I've decided to start my 2nd thread and hence my 2nd GNU C++ project put forward on this forum. Again this uses Excel 2003 and another DLL. In a Nutshell, the computer programming involves taking a universal list of trades (generated elsewhere) that you could all take given infinite amount of money and producing a sample list of trades (from this population) after applying a set of rules with a finite amount of money. Does that sound familiar???
Anyway I will send an email to Joe to attach a zip file, since I find that is the best way to get programming projects attached. The zip file is called PBT20140616.zip and contains the following files:
BTDLL.dll - GNU C++ compiled dynamic link library
BTDLLTest.xls - Tests basic functionality of above dll file
PBT.xls - Performs a backtest on a given trade list
Note: Please make sure the xls files are in the same directory as the dll file and that macros are enabled :-)
BTDLLTest.xls shows you how the dll functions and in Excel 2003, you need to press ALT-F8 to run the macros or you can view all the vba code by pressing ALT-F11. I've done it this way so that people can get an understanding of the backtesting functionality and the power of VBA :-)
PBT.xls allows a user to do simple backtesting from the universal list of trades displayed in the highlighted yellow rectangle. You can create your own trades and test them out if you want. I have limited the amount of trades to 200 unique entry dates. You can do a single backtest or a monte carlo. Note: Might need to scroll across a lot to see all results.