Ultimate Algorithmic Trading System

FIGURE 5.12
This error message appears if your algorithm does not have enough ramp-up data.
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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
can be properly calculated. You must be careful and make sure you provide enough
ramp-up data for your algorithm. If you don’t, the computer will halt and provide
an error message like the one in Figure 5.12.
This looks like a scary error message but it’s simply telling you that you are trying
to go back further in time than you have specified. The commsn variable is what
the computer will deduct from each round-turn trade. In this example it is set to
100; you can change this to any value you think might be appropriate. This is also
a good area to set up any user-defined variables that you might need to use later in
your code. Let’s say you have a special calculation that uses a constant value, like a
profit objective. You could set this up by using the following code:
rampUp = 5 ’ how many days needed in calculations before trading
commsn = 100 ’ commission per round turn trade
myProfitTarg = 0.02 ’ I just put this line of code in
Later on, in the source code you can use myProfitTarg to help calculate where
a profit might be taken. This is a very good time to mention that VBA, in most
cases, is case insensitive. This means the two variable names, myDayCount and
mydaycount, are one and the same. Ignoring case can cause sloppy-looking code
and difficult readability. It’s good programming etiquette to use the same case
throughout a program. As I have mentioned in a previous chapter, I personally like
using a capital letter in a variable name where a new word begins, but not the first
letter of the variable name. Here are some examples you can use as a template
for your variable names: myProfitTarg, longDayCount, myStopAmt. You
have also got to be careful not to step on one of the keywords that is used by
the ESB. Unlike AmiBroker or TradeStation, VBA will not tell you ahead of time
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