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This post includes two example excel files that show both VBA and Formula based calculations for the indicator "Stochastics".
Both files contain the exact same set of Open High Low Close data. The formula based version should be easier to understand and serves as a way to verify that the VBA code that I wrote is correct. Both methods give the same result for both %k and %D. The major benefit of using VBA is that the parameters for Stochastics can be easily changed from the input boxes. In addition the VBA method shows only the final result rather than take up five columns.
The VBA based version can be downloaded here.
The formula version can be downloaded here. Below is an image of the formulas used in the formula based version.
Below is the code that I wrote for the VBA based version.
Sub ETstochastic() 'written by Exceltrader www.exceltrader.net
Dim StochSetting As Integer, Ksetting As Integer, Dsetting As Integer
Dim A() As Double, B() As Double, C() As Double, D() As Double, E() As Double
Dim Count As Long
Dim Xcounter As Integer, Xavg As Double
Dim Zcounter As Integer, Zavg As Double
Dim x As Integer, y As Integer, z As Integer
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
'' The below three lines are the Stochastic settings.
'' The Values can either be changed here or uncomment the inputbox lines to be prompted.
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
StochSetting = 14 'InputBox(Prompt:="Enter Stoch settings Number of Periods.", Title:="Stochastic Period", Default:="13")
Ksetting = 2 'InputBox(Prompt:="Enter Moving Average For %K", Title:="%K Setting", Default:="5")
Dsetting = 3 'InputBox(Prompt:="Enter Moving Average For %D", Title:="%D Setting", Default:="6")
Set ws = ThisWorkbook.Worksheets("Svba")
With ws
LR = .Cells(Rows.Count, "A").End(xlUp).Row
'does the same as formula =E15-(MIN(D1:D15))
For Each DataRange In ws.Range(.Cells(2, "A"), .Cells(LR, "A"))
Count = DataRange.Row
ReDim Preserve A(1 To Count)
If Count >= StochSetting + 1 Then
A(Count) = .Cells(Count, "E") - Application.Min(ws.Range(.Cells(Count - StochSetting, "D") _
, .Cells(Count, "D")))
End If
Next DataRange
'does the same as formula =MAX(C36:C50)-MIN(D36:D50)
For Each DataRange In ws.Range(.Cells(2, "A"), .Cells(LR, "A"))
Count = DataRange.Row
ReDim Preserve B(1 To Count)
If Count >= StochSetting + 1 Then
B(Count) = Application.Max(ws.Range(.Cells(Count - StochSetting, "C"), .Cells(Count, "C"))) _
- Application.Min(ws.Range(.Cells(Count - StochSetting, "D"), .Cells(Count, "D")))
End If
Next DataRange
'=100*(I50/J50)
ReDim Preserve C(StochSetting + 1 To UBound(B))
For Count = StochSetting + 1 To UBound(B)
C(Count) = (A(Count) / B(Count)) * 100
Next Count
'=AVERAGE(K49:K50)
ReDim Preserve D(StochSetting + Ksetting To UBound(B))
For Count = StochSetting + Ksetting To UBound(B)
For Xcounter = Count - Ksetting + 1 To Count 'just go back and get the first C and go forward to current
Xavg = C(Xcounter) + Xavg
Next Xcounter
D(Count) = Xavg / Ksetting
Xavg = Empty
60; Next Count
ReDim Preserve E(StochSetting + Ksetting + Dsetting - 1 To UBound(B))
For Count = StochSetting + Ksetting + Dsetting - 1 To UBound(B)
For Zcounter = Count - Dsetting + 1 To Count 'just go back and get the first C and go forward to current
Zavg = D(Zcounter) + Zavg
Next Zcounter
E(Count) = Zavg / Dsetting
Zavg = Empty
Next Count
x = Empty: y = Empty: z = Empty
x = LBound(E)
y = UBound(E)
'put the stochastics on the workbook. Change column Letter as needed
.Cells(x - 1, "J") = "%D"
.Cells(x - 1, "I") = "%K"
For z = x To y
.Cells(z, "J") = E(z)
.Cells(z, "I") = D(z)
Next z
End With
End Sub
This post includes links to two example xls files that show both VBA and Formula based calculations for the indicator MACD or Moving Average Convergence Divergence.
Both files contain the exact same set of Open High Low Close data. The formula based version is easier to understand and serves as a way to verify that the VBA code that I wrote is correct. Both methods give the same result. The major benefit of using VBA is that the parameters for MACD can be easy changed from the input boxes. In addition the VBA method shows only the final result rather than take up five columns.
The VBA based version can be downloaded here.
The formula version can be downloaded here. Below is the code from the VBA based version.
Sub ETmacd() 'written by Exceltrader www.exceltrader.net
Dim EMAslow As Double, EMAfAst As Double, ws As Worksheet, LR As Integer
Dim eMaF() As Double, eMaS() As Double, EMAdif(), emaPer() As Double, MacDper As Double, coUnt As Integer
Dim DataRange As Range
Dim ExPSlowWeight As Double
Dim ExPFastWeight As Double
Dim PerWeight As Double
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
'' The below three lines are the MACD settings. ''
'' The Values can either be changed here or uncomment the inputbox lines to be prompted.''
'''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''''
EMAslow = 13 'InputBox(Prompt:="Enter Macd Slow settings.", Title:="MACD SLOW", Default:="13")
EMAfAst = 5 'InputBox(Prompt:="Enter Macd Fast settings.", Title:="MACD Fast", Default:="5")
MacDper = 6 'InputBox(Prompt:="Enter Macd Period settings.", Title:="MACD Period", Default:="6")
ExPSlowWeight = 2 / (EMAslow + 1)
PerWeight = 2 / (MacDper + 1)
ExPFastWeight = 2 / (EMAfAst + 1)
Set ws = ThisWorkbook.Worksheets("VBA") 'or use exact sheet name for example ThisWorkbook.worksheet("Sheet1")
'slow
With ws
LR = .Cells(Rows.coUnt, "A").End(xlUp).Row
For Each DataRange In ws.Range(.Cells(2, "A"), .Cells(LR, "A"))
coUnt = DataRange.Row + 1
'fill the eMA slow Array
ReDim Preserve eMaS(1 To coUnt)
If coUnt = EMAslow + 1 Then
'get the first value which is the Simple Moving average
eMaS(coUnt) = Application.Average(ws.Range(.Cells(2, "E"), .Cells(coUnt, "E")))
ElseIf coUnt > EMAslow Then
eMaS(coUnt) = (.Cells(coUnt, "E") * ExPSlowWeight) + (eMaS(coUnt - 1) * (1 - ExPSlowWeight))
End If
Next DataRange
'fast
For Each DataRange In ws.Range(.Cells(2, "A"), .Cells(LR, "A"))
coUnt = DataRange.Row + 1
'fill the eMA slow Array
ReDim Preserve eMaF(1 To coUnt)
If coUnt = EMAfAst + 1 Then
'get the first value which is the Simple Moving average
eMaF(coUnt) = Application.Average(ws.Range(.Cells(2, "E"), .Cells(coUnt, "E")))
ElseIf coUnt > EMAfAst Then
eMaF(coUnt) = (.Cells(coUnt, "E") * ExPFastWeight) + (eMaF(coUnt - 1) * (1 - ExPFastWeight))
End If
Next DataRange
ReDim Preserve EMAdif(EMAslow To UBound(eMaF))
For coUnt = EMAslow + 1 To UBound(eMaF)
EMAdif(coUnt) = eMaF(coUnt) - eMaS(coUnt)
Next coUnt
'MacD Period
Dim x As Integer, y As Integer, z As Integer, Avee As Double
y = EMAslow + MacDper - 1
For x = y To UBound(EMAdif) - 2
'get the SMA for first value
If x = y Then
For z = EMAslow + 1 To EMAslow + MacDper '(EMAslow + MacDper - 1)
Ave = Ave + EMAdif(z)
Next z
ReDim emaPer(x To LR)
emaPer(x) = Ave / MacDper
ElseIf x > y Then
emaPer(x) = (EMAdif(x + 1) * PerWeight) + (emaPer(x - 1) * (1 - PerWeight))
End If
Next x
x = Empty: y = Empty: z = Empty
x = LBound(emaPer)
y = UBound(emaPer)
For z = x To y - 1
.Cells(z + 1, "J") = EMAdif(z + 1) - emaPer(z)
Next z
End With
End Sub 'written by Exceltrader www.exceltrader.net
In the previous version of Stockbacktest.xls, running the download and backtest in Excel 2000 resulted in an improperly scaled chart. This problem has now been fixed.
If you have ever wanted to take your existing Open High Low Close historical trading data and convert it into larger time frame, the following Excel VBA based data converter I wrote may do the trick.
DataConverter.xls allows you to configure the Number of OHLC bars that should be condensed down into a single bar. You also can list the file name, sheet, and columns where your data is located. The data will almost instantly be transformed into the higher time frame you have requested.
Instructions:
- Download DataConverter.xls
- Open DataConverter.xls. (Quickstart!: Skip the directions below. Just Open file and press “Convert” to see how it works with default settings.
- If you have OHLC Data in a workbook, open that file (you can also just use the default sample data that is contained on the sample data sheet in DataConverter.xls)
- Enter the Column letter for each type of data (Time/date, Open, High, Low, Close, Volume)
- Enter the Name of the WorkBook and worksheet that contain the data. For example, to convert 1 Minute bars to 4 minute bars, simply enter 4. To convert 3 minute bars to 15 minute bars enter 5 (5*3=15) etc etc.
- Finally press the “Convert” Button. The converted data will appear in a new workbook. Save as desired.
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S&P ES Chart: Channels Excel Based Automated Channels. Updated every five minutes (9:05 EST to 4:15 EST). Click image for full size.
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