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Portfolio Backtesting in Excel 2003

Discussion in 'Software and Data' started by ajcode, Jun 16, 2014.

  1. ajcode


    Likes Received:
    Feb 12, 2014
    Hi again,

    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.



    Attached Files:

  2. trash


    Likes Received:
    Mar 31, 2012
    Power of VBA? Excel is awesomely slow and Excel 2003 allows just 65536 rows per sheet.
    So awesomely slow and limited are equal to powerful nowadays? ;)

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