Ultimate Algorithmic Trading System

performance of the trading system. There is enough information provided to help
determine if your particular algorithm is good enough for either trading or further
research. As you can see, the interface is simple enough—load data, test system,
plot equity. The hard stuff is getting into the VBA and creating a trading algorithm
with the tools at hand.
■ Programming Environment
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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
The BASIC (an acronym for Beginner’s All-purpose Symbolic Instruction
Code) programming language was introduced in the 1960s but became popular
in the mid-1970s. BASIC quickly became the most popular interpreted language
for beginners. Over the years, compiler companies have extended BASIC into
professional software development. Microsoft has been using BASIC derivatives for
decades and it is at the heart of VBA. When you code your trading algorithm in
to the ESB, you will be programming in pure BASIC. You will see a lot of lines of
code (I wish I could hide them, but the VBA Editor doesn’t allow for collapsible
text regions) that you will not need to understand (unless you want to). There
are just three major sections with which you will need to concern yourself. But
before we get into all that, launch your Microsoft Excel and make sure you see the
Developer tab in the Ribbon. If you don’t see it, then you will need to turn it
on. You can do this by simply clicking the File menu and then selecting Options.
After Excel Options dialog opens scroll down to Customize Ribbon and click on
it. Figure 5.7 shows the Customize Ribbon dialog and where to click to get the
Developer Tab to show up in the Ribbon.
Once you return to a blank worksheet, the Developer tab should now be
visible. Now go to the www.wiley.com/go/ultimatealgotoolbox and download
the ExcelSystemBackTester.zip file to your C: drive and unzip it. The zip file
contains two folders: Algorithms and Data. Get to the Algorithms folder and open
the BollingerDX spreadsheet. The spreadsheet that opens should look similar to
Figure 5.3. Now click on the Developer tab and the Ribbon should take on this
appearance (see Figure 5.8).
The only icon that we are concerned with is to the far left of the Ribbon, Visual
Basic. Click on the icon/button and the Visual Basic Editor (VBE) will launch.
Make sure your VBE looks like the one in Figure 5.9.
There’s a lot of stuff here. But we are just interested in the modules that are
inside the red oval from Figure 5.9. You don’t need to mess with anything else if
you are just interested in using the ESB to test your trading ideas. The window that
contains the modules is called the Project Explorer. It simply groups all the files
in the project together for convenience.
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