Mariner Backtesting - TA-LIB Aroon

AROON

 aroondown, aroonup = AROON(high, low, timeperiod=14)

Plot

Working Example

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

class WE_AROON(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)
        high = daily_bars.high
        low = daily_bars.low
        aroondown, aroonup = talib.AROON(high, low, 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['aroondown'] = aroondown
        dict['aroonup'] = aroonup
        symbol = 'AROON: ' + self.symbol
        print ktgfunc.talib_table(symbol, 2, dict)

Console

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

AROON: MSFT
	Input	Output
date	high	low	aroondown	aroonup
2016-09-16	57.24	56.37	nan	nan
2016-09-19	57.36	56.47	nan	nan
2016-09-20	56.97	56.37	nan	nan
2016-09-21	57.46	56.70	nan	nan
2016-09-22	57.61	57.24	nan	nan
2016-09-23	57.52	56.99	nan	nan
2016-09-26	56.76	56.45	nan	nan
2016-09-27	57.67	56.30	nan	nan
2016-09-28	57.67	57.28	nan	nan
2016-09-29	57.78	56.83	nan	nan
2016-09-30	57.38	56.96	nan	nan
2016-10-03	57.16	56.68	nan	nan
2016-10-04	57.21	56.59	nan	nan
2016-10-05	57.57	56.88	nan	nan
2016-10-06	57.47	56.90	50.00	64.29
2016-10-07	57.59	57.03	42.86	57.14
2016-10-10	58.00	57.48	35.71	100.00
2016-10-11	57.63	56.51	28.57	92.86
2016-10-12	56.89	56.02	100.00	85.71
2016-10-13	56.92	55.94	100.00	78.57
2016-10-14	57.35	56.74	92.86	71.43
2016-10-17	57.07	56.49	85.71	64.29
2016-10-18	57.56	57.02	78.57	57.14
2016-10-19	57.45	57.01	71.43	50.00
2016-10-20	57.13	56.28	64.29	42.86
2016-10-21	60.04	59.09	57.14	100.00
2016-10-24	60.59	59.53	50.00	100.00
2016-10-25	60.96	60.39	42.86	100.00
2016-10-26	60.79	60.06	35.71	92.86
2016-10-27	60.42	59.69	28.57	85.71
2016-10-28	60.11	59.18	21.43	78.57
2016-10-31	60.01	59.52	14.29	71.43
2016-11-01	59.62	58.85	7.14	64.29
2016-11-02	59.53	58.90	0.00	57.14
2016-11-03	59.24	58.71	28.57	50.00
2016-11-04	58.88	58.13	21.43	42.86
2016-11-07	60.11	59.38	14.29	35.71
2016-11-08	60.37	59.75	7.14	28.57
2016-11-09	60.18	58.80	0.00	21.43
2016-11-10	60.08	57.24	100.00	14.29
2016-11-11	58.72	57.62	92.86	7.14
2016-11-14	58.68	56.90	100.00	0.00
2016-11-15	59.49	58.31	92.86	0.00
2016-11-16	59.66	54.27	100.00	0.00
2016-11-17	60.95	59.97	92.86	100.00
2016-11-18	61.14	60.30	85.71	100.00
2016-11-21	60.97	60.42	78.57	92.86
2016-11-22	61.26	60.81	71.43	100.00
2016-11-23	61.10	60.25	64.29	92.86
2016-11-25	60.53	60.13	57.14	85.71
2016-11-28	61.02	60.21	50.00	78.57
2016-11-29	61.41	60.52	42.86	100.00
2016-11-30	61.18	60.22	35.71	92.86
2016-12-01	60.15	58.94	28.57	85.71
2016-12-02	59.47	58.80	21.43	78.57
2016-12-05	60.58	59.56	14.29	71.43
2016-12-06	60.46	59.80	7.14	64.29
2016-12-07	61.38	59.80	0.00	57.14
2016-12-08	61.58	60.84	71.43	100.00
2016-12-09	61.99	61.12	64.29	100.00
2016-12-12	62.30	61.72	57.14	100.00
2016-12-13	63.42	62.24	50.00	100.00
2016-12-14	63.45	62.53	42.86	100.00
2016-12-15	63.15	62.30	35.71	92.86
2016-12-16	62.95	62.12	28.57	85.71
2016-12-19	63.77	62.42	21.43	100.00
2016-12-20	63.80	63.03	14.29	100.00
2016-12-21	63.70	63.12	7.14	92.86
2016-12-22	64.10	63.40	0.00	100.00
2016-12-23	63.54	62.80	0.00	92.86
2016-12-27	64.07	63.21	7.14	85.71
2016-12-28	63.40	62.83	0.00	78.57
2016-12-29	63.20	62.73	0.00	71.43
2016-12-30	62.99	62.03	0.00	64.29
2017-01-03	62.84	62.12	0.00	57.14
2017-01-04	62.75	62.12	85.71	50.00
2017-01-05	62.66	62.03	100.00	42.86
2017-01-06	63.15	62.04	92.86	35.71
2017-01-09	63.08	62.54	85.71	28.57
2017-01-10	63.07	62.28	78.57	21.43
2017-01-11	63.23	62.43	71.43	14.29
2017-01-12	63.40	61.95	100.00	7.14
2017-01-13	62.87	62.35	92.86	0.00
2017-01-17	62.70	62.03	85.71	7.14
2017-01-18	62.70	62.12	78.57	0.00
2017-01-19	62.98	62.19	71.43	71.43
2017-01-20	62.82	62.37	64.29	64.29
2017-01-23	63.12	62.57	57.14	57.14
2017-01-24	63.74	62.94	50.00	100.00
2017-01-25	64.10	63.45	42.86	100.00
2017-01-26	64.54	63.55	35.71	100.00
2017-01-27	65.91	64.89	28.57	100.00
2017-01-30	65.79	64.80	21.43	92.86
2017-01-31	65.15	64.26	14.29	85.71
2017-02-01	64.62	63.47	7.14	78.57
2017-02-02	63.41	62.75	0.00	71.43
2017-02-03	63.70	63.07	7.14	64.29
2017-02-06	63.65	63.14	0.00	57.14
2017-02-07	63.78	63.23	0.00	50.00
2017-02-08	63.81	63.22	0.00	42.86