Ultimate Algorithmic Trading System

FIGURE 5.5
metrics.
The Results worksheet lists multiple trades and their associated performance
Trades, and(4)Percent Wins. By the time this book is published, I should have
a few more calculated, such as: Average Trade, Average Win, Average Loss,
and Profit Factor.
The last worksheet in the ESB is labeled EquityStream and stores the daily
equity of the trading system. There is a Create Equity Curve button that launches
a simple macro that creates a chart (see Figure 5.6) and plots the cumulative
daily equity and drawdown. This chart gives a very quick snapshot of the overall
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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
FIGURE 5.6 The EquityStream worksheet has a button that launches a macro to create a chart
that plots the cumulative daily equity and drawdown.
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