I am trying to design a back testing spreadsheet to analyse where I
should place opening, limit and stop order positions for a spread
betting market. I have a spreadsheet that has four columns of
information: (i) open (ii) high (iii) low (iv) close (this is minute
data, i.e. each row looks at the open, high, low and close for that
minute). The spreadsheet is then broken up into two areas a long and
short position. For each position the spreadsheet calculates (i)
whether the position is open, (ii) whether the stop or limit has been
triggered. The spreadsheet then calculates how much has been made on
each position on a daily basis. Excel knows whether a position is open
or a stop/limit has been hit because for each position it looks at
specific criteria I have chosen, e.g. in cell AA1 I have written the
number 15 i.e. I want the position to open when the market moves 15
points up or down (depending on the position). In total I have 6 cells
which contain this information, e.g. a open, stop and limit for each of
my two positions (long/short). Essentially I want excel to calculate
what the optimum levels (maximum profit) is based on moving these
positions around. I have tried to use solver but I have too much data
in my spreadsheet, e.g. 5 min data for every weekday for a year (60,000
cells in total). If anyone thinks they can help, please contact me and
I will provide whatever extra information is needed. I must point out
that I have no vba knowledge so basic explanations please.


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Richard Payman
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