Ultimate Algorithmic Trading System

FIGURE 5.1
trading.
Once you define the Bollinger Band routine, you can easily incorporate it into
If you are trying to invoke a function or subroutine and this helper box doesn’t
appear, then you probably do not have the function/subroutine spelled correctly
or it doesn’t exist. All functions and subroutines in the ExcelSystemTester will
be listed and explained in the appendix. All functions and subroutines require
two bits of information: (1) the current bar and (2) how many days back to start
the calculations. In the case of the Highest function, the current bar is i and
the offset is 1. An offset of two starts the calculations the day before yesterday.
Remember, we are working in one big loop and each bar is examined by incrementing
the variable i.
■ Data
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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
Accessing the date, price, volume, or open interest data is accomplished by
using seven different arrays: myDate, myOpen, myHigh, myLow, myClose,
myVol, andmyOpInt. Two more arrays provide access to daily range and true
range: myRange and myTrueRange. Unlike AmiBroker’s array processing, you
must index these arrays to get the data for a particular bar. myOpen(10) is the tenth
bar’s open from the very beginning of the data. myDate(10) is the date of the bar
with myOpen(10) opening price. The arrays are synchronized. All data arrays are
preceded with my—so don’t forget this. Let’s say you want to see if yesterday was
a high pivot of strength one. This is how you would test for this occurrence:
If myHigh(i-1) > myHigh(i) and myHigh(i-1) > myHigh(i-2) then
End if
myHighPivot = 1
Remember, i is the current bar in the loop. So by subtracting 1 you get yesterday’s
bar and subtracting 2 gets the day before yesterday’s bar. If you add 1, then you will
have tomorrow’s data today and you can make a killer trading system. With this
information, you will finally have the Holy Grail in your grasp. On the other hand,
save yourself a lot of time and heartache by not adding—just subtracting. I can’t tell
you how many times a client has come to me with a 90% winning trading idea and I
burst their bubble once they discover they are taking advantage of future leak.Hereis
the best example of future leak: Buy tomorrow’s open if the high is greater than the
open. This obviously is a mistake, but other forms of future leak are more esoteric.
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