test_macd.c

股票主要技术指标源码

/* TA-LIB Copyright (c) 1999-2007, Mario Fortier
 * All rights reserved.
 *
 * Redistribution and use in source and binary forms, with or
 * without modification, are permitted provided that the following
 * conditions are met:
 *
 * - Redistributions of source code must retain the above copyright
 *   notice, this list of conditions and the following disclaimer.
 *
 * - Redistributions in binary form must reproduce the above copyright
 *   notice, this list of conditions and the following disclaimer in
 *   the documentation and/or other materials provided with the
 *   distribution.
 *
 * - Neither name of author nor the names of its contributors
 *   may be used to endorse or promote products derived from this
 *   software without specific prior written permission.
 *
 * THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
 * ``AS IS'' AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
 * LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS
 * FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE
 * REGENTS OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT,
 * INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES
 * (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS
 * OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
 * INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY,
 * WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE
 * OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE,
 * EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
 */

/* List of contributors:
 *
 *  Initial  Name/description
 *  -------------------------------------------------------------------
 *  MF       Mario Fortier
 *
 *
 * Change history:
 *
 *  MMDDYY BY   Description
 *  -------------------------------------------------------------------
 *  112400 MF   First version.
 *
 */

/* Description:
 *     Regression test of MACD.
 */

/**** Headers ****/
#include <stdio.h>
#include <string.h>

#include "ta_test_priv.h"
#include "ta_test_func.h"
#include "ta_utility.h"
#include "ta_memory.h"

/**** External functions declarations. ****/
/* None */

/**** External variables declarations. ****/
/* None */

/**** Global variables definitions.    ****/
/* None */

/**** Local declarations.              ****/
typedef enum {
TA_MACD_TEST,
TA_MACDFIX_TEST,
TA_MACDEXT_TEST
} TA_TestId;

typedef struct
{ 
   TA_Integer doRangeTestFlag;
   TA_TestId  testId;

   TA_Integer startIdx;
   TA_Integer endIdx;

   TA_Integer optInFastPeriod;
   TA_Integer optInSlowPeriod;
   TA_Integer optInSignalPeriod_2;
   TA_Integer compatibility;

   TA_RetCode expectedRetCode;

   TA_Integer expectedBegIdx;
   TA_Integer expectedNbElement;
   
   TA_Integer oneOfTheExpectedOutRealIndex0;
   TA_Real    oneOfTheExpectedOutReal0;

   TA_Integer oneOfTheExpectedOutRealIndex1;
   TA_Real    oneOfTheExpectedOutReal1;

   TA_Integer oneOfTheExpectedOutRealIndex2;
   TA_Real    oneOfTheExpectedOutReal2;

} TA_Test;
                                                                      
typedef struct
{
   const TA_Test *test;
   const TA_Real *close;
} TA_RangeTestParam;

/**** Local functions declarations.    ****/
static ErrorNumber do_test( const TA_History *history,
                            const TA_Test *test );

/**** Local variables definitions.     ****/
static TA_Test tableTest[] =
{

   /*********************/
   /*   MACD - CLASSIC  */
   /*********************/
   { 0, TA_MACD_TEST, 0, 251, 12, 26, 9, TA_COMPATIBILITY_DEFAULT, TA_SUCCESS,  33, 252-33, /* 25, 252-25,*/  
                                                          0, -1.9738,  /* MACD */
                                                          0, -2.7071,  /* Signal */
                                                          0, (-1.9738)-(-2.7071) }, /* Histogram */

   /* Test period inversion */
   { 0, TA_MACD_TEST, 0, 251, 26, 12, 9, TA_COMPATIBILITY_DEFAULT, TA_SUCCESS,  33, 252-33, /* 25, 252-25,*/  
                                                          0, -1.9738,  /* MACD */
                                                          0, -2.7071,  /* Signal */
                                                          0, (-1.9738)-(-2.7071) }, /* Histogram */

   /***********************/
   /*   MACD - METASTOCK  */
   /***********************/

   /*******************************/
   /*   MACDEXT - MIMIC CLASSIC   */
   /*******************************/
   { 0, TA_MACDEXT_TEST, 0, 251, 12, 26, 9, TA_COMPATIBILITY_DEFAULT, TA_SUCCESS,  33, 252-33, /* 25, 252-25,*/  
                                                          0, -1.9738,  /* MACD */
                                                          0, -2.7071,  /* Signal */
                                                          0, (-1.9738)-(-2.7071)}, /* Histogram */

   /***************************/
   /*   MACD FIX - CLASSIC    */
   /***************************/

   /***************************/
   /*   MACD FIX - METASTOCK  */
   /***************************/
   { 1, TA_MACDFIX_TEST, 0, 251, 12, 26, 9, TA_COMPATIBILITY_METASTOCK, TA_SUCCESS,  33, 252-33, /* 25, 252-25,*/  
                                                          0, -1.2185,  /* MACD */
                                                          0, -1.7119,  /* Signal */
                                                          0, (-1.2185)-(-1.7119) }, /* Histogram */

   { 0, TA_MACDFIX_TEST, 0, 251, 12, 26, 9, TA_COMPATIBILITY_METASTOCK, TA_SUCCESS, 33, 252-33, 
                                                        252-34,  0.8764, /* MACD */
                                                        252-34,  1.3533,   /* Signal */
                                                        252-34,  (0.8764)-(1.3533)}, /* Histogram */
   /* Test period inversion */
   { 0, TA_MACDFIX_TEST, 0, 251, 26, 12, 9, TA_COMPATIBILITY_METASTOCK, TA_SUCCESS, 33, 252-33, 
                                                        252-34,  0.8764, /* MACD */
                                                        252-34,  1.3533,   /* Signal */
                                                        252-34,  (0.8764)-(1.3533)} /* Histogram */

};

#define NB_TEST (sizeof(tableTest)/sizeof(TA_Test))

/**** Global functions definitions.   ****/
ErrorNumber test_func_macd( TA_History *history )
{
   unsigned int i;
   ErrorNumber retValue;

   for( i=0; i < NB_TEST; i++ )
   {

      if( (int)tableTest[i].expectedNbElement > (int)history->nbBars )
      {
         printf( "TA_MACD Failed Bad Parameter for Test #%d (%d,%d)\n",
                 i,
                 tableTest[i].expectedNbElement,
                 history->nbBars );
         return TA_TESTUTIL_TFRR_BAD_PARAM;
      }

      retValue = do_test( history, &tableTest[i] );
      if( retValue != 0 )
      {
         printf( "TA_MACD Failed Test #%d (Code=%d)\n", i, retValue );
         return retValue;
      }
   }

   /* All test succeed. */
   return TA_TEST_PASS; 
}

/**** Local functions definitions.     ****/
static TA_RetCode rangeTestFunction( TA_Integer    startIdx,
                                     TA_Integer    endIdx,
                                     TA_Real      *outputBuffer,
                                     TA_Integer   *outputBufferInt,
                                     TA_Integer   *outBegIdx,
                                     TA_Integer   *outNbElement,
                                     TA_Integer   *lookback,
                                     void         *opaqueData,
                                     unsigned int  outputNb,
                                     unsigned int *isOutputInteger )
{
   TA_RetCode retCode;
   TA_RangeTestParam *testParam;
   TA_Real *dummyBuffer1, *dummyBuffer2;
   TA_Real *out1, *out2, *out3;

   (void)outputBufferInt;

   *isOutputInteger = 0;

   testParam = (TA_RangeTestParam *)opaqueData;   

   dummyBuffer1 = TA_Malloc( ((endIdx-startIdx)+1)*sizeof(TA_Real));
   if( !dummyBuffer1 )
      return TA_ALLOC_ERR;

   dummyBuffer2 = TA_Malloc( ((endIdx-startIdx)+1)*sizeof(TA_Real));
   if( !dummyBuffer2 )
   {
      TA_Free(  dummyBuffer1 );
      return TA_ALLOC_ERR;
   }

   switch( outputNb )
   {
   case 0:
      out1 = outputBuffer;
      out2 = dummyBuffer1;
      out3 = dummyBuffer2;
      break;
   case 1:
      out2 = outputBuffer;
      out1 = dummyBuffer1;
      out3 = dummyBuffer2;
      break;
   case 2:
      out3 = outputBuffer;
      out2 = dummyBuffer1;
      out1 = dummyBuffer2;
      break;
   default:
      TA_Free(  dummyBuffer1 );
      TA_Free(  dummyBuffer2 );
      return TA_BAD_PARAM;
   }

   switch( testParam->test->testId )
   {
   case TA_MACDFIX_TEST:
      retCode = TA_MACDFIX( startIdx,
                            endIdx,
                            testParam->close,
                            testParam->test->optInSignalPeriod_2,
                            outBegIdx, outNbElement,
                            out1, out2, out3 );
     *lookback = TA_MACDFIX_Lookback( testParam->test->optInSignalPeriod_2 );
     break;
   case TA_MACD_TEST:
      retCode = TA_MACD(    startIdx,
                            endIdx,
                            testParam->close,
                            testParam->test->optInFastPeriod,
                            testParam->test->optInSlowPeriod,
                            testParam->test->optInSignalPeriod_2,
                            outBegIdx, outNbElement,
                            out1, out2, out3 );

      *lookback = TA_MACD_Lookback( testParam->test->optInFastPeriod,
                                    testParam->test->optInSlowPeriod,
                                    testParam->test->optInSignalPeriod_2 );
      break;
   case TA_MACDEXT_TEST:
      retCode = TA_MACDEXT( startIdx,
                            endIdx,
                            testParam->close,
                            testParam->test->optInFastPeriod,
                            TA_MAType_EMA,
                            testParam->test->optInSlowPeriod,
                            TA_MAType_EMA,
                            testParam->test->optInSignalPeriod_2,
                            TA_MAType_EMA,
                            outBegIdx, outNbElement,
                            out1, out2, out3 );

      *lookback = TA_MACDEXT_Lookback( testParam->test->optInFastPeriod,
                                       TA_MAType_EMA,
                                       testParam->test->optInSlowPeriod,
                                       TA_MAType_EMA,
                                       testParam->test->optInSignalPeriod_2,