Building an Automated Spread Trading System in MS Excel

This Guide 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 model with a DDE data link available from most market data providers. 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 source. A complete PDF Guide is provided along with a step-by-step Online Course so you can choose how to learn in the most comfortable way. Also included is a complete backtesting model -- simply import historical data and see statistical and graphical results for your chosen spread strategy.

- A complete PDF Guide showing you how to build and use the model
- A complete Online Course including everything in the PDF Guide PLUS VBA Code and FAQs sections
- A complete pre-built Backtesting Model in MS Excel with graphs and trade statistics for your historical analysis
- 30 days of online access to download the materials and learn how to build and use your new Spread Trading Model

- Instantaneous access to the PDF Guide, Online Course, and Backtesting Model with your own login and password provided at time of purchase
- 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 Buy/Sell signals on multiple spread pairs within seconds

Table of Contents
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
- Building the Directory and File Structure
- Building the Spreadsheet Structure
- Building the Indicator and Spread Formulas
Writing the VBA Macro Code
- Visual Basic Editor window
- Code Module
- Writing the VBA Code
- The VBa code Explained
- 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

Frequently Asked Questions

What will I learn in this course? Is it something I can learn somewhere else?
This course teaches you how to build the components, code, formulas, and data handling architecture for a functioning spread trading model. While it is possible to learn each part individually, no book shows you how to integrate all of these skills into a functioning trading model. The Course provides tremendous savings in time and money by alleviating the need to discover and implement the knowledge it takes to build institutional-level trading models in Excel. The Course focuses directly on building trading models without the unnecessary or over-generalized content found in most Excel and Visual Basic books. The knowledge is transferable to any type of trading, investment, statistical, or economic models.

Does the model have graphs or visual indicators?
Yes, the models contain graphs to show historical performance and trade signals versus price. The automated trading model you build is calculation-based, rather than a graphical charting tool. The greatest strength of the model is its ability to calculate trading signals on multiple spread pairs rapidly.

Can the model backtest using different scenarios and indicators?
Yes. In addition to the course materials, a separate backtesting model is provided for download so you can test various spread pairings with historical data.

Do I have to build the model from scratch or does the course come with a finished model?
The purpose of the Course is to teach the skills and techniques of building trading models in Excel. You are required to build the model as part of the course. For convenience, the Course includes a complete pre-built backtesting model incorporating the same indicators and logic. There is no substitute for building a model from the ground up in terms of knowing how it works in actual market conditions. This is especially important for investment professionals, who must know all the details and nuances of their tools in order to meet risk and disclosure requirements.

Are the trading rules and logic provided?
Yes. The course discusses the trading logic in significant depth. The model is not a "black box". You are taught how the system logic works so its strengths and weaknesses are clearly evident.

Does the course come with technical support?
Yes. Two methods of support are available: 1) An online Frequently Asked Questions section is included within the course, and 2) If the FAQs section does not answer your question, email support is available at no charge. The FAQs section is updated on a regular basis to ensure it addresses all issues related to building and operating the model.

Technical Requirements

- Microsoft Excel for Windows
- Adobe Acrobat Reader
- 5 megabytes disk space
- Date-Time-Close price data on your chosen time interval
- (OPTIONAL) DDE data import link for Excel


Goto Developer Web Site for more information

Additional Information: Building an Automated Spread Trading System in MS Excel
Requires Excel for Windows

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