Ultimate Algorithmic Trading System

FIGURE 5.10 Comment text in VBA code is written in gray. It is also indicated by the single
quote at the beginning of each line.
data (row 3 in our case) holds the date, open, high, low, close, volume, and open
interest for one day of data. Think of the data as just in one big table consisting of
rows and columns. If you want the data of the very first bar, you would access it
using the following notation: Cells (3, 1). In Excel, cells refer to the entire table and
the first index value inside the parentheses refers to the row number and the second
index value is the column number. Cells (3, 2) refer to the open price of the very
first bar. A newcomer to VBA might not know this nomenclature so it is included
in this comment block. Since all of the data is being read into individual arrays you
do not need to concern yourself with notion of cells, unless you want to.
Scroll down in the code until you find a comment block that looks like the one in
Figure 5.11.
All the code that you scrolled through until you got to this point can be ignored.
This area of the source code is used to set up any system-specific variables. The
two lines of code following the comment block set rampUp to 100 and commsn
to 100. Notice there are lines of comments to the right of each variable assignment.
These are inline comments to let you know what that exact line of code is doing.
You will again see the single quote (‘) preceding the comment. Whatever follows
the single quote is ignored by the computer, be it at the beginning of a line of code
or right in the middle. The rampUp variable informs the computer that the trading
algorithm needs 100 days of data for calculation purposes before it can initiate
trading. If you want to test a 100-day simple moving average algorithm, you would
need to tell the ESB to skip the first 100 days of data so that the moving average
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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
FIGURE 5.11
This is where the VBA comments end and the actual source code begins.
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