Ultimate Algorithmic Trading System

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TestSystem—this button reads the data that was dumped into the Data
worksheet and puts it into the seven data arrays. The program then starts looping
through each bar and flows through the user-defined entry and exit logic. If
the consequence of the user-defined logic results in a trade entry or exit, the
software makes a note and processes the order as if it was actually executed. At
the termination of the data loop, all trades are processed and an equity stream of
closed trade profits and open trade equity is dumped out into the EquityStream
worksheet.
Keep in mind this is a very simple program and can only work on one market one
system at a time. Figure 5.3 shows a typical layout of the Data worksheet.
The GetData component was previously actuated by simply clicking the button
and as you can see the different cells, open, high, low, close, volume, and
open interest, were then populated. Also, the Tick Value and Min Tick values
were cross-referenced in the DataMaster and their respective cells were filled in as
well. The DataMaster worksheet contains the symbols and their properties in the
current data universe. As you can see, stocks are not listed, but that doesn’t mean
you can’t test them. Commodities and futures contracts have different sizes and
values. These values must be stored somewhere so the software can gain access to
them during the testing process. Originally, the software simply asked the user
to input this information, but I quickly discovered this was way too cumbersome
and decided to create the DataMaster worksheet (see Figure 5.4).
These data properties were derived directly from the underlying data. If you
don’t get these values right, then your results will be completely wrong. Most
data vendors will provide this information when you purchase their end-of-date
(EOD) historic database. I use two data vendors, CSI and Pinnacle, for commodity
and futures price quotes. You can buy deep historic databases from either of these
vendors for a very reasonable price. If you purchase data through a reliable vendor,
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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
FIGURE 5.3
A typical Excel data worksheet.
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