Mariner Backtesting - TA-LIB Money Flow Index

MFI

 real = MFI(high, low, close, volume, timeperiod=14)

Plot

Working Example


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

class WE_MFI(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
        # talib expects volume to be a numpy float array
        v = daily_bars.volume
        volume = numpy.asarray(v, dtype=float)

        real = talib.MFI(high, low, close, volume, timeperiod=14)

        # 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['volume'] = volume
        dict['real'] = real
        symbol = 'MFI: ' + self.symbol
        print ktgfunc.talib_table(symbol, 1, dict)

Console

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

MFI: MSFT
	Input	Output
date	high	low	close	volume	real
2016-09-16	57.24	56.37	56.87	44571091.00	nan
2016-09-19	57.36	56.47	56.55	20956079.00	nan
2016-09-20	56.97	56.37	56.43	17384082.00	nan
2016-09-21	57.46	56.70	57.37	34358572.00	nan
2016-09-22	57.61	57.24	57.43	19822203.00	nan
2016-09-23	57.52	56.99	57.04	19955479.00	nan
2016-09-26	56.76	56.45	56.52	21688900.00	nan
2016-09-27	57.67	56.30	57.56	28065078.00	nan
2016-09-28	57.67	57.28	57.64	20543966.00	nan
2016-09-29	57.78	56.83	57.01	25463618.00	nan
2016-09-30	57.38	56.96	57.21	30450631.00	nan
2016-10-03	57.16	56.68	57.03	19190339.00	nan
2016-10-04	57.21	56.59	56.86	20086050.00	nan
2016-10-05	57.57	56.88	57.25	16726411.00	nan
2016-10-06	57.47	56.90	57.35	16212687.00	43.80
2016-10-07	57.59	57.03	57.41	20124844.00	50.40
2016-10-10	58.00	57.48	57.65	18196509.00	56.12
2016-10-11	57.63	56.51	56.81	26497418.00	46.26
2016-10-12	56.89	56.02	56.73	22177464.00	39.42
2016-10-13	56.92	55.94	56.54	25313748.00	38.78
2016-10-14	57.35	56.74	57.03	27402551.00	46.71
2016-10-17	57.07	56.49	56.84	23830115.00	38.36
2016-10-18	57.56	57.02	57.27	19150364.00	38.07
2016-10-19	57.45	57.01	57.14	22878406.00	38.39
2016-10-20	57.13	56.28	56.87	49455856.00	36.20
2016-10-21	60.04	59.09	59.26	80023831.00	51.58
2016-10-24	60.59	59.53	60.59	54066978.00	60.44
2016-10-25	60.96	60.39	60.58	30797202.00	61.87
2016-10-26	60.79	60.06	60.22	25128079.00	56.88
2016-10-27	60.42	59.69	59.70	28480469.00	51.33
2016-10-28	60.11	59.18	59.47	33781433.00	45.71
2016-10-31	60.01	59.52	59.52	26434751.00	51.33
2016-11-01	59.62	58.85	59.40	24656951.00	50.94
2016-11-02	59.53	58.90	59.03	22172630.00	51.16
2016-11-03	59.24	58.71	58.81	21737488.00	45.97
2016-11-04	58.88	58.13	58.32	28698150.00	45.43
2016-11-07	60.11	59.38	60.01	31664948.00	46.96
2016-11-08	60.37	59.75	60.06	22935355.00	51.68
2016-11-09	60.18	58.80	59.77	49736785.00	51.40
2016-11-10	60.08	57.24	58.31	57822638.00	36.55
2016-11-11	58.72	57.62	58.62	38767843.00	25.55
2016-11-14	58.68	56.90	57.73	41578422.00	18.08
2016-11-15	59.49	58.31	58.87	35904127.00	25.39
2016-11-16	59.66	54.27	59.65	27438882.00	25.50
2016-11-17	60.95	59.97	60.64	32132728.00	32.71
2016-11-18	61.14	60.30	60.35	27686736.00	32.95
2016-11-21	60.97	60.42	60.86	19652595.00	37.69
2016-11-22	61.26	60.81	61.12	23206602.00	42.76
2016-11-23	61.10	60.25	60.40	21936368.00	42.68
2016-11-25	60.53	60.13	60.53	8410638.00	44.60
2016-11-28	61.02	60.21	60.61	20733011.00	43.21
2016-11-29	61.41	60.52	61.09	22367255.00	43.18
2016-11-30	61.18	60.22	60.26	34677272.00	44.70
2016-12-01	60.15	58.94	59.20	34542646.00	47.26
2016-12-02	59.47	58.80	59.25	25515890.00	48.84
2016-12-05	60.58	59.56	60.22	23569552.00	57.68
2016-12-06	60.46	59.80	59.95	20027055.00	49.96
2016-12-07	61.38	59.80	61.37	30808969.00	58.26
2016-12-08	61.58	60.84	61.01	21222039.00	56.92
2016-12-09	61.99	61.12	61.97	27349357.00	56.94
2016-12-12	62.30	61.72	62.17	20198516.00	57.07
2016-12-13	63.42	62.24	62.98	35721348.00	58.76
2016-12-14	63.45	62.53	62.68	30352925.00	65.99
2016-12-15	63.15	62.30	62.58	27669868.00	62.46
2016-12-16	62.95	62.12	62.30	42453675.00	53.70
2016-12-19	63.77	62.42	63.62	34338219.00	55.19
2016-12-20	63.80	63.03	63.54	26028558.00	62.89
2016-12-21	63.70	63.12	63.54	17097365.00	65.46
2016-12-22	64.10	63.40	63.55	22176697.00	71.72
2016-12-23	63.54	62.80	63.24	12404739.00	67.52
2016-12-27	64.07	63.21	63.28	11763173.00	72.21
2016-12-28	63.40	62.83	62.99	14665097.00	66.69
2016-12-29	63.20	62.73	62.90	10250582.00	62.57
2016-12-30	62.99	62.03	62.14	25579908.00	54.74
2017-01-03	62.84	62.12	62.58	17452390.00	54.38
2017-01-04	62.75	62.12	62.30	21340044.00	45.52
2017-01-05	62.66	62.03	62.30	24876968.00	36.51
2017-01-06	63.15	62.04	62.84	20154615.00	44.10
2017-01-09	63.08	62.54	62.64	20382734.00	54.85
2017-01-10	63.07	62.28	62.62	18594565.00	45.05
2017-01-11	63.23	62.43	63.19	21517335.00	44.04
2017-01-12	63.40	61.95	62.61	20968328.00	43.43
2017-01-13	62.87	62.35	62.70	19422310.00	35.27
2017-01-17	62.70	62.03	62.53	20664147.00	34.20
2017-01-18	62.70	62.12	62.50	20072514.00	36.13
2017-01-19	62.98	62.19	62.30	18451787.00	42.25
2017-01-20	62.82	62.37	62.74	30338462.00	49.55
2017-01-23	63.12	62.57	62.96	23097906.00	57.74
2017-01-24	63.74	62.94	63.52	21658284.00	58.37
2017-01-25	64.10	63.45	63.68	24660251.00	65.85
2017-01-26	64.54	63.55	64.27	43633281.00	75.54
2017-01-27	65.91	64.89	65.78	44826340.00	77.40
2017-01-30	65.79	64.80	65.13	31731271.00	69.12
2017-01-31	65.15	64.26	64.65	25270674.00	67.73
2017-02-01	64.62	63.47	63.58	39671568.00	58.94
2017-02-02	63.41	62.75	63.17	45828988.00	55.37
2017-02-03	63.70	63.07	63.68	30301759.00	61.09
2017-02-06	63.65	63.14	63.64	20021886.00	61.13
2017-02-07	63.78	63.23	63.43	20277228.00	61.18
2017-02-08	63.81	63.22	63.34	18099993.00	56.89