Mariner Backtesting - list_spread()

list_spread() calculates the spread between the max and min in a list of numbers.

Code:

 def list_spread(ts):
     min = maxint
     max = -maxint
     range = 0.0
     if len(ts) > 1:
         for x in ts:
             if x < min:
                 min = x
             if x > max:
                 max = x

         return max - min
     else:
         return 0.0

Parameters:

Name	Type	Default	Information
time series data	list	required	list of numbers

Returns:

Type	Special	Notes
float	[0]	will return [0] if empty list is passed in

Working Example:

Get the spread between the high and low in list. Backtest for TQQQ on 2016/06/15 from 9:30-16:00.

from cloudquant.interfaces import Strategy
import ktgfunc


class TestKTGFunc(Strategy):

    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol == 'TQQQ'

    # 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=-5)

        print bar.high

        print ('test time: %s\t%s') % (t, ktgfunc.list_spread(bar.high ) )
        service.terminate()

Console

[ 105.18000031  104.37000275  101.77999878  100.4536972    98.98999786]
test time: 2016-06-15   6.19000244141