Mariner Backtesting - TA-LIB Stochastic Relative Strength Index

STOCHRSI

 fastk, fastd = STOCHRSI(close, timeperiod=14, fastk_period=5, fastd_period=3, fastd_matype=0)

Plot

Working Example

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

class WE_STOCHRSI(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
        fastk, fastd = talib.STOCHRSI(close, timeperiod=14, fastk_period=5, fastd_period=3, fastd_matype=0)

        # 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['close'] = close
        dict['fastk'] = fastk
        dict['fastd'] = fastd
        symbol = 'STOCHRSI: ' + self.symbol
        print ktgfunc.talib_table(symbol, 2, dict)

Console

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

STOCHRSI: MSFT
	Input	Output
date	close	fastk	fastd
2016-09-16	56.87	nan	nan
2016-09-19	56.55	nan	nan
2016-09-20	56.43	nan	nan
2016-09-21	57.37	nan	nan
2016-09-22	57.43	nan	nan
2016-09-23	57.04	nan	nan
2016-09-26	56.52	nan	nan
2016-09-27	57.56	nan	nan
2016-09-28	57.64	nan	nan
2016-09-29	57.01	nan	nan
2016-09-30	57.21	nan	nan
2016-10-03	57.03	nan	nan
2016-10-04	56.86	nan	nan
2016-10-05	57.25	nan	nan
2016-10-06	57.35	nan	nan
2016-10-07	57.41	nan	nan
2016-10-10	57.65	nan	nan
2016-10-11	56.81	nan	nan
2016-10-12	56.73	nan	nan
2016-10-13	56.54	nan	nan
2016-10-14	57.03	45.92	15.31
2016-10-17	56.84	61.21	35.71
2016-10-18	57.27	100.00	69.04
2016-10-19	57.14	81.27	80.83
2016-10-20	56.87	0.00	60.42
2016-10-21	59.26	100.00	60.42
2016-10-24	60.59	100.00	66.67
2016-10-25	60.58	99.57	99.86
2016-10-26	60.22	83.80	94.46
2016-10-27	59.70	0.00	61.12
2016-10-28	59.47	0.00	27.93
2016-10-31	59.52	2.72	0.91
2016-11-01	59.40	0.00	0.91
2016-11-02	59.03	0.00	0.91
2016-11-03	58.81	0.00	-0.00
2016-11-04	58.32	0.00	-0.00
2016-11-07	60.01	100.00	33.33
2016-11-08	60.06	100.00	66.67
2016-11-09	59.77	76.59	92.20
2016-11-10	58.31	0.00	58.86
2016-11-11	58.62	15.81	30.80
2016-11-14	57.73	0.00	5.27
2016-11-15	58.87	50.91	22.24
2016-11-16	59.65	100.00	50.30
2016-11-17	60.64	100.00	83.64
2016-11-18	60.35	87.74	95.91
2016-11-21	60.86	100.00	95.91
2016-11-22	61.12	100.00	95.91
2016-11-23	60.40	0.00	66.67
2016-11-25	60.53	12.94	37.65
2016-11-28	60.61	21.28	11.41
2016-11-29	61.09	70.99	35.07
2016-11-30	60.26	0.00	30.76
2016-12-01	59.20	0.00	23.66
2016-12-02	59.25	2.51	0.84
2016-12-05	60.22	48.19	16.90
2016-12-06	59.95	67.06	39.25
2016-12-07	61.37	100.00	71.75
2016-12-08	61.01	78.97	82.01
2016-12-09	61.97	100.00	92.99
2016-12-12	62.17	100.00	92.99
2016-12-13	62.98	100.00	100.00
2016-12-14	62.68	73.19	91.06
2016-12-15	62.58	25.92	66.37
2016-12-16	62.30	0.00	33.04
2016-12-19	63.62	100.00	41.97
2016-12-20	63.54	88.85	62.95
2016-12-21	63.54	88.85	92.57
2016-12-22	63.55	89.65	89.12
2016-12-23	63.24	0.00	59.50
2016-12-27	63.28	7.57	32.41
2016-12-28	62.99	0.00	2.52
2016-12-29	62.90	0.00	2.52
2016-12-30	62.14	0.00	-0.00
2017-01-03	62.58	30.27	10.09
2017-01-04	62.30	10.17	13.48
2017-01-05	62.30	11.47	17.30
2017-01-06	62.84	100.00	40.55
2017-01-09	62.64	53.26	54.91
2017-01-10	62.62	48.43	67.23
2017-01-11	63.19	100.00	67.23
2017-01-12	62.61	0.00	49.48
2017-01-13	62.70	12.71	37.57
2017-01-17	62.53	0.00	4.24
2017-01-18	62.50	0.00	4.24
2017-01-19	62.30	0.00	-0.00
2017-01-20	62.74	100.00	33.33
2017-01-23	62.96	100.00	66.67
2017-01-24	63.52	100.00	100.00
2017-01-25	63.68	100.00	100.00
2017-01-26	64.27	100.00	100.00
2017-01-27	65.78	100.00	100.00
2017-01-30	65.13	43.02	81.01
2017-01-31	64.65	0.00	47.67
2017-02-01	63.58	0.00	14.34
2017-02-02	63.17	0.00	-0.00
2017-02-03	63.68	20.66	6.89
2017-02-06	63.64	26.39	15.68
2017-02-07	63.43	42.55	29.87
2017-02-08	63.34	21.26	30.07