Backtesting Morning Range Breakout Using Excel VBA

[pmsinc 10]

I am looking for someone to help me code in Excel VBA a morning range breakout study. I have 7 years of 5 minute SPX data I bought to emulate the ES. I started some code but it is getting beyond my programming ability.

 

My thoughts were to measure the range of 10,30,60, etc minutes after 9:30 EST. Then to get the maximum proft and loss based on a breakout of that range.

Then see what the chances of getting X points per day would be over 7 years and look at the expectancy.

 

Is anyone interested in this that can code VBA?

[Tams 20]

it would be easier to download the free Ninjatrader and let the wizard to do it for you.

 

or, if you are serious about trading and backtesting,

get MultiCharts.

Edited May 10, 2009 by Tams

[BlowFish 10]

Years since I used excel with that caveat does it actually need programming? Can't you do it using cell formulas and queries? Tams suggestion is probably your best bet but it means learning how to use another bit of software.

[Harlequin 10]

it would be easier to download the free Ninjatrader and let the wizard to do it for you.

 

or, if you are serious about trading and backtesting,

get MultiCharts.

 

Does anyone have EL code for opening range breakout that works in MultiCharts? I couldn't find anything with Google but it feels like reinventing the wheel writing it from scratch.

[Tams 20]

Does anyone have EL code for opening range breakout that works in MultiCharts? I couldn't find anything with Google but it feels like reinventing the wheel writing it from scratch.

 

 

 

Coding it in EasyLanguage is not that difficult.

 

If you can articulate your thought/logic in English, you can code it in EasyLanguage.

 

I use the following process:

1. Write out one thought at a time,

2. Write out one action at a time,

3. Write out one action per sentence,

4. Write out one sentence per line.

 

in no time you will have your strategy coded in EasyLanguage.

[d.allen101 10]

Hi,

I'm a new member and I'm pretty proficient with excel/vba. I worked as a front-end developer for a proprietary options trading firm and they used excel as the client so I've done a fair amount of coding using vba...it's been about a year since I've fooled around w/ excel. I've been using C# but I wouldn't mind brushing on my vba skills... if you still need help give me a reply and I'll see what I can do.

[CarbonElemental 10]

If you are still interested in testing this (I see your post is 1 month old), I can run a basic test in about 15 minutes using Tradestation.

 

Regards

[Tams 20]

yes pls do...... ......

[CarbonElemental 10]

Here's the first pass results, equity chart from 9/06 to 6/24/09 (attached).

 

The steady profit trend on the graph was from 1/08 to 10/08 (peak equity was right before the Oct crash).

 

Some explanations and limitations:

1)This is run using 1 contract ES futures contract, $2.50/commission each way (what I pay)

2)Rules for the test:

*High and Low of the open bar (15 min on this test) set the breakout markers

*1 trade only per day

*Exit on the close

*Entry was by the first close above the open bar high, or below the open bar low

*No entries taken after 11AM

*No Stops or Profit targets used.

 

Numbers for the system, trading 1 contract:

Net profit - $20,585

Profit factor - 1.12

Percent profitable - 49%

Avg trade profit - $30

Max consecutive losing trades - 7

Max drawdown - $15k

Adjusted profit factor - 1.01

 

Because of the low net profit per trade, and low adjusted profit factor, the system would still need a lot more work.

 

Tradestation would not give me the 7 years of data I asked for yet (pending download) but hopefully this gives you a first crack at how it might fare.

Edited June 25, 2009 by CarbonElemental

[CarbonElemental 10]

Here's the system using a $1k stop on each trade.

 

$1k stop is the optimal over this span of data without adding in more filtering.

 

Net is that total profits are now $28,900 and profit factor of 1.09 raw (1.16 long and 1.03 shorts). 1.02 adjusted overall.

 

Max consec losing trades is 8.

 

Based on a visual scan of the trades, it would need to treat short and long trades differently, with the long trades needing more room stop wise and the short trades could have a tighter stop.