Recently I have been exploring the more complicated aspects to
trend following and a purely systematic approach to trading. I enjoy the idea
behind a systematic trend following approach to trading, taking out the
emotions and doubt. However, before I would even consider attempting this (or any
for that matter) approach, I will submit it to a rigorous back-test to ensure
it will actually be profitable in the market. For me, this meant making a
relatively complicated excel spreadsheet.
It is still in the works but I thought I
would put a draft version up here to see if anyone had any advice for
improvements or to point out any mistakes I have made. Currently the
spreadsheet is split up into 4 sheets; an Executive Summary page, an Inputs
page, a Raw Data page, Dividends, and Calculations page. At the moment most of
the work is going into the calculations page where the real magic happens. So
far the spreadsheet will take the inputs put into the inputs page (No. days
high/low, initial capital, capital at risk) and calculate when a trend is occurring
that you would buy or sell. The spreadsheet will then calculate any profits or
losses on each trade and give you an updated capital figure. A summary will be
displayed on the Executive Summary page that will have a graph of capital over
the length of time specified, amount of profit/loss, and a count of how many
buy/sell signals occurred over the period.
However, this excel spreadsheet is still
incomplete. I have not yet included the dividends as a type of income to
increase the capital on hand (as I use the high and lows of the day in my
calculations, I cannot use an adjusted figure.). Also I have not yet managed to
effectively pyramid the trades to buy more shares as a trend continues, a
fundamental part of trend following. Due to these flaws, the macro I have been
developing to take the raw data, run the calculations I want and then display
all of this information is currently useless. Once I have ironed out these
flaws I will create the macro again, which will hopefully work the way I
envision it and save me a lot of time. I just hope my computer can handle it as
I have had some issues with excel/my computer crashing due to an overloaded CPU
(I guess it isn't that unexpected when you are trying to do ~32 million
calculations simultaneously!)
