Backtesting Trader Excel

Backtest Trading strategies & Evaluate End-of-day Trading Strategies With Historical Data

Backtesting Excel Is Only Sold As Part Of Trader Excel Package

Backtesting Excel, part of Trader Excel Package , is an add-in for backtesting trading strategies in Microsoft Excel. It enables you to test and evaluate end-of-day trading strategies using historical data. Users can use VBA (Visual Basic for Applications) to build strategies for Back Testing Excel. However, VBA knowledge is optional - in addition to using VBA-constructed trading rules, you can construct trading rules on a spreadsheet using standard pre-made backtesting codes.

Backtesting Excel Details

Back Testing Excel supports advanced functionality, such as pyramiding (change of position size during an open trade), short/long position limiting, commission calculation, equity tracking, out-of-money controlling, buy/sell price customizing (you can trade at Today's or Tomorrow's Open, Close, High or Low prices). Such functionality enables you to build "natural" trading strategies and prevents you from putting your strategies in "frames."

Back Testing Excel creates informative and highly detailed strategy test performance reports. Each report has seven tabs:

Summary Report - the most important backtesting results in a compact form

Data Series Report - trades, equity and profit/loss dynamics displayed in tabled and chart formats

Trades Report - trades grouped by positions

Trades (chronological) Report - trades in chronological order

Signals Report - all signals produced by a strategy and their results (order processed or not)

Settings Report - all configuration settings

Strategy Code Report - containing raw strategy code.

AutoFiltering

The Trades, Trades (chronological) and Signals reports have an AutoFiltering option that, when implemented, can produce more refined reports. Filtering is a quick and easy way to find and work with a subset of data in a list. A filtered list displays only the rows that meet the criteria you specify for a column. Unlike sorting, filtering does not rearrange a list. Instead, it temporarily hides rows you do not want displayed. When you activate AutoFilter, arrows appear to the right of the column labels in the filtered list. AutoFilter can be used, for example, to display just short trades, profitable trades, or trades executed after some specified date, or just those signals that resulted in trades.

Features Summary:

Simple strategy creation

Strategy code can be developed using Excel or VBE (Visual Basic Environment)

7-page informative and detailed strategy test performance report

Equity tracking (initial capital and commissions)

Separate long and short position limitations

Pyramiding support

To backtest a trading strategy, Back Testing Excel iterates through all rows of historical data, executing strategy code for each row of data. Strategy code consists of these basic building blocks:

Function	Action	Syntax
DT	Returns Date	DT(Day)
OP	Returns Opening Price	OP(Day)
HI	Returns High Price	HI(Day)
LO	Returns Low Price	LO(Day)
CL	Returns Closing Price	CL(Day)
VOL	Returns Volume	VOL(Day)
OI	Returns Open Interest	OI(Day)
RNG	Returns Range Value	RNG(UpperCell, Day)
Buy	Creates Buy Signal	Buy(NumberOfShares, SpecialOrder)
Sell	Creates Sell Signal	Sell(NumberOfShares, SpecialOrder)

Day is a day reference to previous days in this format: Today - N. For example, CL(Today - 1) will return Yesterday's Closing price, CL(Today) or CL will return Today's Closing price.
UpperCell is an upper cell (the cell with a label) in the column of values that you wish to use in your strategy code. For example, RNG("G1", Today) will return values from cells under the "G1" cell.
NumberOfShares is the number of shares to Buy or to Sell.
SpecialOrder is the command to Buy/Sell at special price, different from default. For example, Buy(100, "Open") command will execute an order to buy 100 shares (contracts) at the opening price.

Backtesting Principles

There are two ways to create strategies:

Trading rules are programmed in a spreadsheet. This way is more time consuming, but does not require any special knowledge - only basic knowledge of Microsoft Excel.
Trading rules are programmed using VBA (Visual Basic for Applications) and stored in a special module of a workbook. This way is less time consuming, but requires basic knowledge of VBA.

Here is an example of a trading rule: Sell if Today's Open is greater than Today's Close, otherwise Buy. We can realize this rule in two ways:

1. Program the trading rule using a spreadsheet.

As you can see, the rule '=IF(B2>E2;"Sell";"Buy")' is located in each cell and produces buy/sell signals.

Back Testing Excel code generated for this strategy can be re-used to produce buy/sell signals in other spreadsheets.

2. Program the trading rule using VBA.

There are no rules in the spreadsheet, just historical data.

Trading rules are written using VBA and stored in a special module

Backtesting Excel Is Only Sold As Part Of Trader Excel Package

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