Zeus addin for Excel
An addin I wrote (and re-wrote and re-wrote and re-wrote) starting 2010. Zeus has, over time, been a backtesting engine, a HFT engine and a powerful utilities library.
In its current incarnation, it is an addin that retrieves/manipulates Bloomberg data through an embedded R interpreter. This R functionality is modelled after ContraModus, a web-based analytics tool created by my former colleague Vladimir Vladimirov. The R functionality not only allows basic data manipulation but sophisticated backtests incorporating vol-targetting, dynamic positioning and much more.
You can retrieve end-of-day prices for Bloomberg tickers quite straightforwardly by invoking ZDH in Excel:
=ZDH(Tickers, StartDate, EndDateOpt, FieldOpt, PeriodicityOpt, ReverseOpt, NoLabelsOpt, NamesOpt, NormaliseOpt)
=ZDH("AAPL Equity", 21-Jan-2022, 21-Feb-2022, "PX_BID")
Unless specified, FieldOpt will default to "PX_LAST" while EndDateOpt will default to today's date. We default to using the 5-day calendar and non-trading day fill option to standardise the time series and simplify data analysis across multiple tickers.
The ZEval function combines the ability to retrieve data for Bloomberg tickers with invokations to R.NET to manipulate it.
=ZEval(Expressions, StartDate, EndDateOpt, FieldOpt, PeriodicityOpt, ReverseOpt, NoLabelsOpt, NamesOpt)
=ZEval("*{r@AAPL Equity}", 21-Jan-2022, 21-Feb-2022, "PX_LAST")