Ultimate Algorithmic Trading System

End If
If marketPosition = -1 Then
Call Trade(ExitShort, "ExitShortStop", entryPrice +
2000 / myTickValue, stp, i)
If barsShort > 10 And myClose(i) > entryPrice Then
Call Trade(ExitShort, "10dayShOut", myClose(i), moc, i)
End If
End If
If marketPosition = 1 Then
Call Trade(ExitLong, "ExitLongStop", entryPrice -
2000 / myTickValue, stp, i)
If barsLong > 10 And myClose(i) < entryPrice Then
Call Trade(ExitLong, "10dayLgOut", myClose(i), moc, i)
End If
End If
’****************************************************************
’**** End of Main Traiding Loop ****
’**** No orders allowed below this point ****
’****************************************************************
160
USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
This is the complete listing for this simple Bollinger Band system. Don’t worry
about any of the source code above the Main Trading Loop comment block:
’****************************************************************
’**** This is a good place to put all of your function calls ****
’**** and system calculations. ****
’****************************************************************
All of your programming will take place below these comments. For illustration
purposes, I immediately call four indicator functions/subroutines.
Call BollingerBand(myClose, 60, 2, avg, upBand, dnBand, i, 1)
simpleAvg = Average(myClose, 10, i, 1)
rsiVal = RSI(myClose, 14, i, 1)
Call Stochastic(3, 4, 7, stoK, stoD, slowD, i, 1)
This algorithm will just use the values modified in the BollingerBand subroutine:
avg, upBand, dnBand. Let’s look at the other function calls in the program:
■
Average. This function returns a moving average value for the past 10 days. Its
first argument is the data array that is to be averaged, and the second argument
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