Ultimate Algorithmic Trading System

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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
FIGURE 5.4 The DataMaster worksheet can help you store the values of your commodities
and futures contracts.
then you know you are getting quality data. You can cobble data together from
various free services on the Internet, but remember GIGO (garbage in garbage out).
For the ExcelSystemBackTester, I utilize data provided by CSI, but you can utilize
any data as long as it is in ASCII and delimited by commas. The DataMaster can be
used as a template and is fully editable. Some vendors use different decimal locations
for the same market. If this is the case, you have got to make sure your DataMaster
reflects the correct Tick Value and Min Tick.
The Results worksheet is the repository of all your trades and performance
metrics. Every trade covers two rows, one for entry and one for exit. A profit or
loss is calculated when a trade is exited and the cumulative profit or loss is updated
as well. Figure 5.5 is an example of the Results worksheet where several trades
and the performance metrics associated with them are listed.
The date, name of entry/exit signal, price of entry/exit, and the results of the trade
are listed chronologically. Currently there are only four major performance metrics
included in the worksheet: (1) Total Profit,(2)Maximum DD,(3)Number of
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