BenchMark_ET.xls measures Excel performance with 6 trading related Excel/VBA tests. Once the benchmark is complete, your results can be submitted to the Database (just press “Submit”). All submitted results are available here (all results are sortable). The default view is most recently submitted result topmost (so your result should be on top until you sort). System Information is listed along with each test result (processor name, OS, Clock Speed, Cores, Excel Version, File type). A composite Scoring system is in place, but each individual test result is also listed in the results database. All results can be sorted in ascending/descending order by clicking each result’s title. For best results disable autosave and background error checking in Excel options.

Instructions:

1. Download Benchmark_ET.xls.
2. Open Benchmark_ET.xls and press the button “Start Benchmark”
3. (optional) Submit and view your results.

Below is an explantion of each test:

Test 1: Data Build Time

Measures the time it takes VBA to create 5 columns * 65535 rows of random tick data.

Test 2: MACD VBA Calculation

Measures the time it takes VBA to calculate the MACD indicator for the 5 columns * 65535 rows of data created in test one. (The VBA code for the MACD calculation is here.)

Test 3: Dispayed Ticks (30 Sec)

Measures the number of ticks (price changes) than can be displayed in 30 seconds. In my original benchmark this was the only type of test. The results varied so greatly that newer versions of excel took hours to complete the benchmark while older versions took just minutes making the benchmark annoying to run. By limiting this test to 30 seconds the total time to run the benchmark will be similar among all systems tested.

Test 4: 63000 ticks converted to OHLC

After 63000 ticks are created, this test converts the tick data to OHLC data. The result is measured in time.

Test 5: Live formula Test

This test begins with with 5000 bars of OHLC and a series of formula based indicators. The last price changes in E5000 as rapidly as possible but waits for all formulas to calculate between each price change.  The benchmark result is the number of price changes that can be completed with formula recalculations within 30 seconds.  Below is the list of indicators calculated with live formulas in this test.

1. SMA (100,200,300)
2. RSS
3. RSI
4. Fisher Transform of RSI

Test 6: Live formula Test

This test is identical to test 5 except that all formulas also refer to and are dependent on the changing cell, E5000. Test 6  compared to Test 5  is meant to test the “smart recalculation engine” promoted by Microsoft.  More info can be found in this Microsoft article under the section titles “Understanding Calculation Methods in Excel”.

Scoring:

A composite scoring system is in place and the result is listed in column two on the results data base page and also at the top of the benchmark results form upon completion. With the exception of test 3 all tests are counted equally. Test 3, which tests displayed ticks on a stock chart is counted 3 times because for trading it’s an important result to consider. To establish the composite score 20 tests were run on various systems and excel versions. The best and worst scores for each test were used to establish the benchmark score. The best scores from the initial tests resulted in a score of 100 and the worst scores resulted in a score of 0 therefore scores greater than 100 and below 0 are possible.  On the results page idle processor speed is shown and overclocked systems may not show the true processor speed. If you see two systems that look the same with significantly different scores, the higher score is likely from an overclocked system. Thanks for trying my Excel benchmark and submitting your system’s result!

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
            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
            
            
            

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

1. Disable Auto recover by selecting Tools>Options and selecting the “Save” tab. Uncheck “Save AutoRecover info every:”.  Instead make it a practice to always save backups of your trading files anytime you make changes.
2. Once your file is complete and you are ready to trade, disable error checking by selecting Tools>Options and selecting the “error checking” tab. Uncheck “Enable background error checking”.
3. Disable Macro Security, by selecting Tools>Macro>Security and setting it to low. If you are going to download excel files off the internet from untrusted sources, you will want to temporarily re enable macro security.
4. As previously posted, I would not suggest using Vista/2007 unless you have a newer computer with extremely fast processor.

MACD example in excel.

This post answers the following question.

“I have recently been trying to chart historical data in Excel in a bar chart format and found the “canned” graph allows only for high, low, and close, but not the open.  Do you have a simple way to add the open tick to a bar chart in Excel?”

There are four types of stock charts included in excel.

High Low Close

Open High Low Close

Volume High Low Close

Volume Open High Low Close

Select the Open High Low Close option.

If you want to also plot volume which I suspect may be the case, I always just used the Open High Low close chart then add in the volume as a new bar chart on the stock chart. To do this:

first setup your stock chart with open high low close. It should look something like this.

Next

click on the outer edge of the chart so that it is highlighted, click on “chart” from the menu bar and select “add data”. Select the volume column as your data.

Now your chart will look messed up because volume is plotted on the primary axis (along with price).

To change this just right click on the volume bar series (on the chart itself) and select “format data series”. next click on the “axis tab” and change to “secondary axis”. Next you may want to change the secondary axis scale so that volume stays way down below price. Once that is done your chart should look something like this.

Sub TWITTER()
Dim symbol As String
Dim Price As String
Dim xml, Username, Password, tweet
Set xml = CreateObject(“MSXML2.XMLHTTP”)
‘change this to your username in quotes
Username = “yourusername”
‘change this to your password in quotes
Password = “yourpassword”
‘let the symbol variable have the symbol name from your excel sheet
symbol = Workbooks(“yourworkbook.xls”).Worksheets(“yoursheetname”).Range(“a1 or your range”)
‘let the Price variable have the symbol name from your excel sheet
Price = Workbooks(“yourworkbook.xls”).Worksheets(“yoursheetname”).Range(“a2 or your range”)
‘contruct the “tweet” this would create “Just bought a gazillion shares of (whatever $SYMBOL you have in A1) @ (whatever price you have in A2)
tweet = “Just bought a gazillion shares of ” & “$” & symbol & ” @ ” & Price
‘post the tweet
xml.Open “POST”, “http://” & Username & “:” & Password & “@twitter.com/statuses/update.xml?status=” & tweet, False
xml.setRequestHeader “Content-Type”, “content=text/html; charset=iso-8859-1″
xml.Send
Set xml = Nothing
End Sub

If added to an existing excel trading system it may be best to set this to run 20 seconds or so after your actual trade is sent to avoid any interference which can be done as follows

Application.Ontime Now() + timeserial(0, 0, 20), “TWITTER”

]]> http://exceltrader.net/180/how-to-post-your-ats-trades-in-twitter-using-excel/feed/ 0 http://exceltrader.net/158/add-indicator-excel/ http://exceltrader.net/158/add-indicator-excel/#comments Fri, 10 Apr 2009 23:37:02 +0000 ExcelTrader http://www.exceltrader.net/?p=158 If you have ever tried to add a simple moving average (or any data series) to a stock chart you may have noticed that after adding the series, the chart got all messed up!

Here is a short tutorial and an example file showing how to add a simple moving average to a stock chart. I am going to use the Simulator.xls as and example. It should be noted that all the unused columns on the BarData sheet (currently K-IV) of the simulator can be used to add indicators of your choice.

Trick number one. the =NA() trick

To plot a simple moving average (SMA), the formula is =AVERAGE(E132:E150)

So that would go in R150 on BarData Sheet.

There is a problem though. Excel will try to plot something when there is not enough data to average or even when there is an error. Here is an example of a chart we are trying to avoid.

The keep the chart clean, I want to generate the error NA# whenever I do not want anything plotted.

so to keep things looking right, change the formula in R150 to =IF(ISBLANK(E132),NA(),AVERAGE(E132:E150))

which means:

“If there is not enough data for this simple moving average, then give me NA# (so excel does not plot anything) otherwise just calculate the average.”

Next just drag and copy this formula from R150 up to R19 (the first cell where it is possible to have enought data to calculate the average!)

Now all that is left is to add this moving average to the chart. It’s surprisingly tricky though.

1. Right click on the chart and select “source data”

the following screen comes up. Click on “add” and fill it in as follows. (make sure there are some numbers in column R)

2. Select OK and take a look at the chart. Things should look funny on the chart now. Don’t worry about it, just find the data series “indicator”. It should be somewhere on the chart. In my case it plotted this price moving average on the secondary axis which is volume!

Hover your mouse around the volume series looking for “indicator”. Right click on the “indicator” series and change it to primary axis from secondary axis (which will be hidden somewhere down in the volume bars if it’s on the secondary axis. It can be hard to find/click on, if it is you may want to zoom in)

Now “indicator” should be plotted up there with price, but now the price chart will be all messed up!!!!!! (see how the first bar is missing parts!)

Next you once again need to hover your mouse around the price series looking for “indicator” when indicator is visible, right click on it and select “chart type”.

The following screen comes up and just select XY (Scatter) as shown and press OK.

Now the chart will look normal again.

The last step is to properly format this scatter chart to look like a line. For the last time find the “indicator” series on the chart and right click on it. This time select “format data series” and set it as follows.

Select “OK” and the resulting indicator should like like this.

One final tip.

Use google! If you are wanting to add a stochastic indicator for example, but don’t know how to calculate it. Try the following search:

stochastic filetype:xls

This will return tons of Excel files described with the word stochastic. There is a good chance that you will find a nice example there. If you have no luck, next you should search investopedia.com, which often explains the calculations.