Mariner Backtesting - cross_below()

cross_below() determines if one timeseries (testing) is crossing over another timeseries (control). The testing timeseries one starts above and ends below. Length of each list has to be greater than 1. Only evaluates the last two items of each list.

Code:

 def cross_below(ts1, ts2):
    retval = False
    if len(ts1) > 1 and len(ts2) > 1:
        if ts1[-2] > ts2[-2] and ts1[-1] < ts2[-1]:
            retval = True
    return retval

Parameters:

Name	Type	Default	Information
list of numbers	list	required	timeseries that is crossing below the second timeseries
list of numbers	list	required	control timeseries

Returns:

Type	Notes
boolean	True if timeseries 1 is cross below timeseries 2, else False

Working Example:

 from cloudquant.interfaces import Strategy
import ktgfunc


class TestKTGFunc(Strategy):

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol == 'TQQQ' and service.time_to_string(service.system_time, '%Y-%m-%d') == '2016-06-15'

    # called at the beginning of each instance  
    def on_start(self, md, order, service, account):
        t = service.time_to_string(service.system_time, '%Y-%m-%d')
        bar = md.bar.daily(start=-13)

        print bar.high
        #[ 105.20999908  105.19000244  104.72100067  105.62999725  105.30000305 105.18000031  104.37000275  101.77999878  100.4536972    98.98999786]

        ts_up = bar.high[2:4]
        ts_down = bar.high[4:6]
        ts_control = bar.high[0:2]
        ts_not_close = bar.high[-2:]

        print '\ntimeseries up', ts_up
        print '\ntimeseries down', ts_down
        print '\ntimeseries control',  ts_control

        print '\nktgfunc.cross_below( ts_down, ts_control )'
        print ('test time: %s\t%s') % (t, ktgfunc.cross_below( ts_down, ts_control ) ) # True

        print '\nktgfunc.cross_below( ts_up, ts_control )'
        print ('test time: %s\t%s') % (t, ktgfunc.cross_below( ts_up, ts_control ) ) # False

        print '\nktgfunc.cross_below( ts_not_close, ts_control )'
        print ('test time: %s\t%s') % (t, ktgfunc.cross_below( ts_not_close, ts_control ) ) # False

        service.terminate()

Console

[ 105.20999908  105.19000244  104.72100067  105.62999725  105.30000305
  105.18000031  104.37000275  101.77999878  100.4536972    98.98999786]

timeseries up [ 104.72100067  105.62999725]

timeseries down [ 105.30000305  105.18000031]

timeseries control [ 105.20999908  105.19000244]

ktgfunc.cross_below( ts_down, ts_control )
test time: 2016-06-15   True

ktgfunc.cross_below( ts_up, ts_control )
test time: 2016-06-15   False

ktgfunc.cross_below( ts_not_close, ts_control )
test time: 2016-06-15   False