the keyword Call. The values that are used for trading decisions
are included in the list of arguments that are passed into and out of the subroutine.
The information that is passed to a function is only used by the function internally and
is not passed back. The variable in our function call, myHH, holds the output off
the function. In this case, it will be the highest high of the past 20 days starting from
yesterday. A neat feature of VBA is that once you define functions or subroutines, the
editor will help you fill out the argument list just like AmiBroker. (see figure 5.1.)
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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
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