Mariner Backtesting - TA-LIB Ultimate Oscillator

ULTOSC

 

 real = ULTOSC(high, low, close, timeperiod1=7, timeperiod2=14, timeperiod3=28)

Plot

Ultimate Oscillator

Working Example

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

class WE_ULTOSC(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.ULTOSC(high, low, close, timeperiod1=7, timeperiod2=14, timeperiod3=28)

        # 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 = 'ULTOSC: ' + self.symbol
        print ktgfunc.talib_table(symbol, 1, dict)

Console

MSFT:  2017-02-09 09:30:00.000000
ULTOSC: MSFT
Input Output
date high low close real
2016-09-16 57.24 56.37 56.87 nan
2016-09-19 57.36 56.47 56.55 nan
2016-09-20 56.97 56.37 56.43 nan
2016-09-21 57.46 56.70 57.37 nan
2016-09-22 57.61 57.24 57.43 nan
2016-09-23 57.52 56.99 57.04 nan
2016-09-26 56.76 56.45 56.52 nan
2016-09-27 57.67 56.30 57.56 nan
2016-09-28 57.67 57.28 57.64 nan
2016-09-29 57.78 56.83 57.01 nan
2016-09-30 57.38 56.96 57.21 nan
2016-10-03 57.16 56.68 57.03 nan
2016-10-04 57.21 56.59 56.86 nan
2016-10-05 57.57 56.88 57.25 nan
2016-10-06 57.47 56.90 57.35 nan
2016-10-07 57.59 57.03 57.41 nan
2016-10-10 58.00 57.48 57.65 nan
2016-10-11 57.63 56.51 56.81 nan
2016-10-12 56.89 56.02 56.73 nan
2016-10-13 56.92 55.94 56.54 nan
2016-10-14 57.35 56.74 57.03 nan
2016-10-17 57.07 56.49 56.84 nan
2016-10-18 57.56 57.02 57.27 nan
2016-10-19 57.45 57.01 57.14 nan
2016-10-20 57.13 56.28 56.87 nan
2016-10-21 60.04 59.09 59.26 nan
2016-10-24 60.59 59.53 60.59 nan
2016-10-25 60.96 60.39 60.58 nan
2016-10-26 60.79 60.06 60.22 64.16
2016-10-27 60.42 59.69 59.70 59.98
2016-10-28 60.11 59.18 59.47 58.67
2016-10-31 60.01 59.52 59.52 56.01
2016-11-01 59.62 58.85 59.40 50.61
2016-11-02 59.53 58.90 59.03 39.78
2016-11-03 59.24 58.71 58.81 38.36
2016-11-04 58.88 58.13 58.32 37.59
2016-11-07 60.11 59.38 60.01 52.89
2016-11-08 60.37 59.75 60.06 55.12
2016-11-09 60.18 58.80 59.77 59.48
2016-11-10 60.08 57.24 58.31 51.87
2016-11-11 58.72 57.62 58.62 55.65
2016-11-14 58.68 56.90 57.73 55.61
2016-11-15 59.49 58.31 58.87 58.28
2016-11-16 59.66 54.27 59.65 68.87
2016-11-17 60.95 59.97 60.64 70.30
2016-11-18 61.14 60.30 60.35 68.04
2016-11-21 60.97 60.42 60.86 72.54
2016-11-22 61.26 60.81 61.12 72.08
2016-11-23 61.10 60.25 60.40 71.73
2016-11-25 60.53 60.13 60.53 74.11
2016-11-28 61.02 60.21 60.61 58.48
2016-11-29 61.41 60.52 61.09 56.29
2016-11-30 61.18 60.22 60.26 54.37
2016-12-01 60.15 58.94 59.20 48.40
2016-12-02 59.47 58.80 59.25 48.27
2016-12-05 60.58 59.56 60.22 54.83
2016-12-06 60.46 59.80 59.95 51.16
2016-12-07 61.38 59.80 61.37 55.03
2016-12-08 61.58 60.84 61.01 51.31
2016-12-09 61.99 61.12 61.97 60.65
2016-12-12 62.30 61.72 62.17 66.23
2016-12-13 63.42 62.24 62.98 65.99
2016-12-14 63.45 62.53 62.68 61.39
2016-12-15 63.15 62.30 62.58 60.67
2016-12-16 62.95 62.12 62.30 51.35
2016-12-19 63.77 62.42 63.62 59.04
2016-12-20 63.80 63.03 63.54 57.44
2016-12-21 63.70 63.12 63.54 58.81
2016-12-22 64.10 63.40 63.55 54.50
2016-12-23 63.54 62.80 63.24 57.81
2016-12-27 64.07 63.21 63.28 55.08
2016-12-28 63.40 62.83 62.99 52.92
2016-12-29 63.20 62.73 62.90 45.59
2016-12-30 62.99 62.03 62.14 37.90
2017-01-03 62.84 62.12 62.58 37.62
2017-01-04 62.75 62.12 62.30 37.22
2017-01-05 62.66 62.03 62.30 36.44
2017-01-06 63.15 62.04 62.84 44.90
2017-01-09 63.08 62.54 62.64 44.41
2017-01-10 63.07 62.28 62.62 42.86
2017-01-11 63.23 62.43 63.19 51.85
2017-01-12 63.40 61.95 62.61 49.71
2017-01-13 62.87 62.35 62.70 52.70
2017-01-17 62.70 62.03 62.53 54.91
2017-01-18 62.70 62.12 62.50 55.17
2017-01-19 62.98 62.19 62.30 52.69
2017-01-20 62.82 62.37 62.74 56.27
2017-01-23 63.12 62.57 62.96 54.95
2017-01-24 63.74 62.94 63.52 58.88
2017-01-25 64.10 63.45 63.68 56.24
2017-01-26 64.54 63.55 64.27 57.71
2017-01-27 65.91 64.89 65.78 64.16
2017-01-30 65.79 64.80 65.13 64.88
2017-01-31 65.15 64.26 64.65 61.78
2017-02-01 64.62 63.47 63.58 53.82
2017-02-02 63.41 62.75 63.17 52.56
2017-02-03 63.70 63.07 63.68 56.48
2017-02-06 63.65 63.14 63.64 57.07
2017-02-07 63.78 63.23 63.43 49.92
2017-02-08 63.81 63.22 63.34 49.91