Backtesting in Excel

Discussion in 'Strategy Development' started by CPTrader, May 2, 2004.

  1. Who backtests their trading systems in Excel?

    Could you please share your expereinces, pros, cons, how you go about setting up the backtest in Excel, etc. ?

    Thank You.
  2. mind


    we do things in "R", C++ and Excel. depending on the issue we choose the surface. Excel is perfect to derive quick results on single markets. extremly easy to implement. cell references only. i would recommend some simple rules, like time runs from left to right and from abov to below. this means that no cell can know anythig that stands right or below, but is allowed to use whatever available left and above. thigs like that help a lot when things become complex - which is always the case sooner or later.

    this was done in Excel:
  3. mind


    sorry for the spelling mistakes ... was in a hurry.
  4. I do. Everybody else uses this-or-that proprietary software and right from the start several years ago I figured that using the same toolkit as everyone else would make it more difficult to develop and keep my edge.

    Since it's a very flexible tool you can do what you liek with it, from "hm, wonder whether X would work, let's check it on Y data" to full-blown step-by-step backtesting, stats and visualization.

    It requires a bit of programming but VBA is intuitive enough. Works for me.