The Ultimate Algorithmic Trading System Toolbox + Website by Pruitt George;

Author:Pruitt, George;
Language: eng
Format: epub
Publisher: John Wiley & Sons, Incorporated
Published: 2016-05-23T00:00:00+00:00

Figure 5.4 The DataMaster worksheet can help you store the values of your commodities and futures contracts.

These data properties were derived directly from the underlying data. If you don't get these values right, then your results will be completely wrong. Most data vendors will provide this information when you purchase their end-of-date (EOD) historic database. I use two data vendors, CSI and Pinnacle, for commodity and futures price quotes. You can buy deep historic databases from either of these vendors for a very reasonable price. If you purchase data through a reliable vendor, then you know you are getting quality data. You can cobble data together from various free services on the Internet, but remember GIGO (garbage in garbage out). For the ExcelSystemBackTester, I utilize data provided by CSI, but you can utilize any data as long as it is in ASCII and delimited by commas. The DataMaster can be used as a template and is fully editable. Some vendors use different decimal locations for the same market. If this is the case, you have got to make sure your DataMaster reflects the correct Tick Value and Min Tick.

The Results worksheet is the repository of all your trades and performance metrics. Every trade covers two rows, one for entry and one for exit. A profit or loss is calculated when a trade is exited and the cumulative profit or loss is updated as well. Figure 5.5 is an example of the Results worksheet where several trades and the performance metrics associated with them are listed.

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