Excel Spreadsheets

Below are spreadsheet files that should be compatible with Excel 97 and higher versions.

  • Setting stops the Bayesian way, June 2013

    Spreadsheet used to demonstrate how stop levels work and how much risk various decision rules let you take as referenced in the June 2013 story by Burton Rothberg.

    Bayesian Stops

  • The put and call comfort zone, May 2009

    These spreadsheets include the LLP Pricing models referenced in the May 2009 Trading Techniques story by Paul Cretien.

    LLP call pricing model | LLP put pricing model

  • Building a better strangle, March 2009

    These spreadsheets include the models referenced in the March 2009 Trading Techniques story by Paul Cretien. They should also be used in place of work sheets previously associated with Cretien's Trading Techniques stories.

    Black Scholes Option Model | LLP Call Option Model | LLP Put Option Model

  • Calibrating profit and loss strategies, February 2009

    This spreadsheet include the models referenced in the February 2009 Trading Techniques story by Michael Gutmann.

    Stop & Profit Target Analysis

  • Comparing option pricing models

    These spreadsheets include the models referenced in the June 2008 Trading Techniques story by Paul Cretien. They should also be used in place of work sheets previously associated with Cretien's September 2006 Trading Techniques story.

    LLP call pricing model | LLP put pricing model

  • Comparing option pricing models

    These spreadsheets include the models referenced in the September 2006 Trading Techniques story by Paul Cretien.

    Black Scholes Dec. 06 Euro FX

  • Pattern performance stats

    These spreadsheets include more of the performance statistics referenced in this article on pattern-based systematic trading. Reference article: "Trading patterns in the sand," November 2004.

    Download.

  • Performance summary I

    First spreadsheet showing full performance summary of system discussed in article. Reference article: "Reversions of profits in stocks and bonds," February 2004.

    Download.

  • Performance summary II

    Second spreadsheet showing full performance summary of system discussed in article. Reference article: "Reversions of profits in stocks and bonds," February 2004.

    Download.

  • Option pricing spreadsheet

    This spreadsheet included calculation sheets for each of the naked options and the covered call. Reference article: "Covering up with options," March 2003.

    Download.

  • Option pricing spreadsheet

    This spreadsheet uses the Black-Scholes model to provide theoretical prices for put and call options. Reference article: "New options in increasing your equity," October 2002.

    Download.

  • Correlation table

    The entire correlation matrix depicting the relationships of returns among same- and cross-sector equities. Reference article: "Two can be better than one," September 2002.

    Download.

  • Mathematical advantage calculator

    Spreadsheet for calculating the expected results, mathematical advantage and annual return for an options trade, given the input assumptions. Reference article: "Determining expected results of an option trade," August 2002.

    Download.

  • Market state calculator

    Spreadsheet for determining the "state" of the market, as defined in "Listening to the markets, note by note," July 2002.

    Download.

  • Streaks calculator

    Spreadsheet for analyzing price "streaks," as explained in "Streaking prices can be revealing," April 2002.

    Download.

  • Fibonacci calculator

    A tool for applying Fibonacci analysis to both futures and equities. Reference article: "Trading with Fibonacci retracements," February 2002.

    Download.

  • Retracement tool

    This spreadsheet automatically performs the retracement calculations described in "The Elliott-Fibonacci connection," October 2001.

    Download.

  • Money management application

    This spreadsheet implements the money managment technique discussed in "3x1=More than you think," December 1999.

    Download.

  • Software ranking table

    A spreadsheet that lets users create customized rankings of the trading software reviewed in "Day-trading software shootout," Special Issue 1999.

    Download.

  • Market strength calculator

    Spreadsheet showing techniques for playing both long-term and short-term market strength. Reference article: "Skimming the trend," February 1999.

    Download.

  • Repeated measures tool

    Spreadsheet applying repeated measures analysis detailed in "Out of sample, out of touch," January 1999.

    Download.

  • Ratio-adjusted data, charts

    These spreadsheets include the charts and data used for this article on evaluating systems using ratio-adjusted data. Reference article: "Truth be told," January 1999.

    Download.

  • Datamining example

    This spreadsheet includes the charts and data used for "Working in a coal mine," January 1999, as well as additional out-of-sample data not shown in the article.

    Download.

  • Trading size calculators

    Calculations for the z-score, correlation and optimal f methods of money management, as described in "Scoring high and low," April 1998.

    Download.

  • Bollinger band spreadsheet

    Spreadsheet that calculates Bollinger bands. Reference article: "Bollinger bands are more than meets the eye," November 1997.

    Download.

  • MACD crossover forecaster

    Spreadsheet that calculates the price for tomorrow that would cause the MACD to cross tomorrow. Reference article: "Sign of the crossover," October 1997.

    Download.

  • EMA crossover forecaster

    Spreadsheet that calculates the price for tomorrow that would cause a nine-period exponential moving average and an 18-period EMA to cross tomorrow. Reference article: "Smooth operator," September 1997.

    Download.

  • RSI calculator

    Spreadsheet that calculates the relative strength oscillator. Reference article: "Building a better speed trap," May 1997.

    Download.

  • Stochastics calculator

    Spreadsheet that calculates the stochastics oscillator. Reference article: "Building a better speed trap," May 1997.

    Download.

  • Williams %R calculator

    Spreadsheet that calculates the Williams %R oscillator. Reference article: "Building a better speed trap," May 1997.

    Download.

  • Momentum calculator

    Spreadsheet that calculates the momentum oscillator. Reference article: "A radar gun on price," April 1997.

    Download.

  • Rate-of-change calculator

    Spreadsheet that calculates the rate-of-change oscillator. Reference article: "A radar gun on price," April 1997.

    Download.

  • MACD calculator

    Spreadsheet that calculates the moving average convergence-divergence oscillator. Reference article: "A radar gun on price," April 1997.

    Download.

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