Build an Automated Spread Trading System in Excel

Build an Automated Spread Trading System in Excel

Overview

This Online Course shows you step-by-step how to build and utilize an effective automated spread trading model using Microsoft Excel. The system captures the price difference between security pairs of any type -- indexes, stocks, futures, options, LEAPs, etc. Spread returns are typically non-correlated with other investment and trading strategies, making the model an excellent addition to an overall asset management strategy.

The system uses three proven technical indicators--exponential moving averages, Percentage Price Oscillator (PPO), and Donchian Channels, to filter and capture situations where spread movement (and hence risk-adjusted profits) are likely to be greatest. Also presented are three real-world spread strategies, including Swiss Franc - Japanese Yen futures spreads, Nasdaq Composite - S&P 500 E-Mini spreads, and 10-Year vs. 5-Year U.S. Treasury Note spreads.

The system is optimized for use with daily or hourly data, but can be used on virtually any time interval. Data can be imported into the Excel model with a DDE link from your market data provider (a DDE link is advised if you plan to trade more than 3 spread pairs). You are shown how to build a data "hub" with a DDE link, or run the model with free .CSV data files available from Yahoo!Finance or another free source.

Also included is a pre-built Excel backtest model -- simply import historical data and see statistical and graphical results for your chosen spread strategy.

What You Get With Each Course: A Tremendous 3-in-1 Value!

»A complete Online Course PLUS VBA Code and FAQs sections

»Detailed instructions on importing price data into Excel using eSignal QLink and Yahoo!Finance

»A complete pre-built Backtesting Model in MS Excel with graphs and trade statistics for your historical analysis

»60 days of online access to access the course materials and learn how to build and use your new Trading Model

Features & Benefits

»Instantaneous access to the course materials with your own login and password provided at time of purchase (if purchasing through CCBill, otherwise course password is emailed to you)

»Learn to integrate Excel, VBA, formulas, and data sources into a profitable trading tool

»Acquire unique knowledge applicable to any Excel modeling or analysis project

»Save money by eliminating recurring software costs

»Calculate trading signals on a large number of stocks, funds, or spreads within seconds (limited only by Excel's data capacity)

Technical Requirements

»Microsoft Excel

»5 megabytes disk space (for data storage)

»Date-Time-Close price data on your chosen time interval

»Internet access (high speed DSL or cable modem suggested, but not necessary)

»OPTIONAL: DDE data import link for Excel through your data provider (advised for more than

5-10 securities, otherwise free price data from Yahoo!Finance or other source works fine)

Table of Contents

Introduction

Basic Technical Requirements

Three Profitable Spread Trading Strategies

Strategy 1: E-Mini S&P500 vs. Nasdaq 100 futures

Strategy 2: Swiss Franc vs. Japanese Yen futures

Strategy 3: 5-year vs. 10-year Treasury Note futures

3 Technical Indicators

Exponential Moving Averages

Percentage Price Oscillator (PPO)

Donchian Channels

Combined Trading Rules

System Architecture

Setting Up the Excel Workbook

Directory and File Structure

Spreadsheet Structure

Building the Indicator and Spread Formulas

Writing the VBA Macro Code

Visual Basic Editor window

Code Module

Writing the VBA Code

Checking the Code for Errors

Building the Signals/ Sheet

Labels and Formulas

Build the Ranges and Enter Tickers

Add a Control Button and Assign a Macro

Building the Data Source File

Loading Data from Other Sources

Loading .CSV or .TXT Files

Getting FREE Historical Data from Yahoo! Finance

Running the Model

Signals and What They Mean

Entry and Exit Techniques

Risk Management and Limiting Losses

Macro Errors

Frequently Asked Questions

Backtesting the Model