Testing Trade Strategy with VBA ECEL
Budget: $30 – $250 USD
13/10/2021
Project title
Testing a very simple trade Algorithm by mechanize the calculations and verification process with VBA ECEL.
The Company
Our company is trading company bases in Israel. We trade Israel and American derivative. A potential client ask us for this small project. If the project will be successful there is an option for much more complicated and profitable additional projects.
Job Description
We want to test a simple trading intraday algorithm.
The excel inputs are stock prices and the time for the trade it is intra day meaning only one day. Bar size is the amount of prices in different time frames, we need to check the Algorithm for (1,5,10,20 min etc) time frames.
The buy signal is activate when the a couple of parameter fulfill. In the attach excel file Algorithm_Roles is a list of parameter for buy signal and after that for sell signal please see also explanation for each parameter.
Testing Algorithm requirement
1. 25,000 USD as a position size.
2. I fee of 0.1 per share of each buy or sell- the number of shares is Calculated by (25,000/ share price you get from the excel data)
3. The total hold time should be less than 30%.
4. Calculate the average win rate % it should be more than 55%
5. The Algorithm should be tested by you on at least 10,000 bars or/and on at least 100 trade events.
Dictionary for each parameter calculation
OPEN – the open price of the stock
CLOSE – the close price of a stock
LAST – last price of a stock.
SMA - ( Sum ( Price, n ) ) / - if the time frame is 10m you calculate the average for the first 10 minutes than you add the new price and remove the first price.
MACD – the formula for MACD calculation is explain in the . MACD_calculation excel file. The amount of data to calculate is according to time frame, we only need MACD filed there are more calculation that you do not need.
RSI –
1. First, calculate the changes in price for each price Chng = Closet – Closet-1.
2. sum all zero or up moves, and sum all down and zero moves.
3. AvgU = sum of all up moves (U) in the last N TIME FRAME divided by N
4. AvgD = sum of all down moves (D) in the last N TIME FRAME divided by N
5. RS = AvgU / AvgD.
6. RSI = 100 – 100 / ( 1 + RS).
SLOPE (the slope of SMA) - calculate the slope of SMA. The X axis is the price of the stock , Y axis is the SMA value.
I add excel file with the Algorithm roles. You buy the stock when all the values are higher or lower according to the parameters value in the file. There are two set of parameter conditions to buy and one set of parameter conditions set to sell.
To buy or sell all the condition must be valid
For fast execution 2 days additional bonus will be added
Thanks
Dimitry
Project title
Testing a very simple trade Algorithm by mechanize the calculations and verification process with VBA ECEL.
The Company
Our company is trading company bases in Israel. We trade Israel and American derivative. A potential client ask us for this small project. If the project will be successful there is an option for much more complicated and profitable additional projects.
Job Description
We want to test a simple trading intraday algorithm.
The excel inputs are stock prices and the time for the trade it is intra day meaning only one day. Bar size is the amount of prices in different time frames, we need to check the Algorithm for (1,5,10,20 min etc) time frames.
The buy signal is activate when the a couple of parameter fulfill. In the attach excel file Algorithm_Roles is a list of parameter for buy signal and after that for sell signal please see also explanation for each parameter.
Testing Algorithm requirement
1. 25,000 USD as a position size.
2. I fee of 0.1 per share of each buy or sell- the number of shares is Calculated by (25,000/ share price you get from the excel data)
3. The total hold time should be less than 30%.
4. Calculate the average win rate % it should be more than 55%
5. The Algorithm should be tested by you on at least 10,000 bars or/and on at least 100 trade events.
Dictionary for each parameter calculation
OPEN – the open price of the stock
CLOSE – the close price of a stock
LAST – last price of a stock.
SMA - ( Sum ( Price, n ) ) / - if the time frame is 10m you calculate the average for the first 10 minutes than you add the new price and remove the first price.
MACD – the formula for MACD calculation is explain in the . MACD_calculation excel file. The amount of data to calculate is according to time frame, we only need MACD filed there are more calculation that you do not need.
RSI –
1. First, calculate the changes in price for each price Chng = Closet – Closet-1.
2. sum all zero or up moves, and sum all down and zero moves.
3. AvgU = sum of all up moves (U) in the last N TIME FRAME divided by N
4. AvgD = sum of all down moves (D) in the last N TIME FRAME divided by N
5. RS = AvgU / AvgD.
6. RSI = 100 – 100 / ( 1 + RS).
SLOPE (the slope of SMA) - calculate the slope of SMA. The X axis is the price of the stock , Y axis is the SMA value.
I add excel file with the Algorithm roles. You buy the stock when all the values are higher or lower according to the parameters value in the file. There are two set of parameter conditions to buy and one set of parameter conditions set to sell.
To buy or sell all the condition must be valid
For fast execution 2 days additional bonus will be added
Thanks
Dimitry
Related categories:
Excel VBA