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 * JP John Price <jp_talib@gcfl.net>
39 * MF Mario Fortier
40 * AM Adrian Michel <http://amichel.com>
41 *
42 * Change history:
43 *
44 * MMDDYY BY Description
45 * -------------------------------------------------------------------
46 * 070203 JP Initial.
47 * 072106 MF,AM Fix #1526632. Add missing atan().
48 */
49
50 /**** START GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
51 /* All code within this section is automatically
52 * generated by gen_code. Any modification will be lost
53 * next time gen_code is run.
54 */
55 /* Generated */
56 /* Generated */ #if defined( _MANAGED )
57 /* Generated */ #include "TA-Lib-Core.h"
58 /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode::InternalError)
59 /* Generated */ namespace TicTacTec { namespace TA { namespace Library {
60 /* Generated */ #elif defined( _JAVA )
61 /* Generated */ #include "ta_defs.h"
62 /* Generated */ #include "ta_java_defs.h"
63 /* Generated */ #define TA_INTERNAL_ERROR(Id) (RetCode.InternalError)
64 /* Generated */ #else
65 /* Generated */ #include <string.h>
66 /* Generated */ #include <math.h>
67 /* Generated */ #include "ta_func.h"
68 /* Generated */ #endif
69 /* Generated */
70 /* Generated */ #ifndef TA_UTILITY_H
71 /* Generated */ #include "ta_utility.h"
72 /* Generated */ #endif
73 /* Generated */
74 /* Generated */ #ifndef TA_MEMORY_H
75 /* Generated */ #include "ta_memory.h"
76 /* Generated */ #endif
77 /* Generated */
78 /* Generated */ #define TA_PREFIX(x) TA_##x
79 /* Generated */ #define INPUT_TYPE double
80 /* Generated */
81 /* Generated */ #if defined( _MANAGED )
LinearRegAngleLookback(int optInTimePeriod)82 /* Generated */ int Core::LinearRegAngleLookback( int optInTimePeriod ) /* From 2 to 100000 */
83 /* Generated */
84 /* Generated */ #elif defined( _JAVA )
85 /* Generated */ public int linearRegAngleLookback( int optInTimePeriod ) /* From 2 to 100000 */
86 /* Generated */
87 /* Generated */ #else
88 /* Generated */ int TA_LINEARREG_ANGLE_Lookback( int optInTimePeriod ) /* From 2 to 100000 */
89 /* Generated */
90 /* Generated */ #endif
91 /**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
92 {
93 /* insert local variable here */
94
95 /**** START GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
96 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
97 /* Generated */ /* min/max are checked for optInTimePeriod. */
98 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
99 /* Generated */ optInTimePeriod = 14;
100 /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
101 /* Generated */ return -1;
102 /* Generated */
103 /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
104 /**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
105
106 /* insert lookback code here. */
107 return optInTimePeriod-1;
108 }
109
110 /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
111 /*
112 * TA_LINEARREG_ANGLE - Linear Regression Angle
113 *
114 * Input = double
115 * Output = double
116 *
117 * Optional Parameters
118 * -------------------
119 * optInTimePeriod:(From 2 to 100000)
120 * Number of period
121 *
122 *
123 */
124 /* Generated */
125 /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
126 /* Generated */ enum class Core::RetCode Core::LinearRegAngle( int startIdx,
127 /* Generated */ int endIdx,
128 /* Generated */ SubArray^ inReal,
129 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
130 /* Generated */ [Out]int% outBegIdx,
131 /* Generated */ [Out]int% outNBElement,
132 /* Generated */ cli::array<double>^ outReal )
133 /* Generated */ #elif defined( _MANAGED )
134 /* Generated */ enum class Core::RetCode Core::LinearRegAngle( int startIdx,
135 /* Generated */ int endIdx,
136 /* Generated */ cli::array<double>^ inReal,
137 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
138 /* Generated */ [Out]int% outBegIdx,
139 /* Generated */ [Out]int% outNBElement,
140 /* Generated */ cli::array<double>^ outReal )
141 /* Generated */ #elif defined( _JAVA )
142 /* Generated */ public RetCode linearRegAngle( int startIdx,
143 /* Generated */ int endIdx,
144 /* Generated */ double inReal[],
145 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
146 /* Generated */ MInteger outBegIdx,
147 /* Generated */ MInteger outNBElement,
148 /* Generated */ double outReal[] )
149 /* Generated */ #else
150 /* Generated */ TA_RetCode TA_LINEARREG_ANGLE( int startIdx,
151 /* Generated */ int endIdx,
152 /* Generated */ const double inReal[],
153 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
154 /* Generated */ int *outBegIdx,
155 /* Generated */ int *outNBElement,
156 /* Generated */ double outReal[] )
157 /* Generated */ #endif
158 /**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
159 {
160 /* insert local variable here */
161 int outIdx;
162
163 int today, lookbackTotal;
164 double SumX, SumXY, SumY, SumXSqr, Divisor;
165
166 double m;
167
168 int i;
169
170 double tempValue1;
171
172 /**** START GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/
173 /* Generated */
174 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
175 /* Generated */
176 /* Generated */ /* Validate the requested output range. */
177 /* Generated */ if( startIdx < 0 )
178 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex);
179 /* Generated */ if( (endIdx < 0) || (endIdx < startIdx))
180 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex);
181 /* Generated */
182 /* Generated */ #if !defined(_JAVA)
183 /* Generated */ if( !inReal ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
184 /* Generated */ #endif /* !defined(_JAVA)*/
185 /* Generated */ /* min/max are checked for optInTimePeriod. */
186 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
187 /* Generated */ optInTimePeriod = 14;
188 /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
189 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
190 /* Generated */
191 /* Generated */ #if !defined(_JAVA)
192 /* Generated */ if( !outReal )
193 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
194 /* Generated */
195 /* Generated */ #endif /* !defined(_JAVA) */
196 /* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
197 /* Generated */
198 /**** END GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/
199
200 /* Insert TA function code here. */
201
202 /* Linear Regression is a concept also known as the
203 * "least squares method" or "best fit." Linear
204 * Regression attempts to fit a straight line between
205 * several data points in such a way that distance
206 * between each data point and the line is minimized.
207 *
208 * For each point, a straight line over the specified
209 * previous bar period is determined in terms
210 * of y = b + m*x:
211 *
212 * TA_LINEARREG : Returns b+m*(period-1)
213 * TA_LINEARREG_SLOPE : Returns 'm'
214 * TA_LINEARREG_ANGLE : Returns 'm' in degree.
215 * TA_LINEARREG_INTERCEPT: Returns 'b'
216 * TA_TSF : Returns b+m*(period)
217 */
218
219 /* Adjust startIdx to account for the lookback period. */
220 lookbackTotal = LOOKBACK_CALL(LINEARREG_ANGLE)( optInTimePeriod );
221
222 if( startIdx < lookbackTotal )
223 startIdx = lookbackTotal;
224
225 /* Make sure there is still something to evaluate. */
226 if( startIdx > endIdx )
227 {
228 VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
229 VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
230 return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
231 }
232
233 outIdx = 0; /* Index into the output. */
234 today = startIdx;
235
236 SumX = optInTimePeriod * ( optInTimePeriod - 1 ) * 0.5;
237 SumXSqr = optInTimePeriod * ( optInTimePeriod - 1 ) * ( 2 * optInTimePeriod - 1 ) / 6;
238 Divisor = SumX * SumX - optInTimePeriod * SumXSqr;
239
240 while( today <= endIdx )
241 {
242 SumXY = 0;
243 SumY = 0;
244 for( i = optInTimePeriod; i-- != 0; )
245 {
246 SumY += tempValue1 = inReal[today - i];
247 SumXY += (double)i * tempValue1;
248 }
249 m = ( optInTimePeriod * SumXY - SumX * SumY) / Divisor;
250 outReal[outIdx++] = std_atan(m) * ( 180.0 / PI );
251 today++;
252 }
253
254 VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
255 VALUE_HANDLE_DEREF(outNBElement) = outIdx;
256
257 return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
258 }
259
260 /**** START GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
261 /* Generated */
262 /* Generated */ #define USE_SINGLE_PRECISION_INPUT
263 /* Generated */ #if !defined( _MANAGED ) && !defined( _JAVA )
264 /* Generated */ #undef TA_PREFIX
265 /* Generated */ #define TA_PREFIX(x) TA_S_##x
266 /* Generated */ #endif
267 /* Generated */ #undef INPUT_TYPE
268 /* Generated */ #define INPUT_TYPE float
269 /* Generated */ #if defined( _MANAGED )
270 /* Generated */ enum class Core::RetCode Core::LinearRegAngle( int startIdx,
271 /* Generated */ int endIdx,
272 /* Generated */ cli::array<float>^ inReal,
273 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
274 /* Generated */ [Out]int% outBegIdx,
275 /* Generated */ [Out]int% outNBElement,
276 /* Generated */ cli::array<double>^ outReal )
277 /* Generated */ #elif defined( _JAVA )
278 /* Generated */ public RetCode linearRegAngle( int startIdx,
279 /* Generated */ int endIdx,
280 /* Generated */ float inReal[],
281 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
282 /* Generated */ MInteger outBegIdx,
283 /* Generated */ MInteger outNBElement,
284 /* Generated */ double outReal[] )
285 /* Generated */ #else
286 /* Generated */ TA_RetCode TA_S_LINEARREG_ANGLE( int startIdx,
287 /* Generated */ int endIdx,
288 /* Generated */ const float inReal[],
289 /* Generated */ int optInTimePeriod, /* From 2 to 100000 */
290 /* Generated */ int *outBegIdx,
291 /* Generated */ int *outNBElement,
292 /* Generated */ double outReal[] )
293 /* Generated */ #endif
294 /* Generated */ {
295 /* Generated */ int outIdx;
296 /* Generated */ int today, lookbackTotal;
297 /* Generated */ double SumX, SumXY, SumY, SumXSqr, Divisor;
298 /* Generated */ double m;
299 /* Generated */ int i;
300 /* Generated */ double tempValue1;
301 /* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
302 /* Generated */ if( startIdx < 0 )
303 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex);
304 /* Generated */ if( (endIdx < 0) || (endIdx < startIdx))
305 /* Generated */ return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex);
306 /* Generated */ #if !defined(_JAVA)
307 /* Generated */ if( !inReal ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
308 /* Generated */ #endif
309 /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
310 /* Generated */ optInTimePeriod = 14;
311 /* Generated */ else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
312 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
313 /* Generated */ #if !defined(_JAVA)
314 /* Generated */ if( !outReal )
315 /* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
316 /* Generated */ #endif
317 /* Generated */ #endif
318 /* Generated */ lookbackTotal = LOOKBACK_CALL(LINEARREG_ANGLE)( optInTimePeriod );
319 /* Generated */ if( startIdx < lookbackTotal )
320 /* Generated */ startIdx = lookbackTotal;
321 /* Generated */ if( startIdx > endIdx )
322 /* Generated */ {
323 /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
324 /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
325 /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
326 /* Generated */ }
327 /* Generated */ outIdx = 0;
328 /* Generated */ today = startIdx;
329 /* Generated */ SumX = optInTimePeriod * ( optInTimePeriod - 1 ) * 0.5;
330 /* Generated */ SumXSqr = optInTimePeriod * ( optInTimePeriod - 1 ) * ( 2 * optInTimePeriod - 1 ) / 6;
331 /* Generated */ Divisor = SumX * SumX - optInTimePeriod * SumXSqr;
332 /* Generated */ while( today <= endIdx )
333 /* Generated */ {
334 /* Generated */ SumXY = 0;
335 /* Generated */ SumY = 0;
336 /* Generated */ for( i = optInTimePeriod; i-- != 0; )
337 /* Generated */ {
338 /* Generated */ SumY += tempValue1 = inReal[today - i];
339 /* Generated */ SumXY += (double)i * tempValue1;
340 /* Generated */ }
341 /* Generated */ m = ( optInTimePeriod * SumXY - SumX * SumY) / Divisor;
342 /* Generated */ outReal[outIdx++] = std_atan(m) * ( 180.0 / PI );
343 /* Generated */ today++;
344 /* Generated */ }
345 /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
346 /* Generated */ VALUE_HANDLE_DEREF(outNBElement) = outIdx;
347 /* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
348 /* Generated */ }
349 /* Generated */
350 /* Generated */ #if defined( _MANAGED )
351 /* Generated */ }}} // Close namespace TicTacTec.TA.Lib
352 /* Generated */ #endif
353 /**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
354
355