Using TraderXL Pro to Build an Algorithmic Trading System (ATS)

• 3 min read

Early last year I worked hard on building an Excel based Algorithmic Trading System ([[ATS]{.small-caps}]{#lw_1199241401_0 .yshortcuts}) and I made considerable headway using TraderXL Pro and Yahoo real time quotes before I got distracted by the birth of my son. It’s since been ignored and sitting in a directory on my computer but I’m considering continuing its development this year. As part of getting my head around this task again, I decided to share with my readers some tips and tricks I learned so that you too can start building your own Excel based Algorithmic Trading System. I consider myself a power user of Excel and I use the backend modules of TraderXL Pro to do a lot of the basic analytic analysis.

For the more in depth analysis, I write my own macros and then apply them to any downloaded data I have. Tonight I want to touch on an old post again and share with you a trick on how to automate some calculations using TraderXL Pro. (The best part about the TraderXL Pro package is that I can simultaneously download stock data, apply my pre-built modules, and then link it to a real time (or delayed) quote interface. I did this all with[]{.push-double} [“]{.pull-double}one click” of a button and used it extensively for my [ETF]{.small-caps} Trend system.) I posted a free linear regression slope macro in my popular Build an ETF Trend System post which you could use to build a generic ETF trending system.

The post contained the Excel macro code, a spreadsheet with some [ETF]{.small-caps} price data that readers could download, and that’s about it. You could apply the macro using Excel’s Run function but that’s about all you could unless you had the TraderXL Pro modules installed.  So for this post, I’m going to apply that same macro to the BulkquotesXL module, download new data, and automatically create the linear regression slope data[]{.push-double} [“]{.pull-double}on the fly” (automating this task can save you hours of hard work if you are downloading hundreds of stock symbols daily so pay attention!), this of course means you have to install TraderXL Pro (trial version) on your system.

[Step 1]{.underline} - Download and install TraderXL Pro (use this package because it has a macro viewer in it)

[Step 2]{.underline} - Download my Excel spreadsheet (MasterDownloadNMT010108.xls) and open it. You should see the TraderXL Pro modules install into Excel

[Step 3]{.underline} - On the BulkquotesXL menu, select Download/Refresh Data. This will download the new data and create the sheets automatically

[Step 4]{.underline} - Copy[]{.push-double} [“]{.pull-double}MasterDownloadNMT010108.xls!Module2.LinReg” exactly and without quotes into the Autorun Macro column of the BulkquotesXL Settings tab

[Step 5]{.underline} – Select Download/Refresh Data again. This will re-download the stock/ETF data and simultaneously create an 8, 13, and 26 Week linear regression slope columns.

That should do it! You now have over 15 stock/ETF symbols downloaded into separate sheets and a pre-built macro applied to each one. You could then link this data into another spreadsheet or set of calculations that will help you generate buy and sell signals (more on this topic later) for your [ATS]{.small-caps}. In my future Excel based [ATS]{.small-caps} posts, I plan on sharing with my readers how to build bigger macros, transform more stock data, and how to apply it to real time watch list that generates BUY/SELL signals. As with all my other posts, if you have any questions please leave me a comment and don’t forget to subscribe to my feed on the way out!

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