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