Mariner Backtesting - TA-LIB Weighted Close Price

WCLPRICE(high, low, close)

WCLPRICE

 real = WCLPRICE(high, low, close)

Plot

Working Example

from cloudquant.interfaces import Strategy
from collections import OrderedDict
import ktgfunc
import talib

class WE_WCLPRICE(Strategy):

    def on_start(self, md, order, service, account):
        # symbol and timestamp
        print(self.symbol + ":  " + service.time_to_string(service.system_time))
        daily_bars = md.bar.daily(start=-100)
        close = daily_bars.close
        high = daily_bars.high
        low = daily_bars.low
        real = talib.WCLPRICE(high, low, close)

        # get the date values
        dates = service._context.market._storage.market_hours.keys()
        dateList = []
        for date in dates:
           dateList.append(str(date.strftime('%Y-%m-%d')))
        dates = sorted(dateList, reverse=True)[1:101]
        dates.sort()

        dict = OrderedDict()
        dict['date'] = dates
        dict['high'] = high
        dict['low'] = low
        dict['close'] = close
        dict['real'] = real
        symbol = 'WCLPRICE: ' + self.symbol
        print ktgfunc.talib_table(symbol, 1, dict)

Console

MSFT:  2017-02-09 09:30:00.000000

WCLPRICE: MSFT
	Input	Output
date	high	low	close	real
2016-09-16	57.24	56.37	56.87	56.84
2016-09-19	57.36	56.47	56.55	56.73
2016-09-20	56.97	56.37	56.43	56.55
2016-09-21	57.46	56.70	57.37	57.23
2016-09-22	57.61	57.24	57.43	57.43
2016-09-23	57.52	56.99	57.04	57.15
2016-09-26	56.76	56.45	56.52	56.56
2016-09-27	57.67	56.30	57.56	57.27
2016-09-28	57.67	57.28	57.64	57.56
2016-09-29	57.78	56.83	57.01	57.16
2016-09-30	57.38	56.96	57.21	57.19
2016-10-03	57.16	56.68	57.03	56.98
2016-10-04	57.21	56.59	56.86	56.88
2016-10-05	57.57	56.88	57.25	57.24
2016-10-06	57.47	56.90	57.35	57.27
2016-10-07	57.59	57.03	57.41	57.36
2016-10-10	58.00	57.48	57.65	57.70
2016-10-11	57.63	56.51	56.81	56.94
2016-10-12	56.89	56.02	56.73	56.59
2016-10-13	56.92	55.94	56.54	56.48
2016-10-14	57.35	56.74	57.03	57.04
2016-10-17	57.07	56.49	56.84	56.81
2016-10-18	57.56	57.02	57.27	57.28
2016-10-19	57.45	57.01	57.14	57.19
2016-10-20	57.13	56.28	56.87	56.79
2016-10-21	60.04	59.09	59.26	59.41
2016-10-24	60.59	59.53	60.59	60.32
2016-10-25	60.96	60.39	60.58	60.63
2016-10-26	60.79	60.06	60.22	60.32
2016-10-27	60.42	59.69	59.70	59.88
2016-10-28	60.11	59.18	59.47	59.56
2016-10-31	60.01	59.52	59.52	59.64
2016-11-01	59.62	58.85	59.40	59.32
2016-11-02	59.53	58.90	59.03	59.12
2016-11-03	59.24	58.71	58.81	58.89
2016-11-04	58.88	58.13	58.32	58.41
2016-11-07	60.11	59.38	60.01	59.88
2016-11-08	60.37	59.75	60.06	60.06
2016-11-09	60.18	58.80	59.77	59.63
2016-11-10	60.08	57.24	58.31	58.48
2016-11-11	58.72	57.62	58.62	58.40
2016-11-14	58.68	56.90	57.73	57.76
2016-11-15	59.49	58.31	58.87	58.89
2016-11-16	59.66	54.27	59.65	58.31
2016-11-17	60.95	59.97	60.64	60.55
2016-11-18	61.14	60.30	60.35	60.53
2016-11-21	60.97	60.42	60.86	60.78
2016-11-22	61.26	60.81	61.12	61.08
2016-11-23	61.10	60.25	60.40	60.54
2016-11-25	60.53	60.13	60.53	60.43
2016-11-28	61.02	60.21	60.61	60.61
2016-11-29	61.41	60.52	61.09	61.03
2016-11-30	61.18	60.22	60.26	60.48
2016-12-01	60.15	58.94	59.20	59.37
2016-12-02	59.47	58.80	59.25	59.19
2016-12-05	60.58	59.56	60.22	60.15
2016-12-06	60.46	59.80	59.95	60.04
2016-12-07	61.38	59.80	61.37	60.98
2016-12-08	61.58	60.84	61.01	61.11
2016-12-09	61.99	61.12	61.97	61.76
2016-12-12	62.30	61.72	62.17	62.09
2016-12-13	63.42	62.24	62.98	62.90
2016-12-14	63.45	62.53	62.68	62.84
2016-12-15	63.15	62.30	62.58	62.65
2016-12-16	62.95	62.12	62.30	62.42
2016-12-19	63.77	62.42	63.62	63.36
2016-12-20	63.80	63.03	63.54	63.48
2016-12-21	63.70	63.12	63.54	63.48
2016-12-22	64.10	63.40	63.55	63.65
2016-12-23	63.54	62.80	63.24	63.21
2016-12-27	64.07	63.21	63.28	63.46
2016-12-28	63.40	62.83	62.99	63.05
2016-12-29	63.20	62.73	62.90	62.93
2016-12-30	62.99	62.03	62.14	62.32
2017-01-03	62.84	62.12	62.58	62.53
2017-01-04	62.75	62.12	62.30	62.37
2017-01-05	62.66	62.03	62.30	62.32
2017-01-06	63.15	62.04	62.84	62.72
2017-01-09	63.08	62.54	62.64	62.73
2017-01-10	63.07	62.28	62.62	62.65
2017-01-11	63.23	62.43	63.19	63.01
2017-01-12	63.40	61.95	62.61	62.64
2017-01-13	62.87	62.35	62.70	62.65
2017-01-17	62.70	62.03	62.53	62.45
2017-01-18	62.70	62.12	62.50	62.45
2017-01-19	62.98	62.19	62.30	62.44
2017-01-20	62.82	62.37	62.74	62.67
2017-01-23	63.12	62.57	62.96	62.90
2017-01-24	63.74	62.94	63.52	63.43
2017-01-25	64.10	63.45	63.68	63.73
2017-01-26	64.54	63.55	64.27	64.16
2017-01-27	65.91	64.89	65.78	65.59
2017-01-30	65.79	64.80	65.13	65.21
2017-01-31	65.15	64.26	64.65	64.68
2017-02-01	64.62	63.47	63.58	63.81
2017-02-02	63.41	62.75	63.17	63.12
2017-02-03	63.70	63.07	63.68	63.53
2017-02-06	63.65	63.14	63.64	63.52
2017-02-07	63.78	63.23	63.43	63.47
2017-02-08	63.81	63.22	63.34	63.43