Diversified Trend Trading - Excel Projects
Overview
Welcome to this hip thread of endless levels of spreadsheet action, intense graphs and pie charts with mind boggling formulas and calculations.
The primary purpose of this development project is to pass on the skills to build a standard model in MS Excel that can be used for comprehensively backtesting a portfolio of instruments across any asset class. Once we have built confidence in our model, then we will be in a position to expand it's capabilities.
The reason why we are choosing a standard template for this training exercise is that if we can all get on the same page regarding the method we apply to developing our models, then at a later date, the participants in this thread can morph into a development and testing team where we can mutually collaborate on project extensions and share ideas in relation to robustly backtesting trading systems, trade execution modules and enhanced functionality.
We may also choose at a later date to develop a live trading solution using Application Programming Interfaces (APIs) that can seamlessly integrate with our backtesting models and allow for trade execution and ongoing trade management using Excel......but that will be a later exercise if things turn out as planned.
I will start from a blank slate assuming no prerequisite skills in Excel but will assume that:
1. You have MS Excel 2013 or later; and
2. That you have a working knowledge of general housekeeping functions in Excel like saving files and how to enter and copy and paste formulas etc.
There will be a bit of visual basic programming that we will step through to facilitate automation but once this has been developed, you will not be requiring ongoing VB programming skills......so if you are not a programmer..which BTW I am not......then don't panic. It will all be set out clearly and in a step by step manner so you can get the hang of it yourselves. Fred (RedLineFred) is assisting in this element as he has produced a number of VBA modules used herein.
So why are we doing this?
Well, if you are like me, then there is a chance you get frustrated with off the shelf back-testing solutions which restrict your abilities to develop backtesting solutions so that they conform to the program. If you really want to take control and understand your trading system, then learning how to achieve this from ground roots up is a very worthwhile exercise.
It's the old mantra "Give a man a fish and you feed him for a day. Teach a man to fish and you feed him for a lifetime". By developing the system yourself, you are going to really understand your trading system which will only help in the long run to build your confidence in your trading capabilities.
Also on a purely selfish basis, I am looking to collaborate with other like-minded folk in the Excel development space but as an introductory exercise, am attempting to ensure that a community of Excel developers evolves who have a standard way of doing things. It will make life a thousand times easier if we can all speak the same language and can refer to our models in the same way in our discussions.
Rules of the Thread
Initially this thread will adopt a tutorial style of approach where I step through the process and ask participants to join me in following the demonstrations and mimicking what is taught. As such this thread is not a general chit-chat thread and needs to stick to questions about the content only. I will promise to avoid any fluff and annoying music videos (like my other thread) if you all do the same.
Once we have learnt the basics and have a working model up and running, then we will progress with future development plans, but until that time, please refrain from discussing ideas that might throw us off course or slow down progress.
I will be providing updates to this thread on a weekend only basis. This way, it will not interfere with your ongoing trading activities and it will also give you some time to digest the info and work on it before each new session.
I will be active on my home thread Diversified Trend Trading Approach at all times relating to trend trading and musical interludes in general but will be restricting my involvement in Q&A and providing session info to this thread at weekends only. I hope you guys don't mind.
We need to be tolerant on this thread regarding any query of concern by a poster that relates to this threads content. It is a learning exercise and all are welcome. Those already proficient in Excel need to be mindful that initially we all have various skill levels, and we might need to be a bit patient as we initially progress. Over time we can ramp things up a bit..but to start with..let's just suck and see.
I am fully expecting that there are many more proficient excel experts out there than me but to start with at least bear with me and the guidance given. I am going to be needing enhanced skills down the track with future development work and improvements so you can showcase your advanced skills at that point.
For the purposes of this thread, the focus is on trend trading under a portfolio. I know that many of you won't be necessarily trend traders but at least to start with, be a trend follower. You can choose your own path once the initial portfolio management system is developed.
Future Projects and Confidentiality
While this thread will teach the basics for anyone interested in developing their own portfolio back-testing solution, I understand that some of you have concerns about sharing hard earned code and solutions.
As a result for those that wish to keep things more secure and not available on the public domain I plan to setup a dropbox account to house files associated with this project and its future development which can be shared between committed participants of this thread. If you wish to utilise this more secure format, please PM me and share your email address for contact.
I will maintain a list of these participants in the dropbox file with details on who can share folder access so we can all keep track of who is who in the zoo and cross collaborate via email.
There will be enough info on the thread to keep most of you occupied, but if you are wanting more involvement and are unwilling to share specific project info, then this option at least is available to you.
Thread Contents
Below is the proposed agenda of how this thread will unfold. I will update the index with hyperlinked topics as we progress so we can quickly navigate around the thread from this initial post.
Basic System Development Module
Overview
Welcome to this hip thread of endless levels of spreadsheet action, intense graphs and pie charts with mind boggling formulas and calculations.
The primary purpose of this development project is to pass on the skills to build a standard model in MS Excel that can be used for comprehensively backtesting a portfolio of instruments across any asset class. Once we have built confidence in our model, then we will be in a position to expand it's capabilities.
The reason why we are choosing a standard template for this training exercise is that if we can all get on the same page regarding the method we apply to developing our models, then at a later date, the participants in this thread can morph into a development and testing team where we can mutually collaborate on project extensions and share ideas in relation to robustly backtesting trading systems, trade execution modules and enhanced functionality.
We may also choose at a later date to develop a live trading solution using Application Programming Interfaces (APIs) that can seamlessly integrate with our backtesting models and allow for trade execution and ongoing trade management using Excel......but that will be a later exercise if things turn out as planned.
I will start from a blank slate assuming no prerequisite skills in Excel but will assume that:
1. You have MS Excel 2013 or later; and
2. That you have a working knowledge of general housekeeping functions in Excel like saving files and how to enter and copy and paste formulas etc.
There will be a bit of visual basic programming that we will step through to facilitate automation but once this has been developed, you will not be requiring ongoing VB programming skills......so if you are not a programmer..which BTW I am not......then don't panic. It will all be set out clearly and in a step by step manner so you can get the hang of it yourselves. Fred (RedLineFred) is assisting in this element as he has produced a number of VBA modules used herein.
So why are we doing this?
Well, if you are like me, then there is a chance you get frustrated with off the shelf back-testing solutions which restrict your abilities to develop backtesting solutions so that they conform to the program. If you really want to take control and understand your trading system, then learning how to achieve this from ground roots up is a very worthwhile exercise.
It's the old mantra "Give a man a fish and you feed him for a day. Teach a man to fish and you feed him for a lifetime". By developing the system yourself, you are going to really understand your trading system which will only help in the long run to build your confidence in your trading capabilities.
Also on a purely selfish basis, I am looking to collaborate with other like-minded folk in the Excel development space but as an introductory exercise, am attempting to ensure that a community of Excel developers evolves who have a standard way of doing things. It will make life a thousand times easier if we can all speak the same language and can refer to our models in the same way in our discussions.
Rules of the Thread
Initially this thread will adopt a tutorial style of approach where I step through the process and ask participants to join me in following the demonstrations and mimicking what is taught. As such this thread is not a general chit-chat thread and needs to stick to questions about the content only. I will promise to avoid any fluff and annoying music videos (like my other thread) if you all do the same.
Once we have learnt the basics and have a working model up and running, then we will progress with future development plans, but until that time, please refrain from discussing ideas that might throw us off course or slow down progress.
I will be providing updates to this thread on a weekend only basis. This way, it will not interfere with your ongoing trading activities and it will also give you some time to digest the info and work on it before each new session.
I will be active on my home thread Diversified Trend Trading Approach at all times relating to trend trading and musical interludes in general but will be restricting my involvement in Q&A and providing session info to this thread at weekends only. I hope you guys don't mind.
We need to be tolerant on this thread regarding any query of concern by a poster that relates to this threads content. It is a learning exercise and all are welcome. Those already proficient in Excel need to be mindful that initially we all have various skill levels, and we might need to be a bit patient as we initially progress. Over time we can ramp things up a bit..but to start with..let's just suck and see.
I am fully expecting that there are many more proficient excel experts out there than me but to start with at least bear with me and the guidance given. I am going to be needing enhanced skills down the track with future development work and improvements so you can showcase your advanced skills at that point.
For the purposes of this thread, the focus is on trend trading under a portfolio. I know that many of you won't be necessarily trend traders but at least to start with, be a trend follower. You can choose your own path once the initial portfolio management system is developed.
Future Projects and Confidentiality
While this thread will teach the basics for anyone interested in developing their own portfolio back-testing solution, I understand that some of you have concerns about sharing hard earned code and solutions.
As a result for those that wish to keep things more secure and not available on the public domain I plan to setup a dropbox account to house files associated with this project and its future development which can be shared between committed participants of this thread. If you wish to utilise this more secure format, please PM me and share your email address for contact.
I will maintain a list of these participants in the dropbox file with details on who can share folder access so we can all keep track of who is who in the zoo and cross collaborate via email.
There will be enough info on the thread to keep most of you occupied, but if you are wanting more involvement and are unwilling to share specific project info, then this option at least is available to you.
Thread Contents
Below is the proposed agenda of how this thread will unfold. I will update the index with hyperlinked topics as we progress so we can quickly navigate around the thread from this initial post.
Basic System Development Module
- Downloading and Setting up the Basic Module - Current
- Getting familiar with the Basic Module - Weekend 3 July 2016
- Creation of Portfolio Manager (PM) - Next upcoming topic on this thread
- Creation of TradeManager (TM) - Upcoming
- Creation of PortfolioCreator (PC) - Upcoming
- Troubleshooting - Upcoming
Future Projects
- TBA
Looking forward to a fruitful thread. Just remember that my contributions to this thread will be restricted to the weekends.......starting next weekend.
Cheers
C
Basic Module Files for Downloading
