1 /* TA-LIB Copyright (c) 1999-2007, Mario Fortier
2 * All rights reserved.
3 *
4 * Redistribution and use in source and binary forms, with or
5 * without modification, are permitted provided that the following
6 * conditions are met:
7 *
8 * - Redistributions of source code must retain the above copyright
9 * notice, this list of conditions and the following disclaimer.
10 *
11 * - Redistributions in binary form must reproduce the above copyright
12 * notice, this list of conditions and the following disclaimer in
13 * the documentation and/or other materials provided with the
14 * distribution.
15 *
16 * - Neither name of author nor the names of its contributors
17 * may be used to endorse or promote products derived from this
18 * software without specific prior written permission.
19 *
20 * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
21 * ``AS IS'' AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
22 * LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS
23 * FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE
24 * REGENTS OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT,
25 * INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
26 * (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS
27 * OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
28 * INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY,
29 * WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE
30 * OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE,
31 * EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
32 */
33
34 /* List of contributors:
35 *
36 * Initial Name/description
37 * -------------------------------------------------------------------
38 * MF Mario Fortier
39 *
40 *
41 * Change history:
42 *
43 * MMDDYY BY Description
44 * -------------------------------------------------------------------
45 * 120802 MF Template creation.
46 * 101003 MF Initial Coding
47 * 062804 MF Resolve div by zero bug on limit case.
48 *
49 */
50
51 /**** START GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
52 /* All code within this section is automatically
53 * generated by gen_code. Any modification will be lost
54 * next time gen_code is run.
55 */
56 /* Generated */
57 /* Generated */ #if defined( _MANAGED )
58 /* Generated */ #include "TA-Lib-Core.h"
59 /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode::InternalError)
60 /* Generated */ namespace TicTacTec { namespace TA { namespace Library {
61 /* Generated */ #elif defined( _JAVA )
62 /* Generated */ #include "ta_defs.h"
63 /* Generated */ #include "ta_java_defs.h"
64 /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode.InternalError)
65 /* Generated */ #else
66 /* Generated */ #include <string.h>
67 /* Generated */ #include <math.h>
68 /* Generated */ #include "ta_func.h"
69 /* Generated */ #endif
70 /* Generated */
71 /* Generated */ #ifndef TA_UTILITY_H
72 /* Generated */ #include "ta_utility.h"
73 /* Generated */ #endif
74 /* Generated */
75 /* Generated */ #ifndef TA_MEMORY_H
76 /* Generated */ #include "ta_memory.h"
77 /* Generated */ #endif
78 /* Generated */
79 /* Generated */ #define TA_PREFIX(x) TA_##x
80 /* Generated */ #define INPUT_TYPE double
81 /* Generated */
82 /* Generated */ #if defined( _MANAGED )
CorrelLookback(int optInTimePeriod)83 /* Generated */ int Core::CorrelLookback( int optInTimePeriod ) /* From 1 to 100000 */
84 /* Generated */
85 /* Generated */ #elif defined( _JAVA )
86 /* Generated */ public int correlLookback( int optInTimePeriod ) /* From 1 to 100000 */
87 /* Generated */
88 /* Generated */ #else
89 /* Generated */ int TA_CORREL_Lookback( int optInTimePeriod ) /* From 1 to 100000 */
90 /* Generated */
91 /* Generated */ #endif
92 /**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
93 {
94 /* insert local variable here */
95
96 /**** START GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
97 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
98 /* Generated */ /* min/max are checked for optInTimePeriod. */
99 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
100 /* Generated */ optInTimePeriod = 30;
101 /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) )
102 /* Generated */ return -1;
103 /* Generated */
104 /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
105 /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
106
107 /* insert lookback code here. */
108 return optInTimePeriod-1;
109 }
110
111 /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
112 /*
113 * TA_CORREL - Pearson's Correlation Coefficient (r)
114 *
115 * Input = double, double
116 * Output = double
117 *
118 * Optional Parameters
119 * -------------------
120 * optInTimePeriod:(From 1 to 100000)
121 * Number of period
122 *
123 *
124 */
125 /* Generated */
126 /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
127 /* Generated */ enum class Core::RetCode Core::Correl( int startIdx,
128 /* Generated */ int endIdx,
129 /* Generated */ SubArray^ inReal0,
130 /* Generated */ SubArray^ inReal1,
131 /* Generated */ int optInTimePeriod, /* From 1 to 100000 */
132 /* Generated */ [Out]int% outBegIdx,
133 /* Generated */ [Out]int% outNBElement,
134 /* Generated */ cli::array<double>^ outReal )
135 /* Generated */ #elif defined( _MANAGED )
136 /* Generated */ enum class Core::RetCode Core::Correl( int startIdx,
137 /* Generated */ int endIdx,
138 /* Generated */ cli::array<double>^ inReal0,
139 /* Generated */ cli::array<double>^ inReal1,
140 /* Generated */ int optInTimePeriod, /* From 1 to 100000 */
141 /* Generated */ [Out]int% outBegIdx,
142 /* Generated */ [Out]int% outNBElement,
143 /* Generated */ cli::array<double>^ outReal )
144 /* Generated */ #elif defined( _JAVA )
145 /* Generated */ public RetCode correl( int startIdx,
146 /* Generated */ int endIdx,
147 /* Generated */ double inReal0[],
148 /* Generated */ double inReal1[],
149 /* Generated */ int optInTimePeriod, /* From 1 to 100000 */
150 /* Generated */ MInteger outBegIdx,
151 /* Generated */ MInteger outNBElement,
152 /* Generated */ double outReal[] )
153 /* Generated */ #else
154 /* Generated */ TA_RetCode TA_CORREL( int startIdx,
155 /* Generated */ int endIdx,
156 /* Generated */ const double inReal0[],
157 /* Generated */ const double inReal1[],
158 /* Generated */ int optInTimePeriod, /* From 1 to 100000 */
159 /* Generated */ int *outBegIdx,
160 /* Generated */ int *outNBElement,
161 /* Generated */ double outReal[] )
162 /* Generated */ #endif
163 /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
164 {
165 /* insert local variable here */
166 double sumXY, sumX, sumY, sumX2, sumY2, x, y, trailingX, trailingY;
167 double tempReal;
168 int lookbackTotal, today, trailingIdx, outIdx;
169
170 /**** START GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/
171 /* Generated */
172 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
173 /* Generated */
174 /* Generated */ /* Validate the requested output range. */
175 /* Generated */ if( startIdx < 0 )
176 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex);
177 /* Generated */ if( (endIdx < 0) || (endIdx < startIdx))
178 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex);
179 /* Generated */
180 /* Generated */ #if !defined(_JAVA)
181 /* Generated */ if( !inReal0 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
182 /* Generated */ if( !inReal1 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
183 /* Generated */ #endif /* !defined(_JAVA)*/
184 /* Generated */ /* min/max are checked for optInTimePeriod. */
185 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
186 /* Generated */ optInTimePeriod = 30;
187 /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) )
188 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
189 /* Generated */
190 /* Generated */ #if !defined(_JAVA)
191 /* Generated */ if( !outReal )
192 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
193 /* Generated */
194 /* Generated */ #endif /* !defined(_JAVA) */
195 /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
196 /* Generated */
197 /**** END GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/
198
199 /* Insert TA function code here. */
200
201 /* Move up the start index if there is not
202 * enough initial data.
203 */
204 lookbackTotal = optInTimePeriod-1;
205 if( startIdx < lookbackTotal )
206 startIdx = lookbackTotal;
207
208 /* Make sure there is still something to evaluate. */
209 if( startIdx > endIdx )
210 {
211 VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
212 VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
213 return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
214 }
215
216 VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
217 trailingIdx = startIdx - lookbackTotal;
218
219 /* Calculate the initial values. */
220 sumXY = sumX = sumY = sumX2 = sumY2 = 0.0;
221 for( today=trailingIdx; today <= startIdx; today++ )
222 {
223 x = inReal0[today];
224 sumX += x;
225 sumX2 += x*x;
226
227 y = inReal1[today];
228 sumXY += x*y;
229 sumY += y;
230 sumY2 += y*y;
231 }
232
233 /* Write the first output.
234 * Save first the trailing values since the input
235 * and output might be the same array,
236 */
237 trailingX = inReal0[trailingIdx];
238 trailingY = inReal1[trailingIdx++];
239 tempReal = (sumX2-((sumX*sumX)/optInTimePeriod)) * (sumY2-((sumY*sumY)/optInTimePeriod));
240 if( !TA_IS_ZERO_OR_NEG(tempReal) )
241 outReal[0] = (sumXY-((sumX*sumY)/optInTimePeriod)) / std_sqrt(tempReal);
242 else
243 outReal[0] = 0.0;
244
245 /* Tight loop to do subsequent values. */
246 outIdx = 1;
247 while( today <= endIdx )
248 {
249 /* Remove trailing values */
250 sumX -= trailingX;
251 sumX2 -= trailingX*trailingX;
252
253 sumXY -= trailingX*trailingY;
254 sumY -= trailingY;
255 sumY2 -= trailingY*trailingY;
256
257 /* Add new values */
258 x = inReal0[today];
259 sumX += x;
260 sumX2 += x*x;
261
262 y = inReal1[today++];
263 sumXY += x*y;
264 sumY += y;
265 sumY2 += y*y;
266
267 /* Output new coefficient.
268 * Save first the trailing values since the input
269 * and output might be the same array,
270 */
271 trailingX = inReal0[trailingIdx];
272 trailingY = inReal1[trailingIdx++];
273 tempReal = (sumX2-((sumX*sumX)/optInTimePeriod)) * (sumY2-((sumY*sumY)/optInTimePeriod));
274 if( !TA_IS_ZERO_OR_NEG(tempReal) )
275 outReal[outIdx++] = (sumXY-((sumX*sumY)/optInTimePeriod)) / std_sqrt(tempReal);
276 else
277 outReal[outIdx++] = 0.0;
278 }
279
280 VALUE_HANDLE_DEREF(outNBElement) = outIdx;
281
282 return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
283 }
284
285 /**** START GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
286 /* Generated */
287 /* Generated */ #define USE_SINGLE_PRECISION_INPUT
288 /* Generated */ #if !defined( _MANAGED ) && !defined( _JAVA )
289 /* Generated */ #undef TA_PREFIX
290 /* Generated */ #define TA_PREFIX(x) TA_S_##x
291 /* Generated */ #endif
292 /* Generated */ #undef INPUT_TYPE
293 /* Generated */ #define INPUT_TYPE float
294 /* Generated */ #if defined( _MANAGED )
295 /* Generated */ enum class Core::RetCode Core::Correl( int startIdx,
296 /* Generated */ int endIdx,
297 /* Generated */ cli::array<float>^ inReal0,
298 /* Generated */ cli::array<float>^ inReal1,
299 /* Generated */ int optInTimePeriod, /* From 1 to 100000 */
300 /* Generated */ [Out]int% outBegIdx,
301 /* Generated */ [Out]int% outNBElement,
302 /* Generated */ cli::array<double>^ outReal )
303 /* Generated */ #elif defined( _JAVA )
304 /* Generated */ public RetCode correl( int startIdx,
305 /* Generated */ int endIdx,
306 /* Generated */ float inReal0[],
307 /* Generated */ float inReal1[],
308 /* Generated */ int optInTimePeriod, /* From 1 to 100000 */
309 /* Generated */ MInteger outBegIdx,
310 /* Generated */ MInteger outNBElement,
311 /* Generated */ double outReal[] )
312 /* Generated */ #else
313 /* Generated */ TA_RetCode TA_S_CORREL( int startIdx,
314 /* Generated */ int endIdx,
315 /* Generated */ const float inReal0[],
316 /* Generated */ const float inReal1[],
317 /* Generated */ int optInTimePeriod, /* From 1 to 100000 */
318 /* Generated */ int *outBegIdx,
319 /* Generated */ int *outNBElement,
320 /* Generated */ double outReal[] )
321 /* Generated */ #endif
322 /* Generated */ {
323 /* Generated */ double sumXY, sumX, sumY, sumX2, sumY2, x, y, trailingX, trailingY;
324 /* Generated */ double tempReal;
325 /* Generated */ int lookbackTotal, today, trailingIdx, outIdx;
326 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
327 /* Generated */ if( startIdx < 0 )
328 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex);
329 /* Generated */ if( (endIdx < 0) || (endIdx < startIdx))
330 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex);
331 /* Generated */ #if !defined(_JAVA)
332 /* Generated */ if( !inReal0 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
333 /* Generated */ if( !inReal1 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
334 /* Generated */ #endif
335 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
336 /* Generated */ optInTimePeriod = 30;
337 /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) )
338 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
339 /* Generated */ #if !defined(_JAVA)
340 /* Generated */ if( !outReal )
341 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
342 /* Generated */ #endif
343 /* Generated */ #endif
344 /* Generated */ lookbackTotal = optInTimePeriod-1;
345 /* Generated */ if( startIdx < lookbackTotal )
346 /* Generated */ startIdx = lookbackTotal;
347 /* Generated */ if( startIdx > endIdx )
348 /* Generated */ {
349 /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
350 /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
351 /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
352 /* Generated */ }
353 /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
354 /* Generated */ trailingIdx = startIdx - lookbackTotal;
355 /* Generated */ sumXY = sumX = sumY = sumX2 = sumY2 = 0.0;
356 /* Generated */ for( today=trailingIdx; today <= startIdx; today++ )
357 /* Generated */ {
358 /* Generated */ x = inReal0[today];
359 /* Generated */ sumX += x;
360 /* Generated */ sumX2 += x*x;
361 /* Generated */ y = inReal1[today];
362 /* Generated */ sumXY += x*y;
363 /* Generated */ sumY += y;
364 /* Generated */ sumY2 += y*y;
365 /* Generated */ }
366 /* Generated */ trailingX = inReal0[trailingIdx];
367 /* Generated */ trailingY = inReal1[trailingIdx++];
368 /* Generated */ tempReal = (sumX2-((sumX*sumX)/optInTimePeriod)) * (sumY2-((sumY*sumY)/optInTimePeriod));
369 /* Generated */ if( !TA_IS_ZERO_OR_NEG(tempReal) )
370 /* Generated */ outReal[0] = (sumXY-((sumX*sumY)/optInTimePeriod)) / std_sqrt(tempReal);
371 /* Generated */ else
372 /* Generated */ outReal[0] = 0.0;
373 /* Generated */ outIdx = 1;
374 /* Generated */ while( today <= endIdx )
375 /* Generated */ {
376 /* Generated */ sumX -= trailingX;
377 /* Generated */ sumX2 -= trailingX*trailingX;
378 /* Generated */ sumXY -= trailingX*trailingY;
379 /* Generated */ sumY -= trailingY;
380 /* Generated */ sumY2 -= trailingY*trailingY;
381 /* Generated */ x = inReal0[today];
382 /* Generated */ sumX += x;
383 /* Generated */ sumX2 += x*x;
384 /* Generated */ y = inReal1[today++];
385 /* Generated */ sumXY += x*y;
386 /* Generated */ sumY += y;
387 /* Generated */ sumY2 += y*y;
388 /* Generated */ trailingX = inReal0[trailingIdx];
389 /* Generated */ trailingY = inReal1[trailingIdx++];
390 /* Generated */ tempReal = (sumX2-((sumX*sumX)/optInTimePeriod)) * (sumY2-((sumY*sumY)/optInTimePeriod));
391 /* Generated */ if( !TA_IS_ZERO_OR_NEG(tempReal) )
392 /* Generated */ outReal[outIdx++] = (sumXY-((sumX*sumY)/optInTimePeriod)) / std_sqrt(tempReal);
393 /* Generated */ else
394 /* Generated */ outReal[outIdx++] = 0.0;
395 /* Generated */ }
396 /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx;
397 /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
398 /* Generated */ }
399 /* Generated */
400 /* Generated */ #if defined( _MANAGED )
401 /* Generated */ }}} // Close namespace TicTacTec.TA.Lib
402 /* Generated */ #endif
403 /**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
404
405