Ultimate Algorithmic Trading System

The money management order is placed by calling the Trade subroutine with
the following parameters: ExitLong, ‘‘ExitLongStop,’’ entryPrice − 2000/
myTickValue, stp, i. Here we are informing the Trade subroutine to liquidate
our long position on a stop at a price equivalent to the entryPrice − $2,000.
The trade price can be represented by a single variable name or it can be a
mathematical expression. In this case, we convert $2,000 to points by dividing
2,000 by myTickValue. Remember, you have got to make sure your units are
compatible. If you are working with prices, then you must convert dollars to a price
level. It would be a mistake in this case to forget to divide by myTickValue. Let’s
say you entered a trade in the DX at 129.050 and wanted to risk $2,000. If you
didn’t convert to points, then the exit price would be 129.050 – 2000. This doesn’t
make sense. Just remember to convert all dollar figures to points.
The time-based order is placed after the long position has been in a trade for more
than 10 days and is in a losing position. The variables barsLong and entryPrice are
keywords so don’t use them in an assignment statement—just look, don’t touch.
If barsLong > 10 tells the computer to ignore the ExitLong order until the
trade has been on for at least 10 days and the and myClose(i) < entryPrice
tells the computer to ignore the order if the position is in the profit. The orders
to exit a short position use the keyword barsShort, and the logic myClose(i) >
entryPrice.
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),
End If
End If
moc, i)
Once you type in your trading logic, simply return to Excel and go to the Data
worksheet and click on the Run System button.
■ Summary
All the tools that you need to calculate indicators, analyze price bar relations, manage
open trades, and execute them are all built into the ESB. The best way to learn
how to program your trading algorithms using VBA is by following along as many
examples as you can. The end of this chapter has a couple more simple examples
that you should be able to build upon.
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USING MICROSOFT EXCEL TO BACKTEST YOUR ALGORITHM
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