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Financial modeling & trading strategy backtesting add-in for Excel. Connects to Bloomberg for market data and uses R.net for data manipulation.

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ZeusXL

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.

Retrieving Bloomberg data

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.

Using R to manipulate stock price time series

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")

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Financial modeling & trading strategy backtesting add-in for Excel. Connects to Bloomberg for market data and uses R.net for data manipulation.

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