test_mom.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:
 *     Test the momentum functions
 *
 * The interpretation of the rate of change varies widely depending
 * which software and/or books you are refering to.
 *
 * The following is the table of Rate-Of-Change implemented in TA-LIB:
 *       MOM     = (price - prevPrice)         [Momentum]
 *       ROC     = ((price/prevPrice)-1)*100   [Rate of change]
 *       ROCP    = (price-prevPrice)/prevPrice [Rate of change Percentage]
 *       ROCR    = (price/prevPrice)           [Rate of change ratio]
 *       ROCR100 = (price/prevPrice)*100       [Rate of change ratio 100 Scale]
 *
 * Here are the equivalent function in other software:
 *       TA-Lib  |   Tradestation   |    Metastock         
 *       =================================================
 *       MOM     |   Momentum       |    ROC (Point)
 *       ROC     |   ROC            |    ROC (Percent)
 *       ROCP    |   PercentChange  |    -     
 *       ROCR    |   -              |    -
 *       ROCR100 |   -              |    MO
 *
 * The MOM function is the only one who is not normalized, and thus
 * should be avoided for comparing different time serie of prices.
 * 
 * ROC and ROCP are centered at zero and can have positive and negative
 * value. Here are some equivalence:
 *    ROC = ROCP/100 
 *        = ((price-prevPrice)/prevPrice)/100
 *        = ((price/prevPrice)-1)*100
 *
 * ROCR and ROCR100 are ratio respectively centered at 1 and 100 and are
 * always positive values.
 */

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

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

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

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

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

/**** Local declarations.              ****/
typedef enum {
TA_MOM_TEST,
TA_ROC_TEST,
TA_ROCP_TEST,
TA_ROCR_TEST,
TA_ROCR100_TEST } TA_TestId;

typedef struct
{
   TA_Integer doRangeTestFlag;
   TA_TestId  theFunction;

   TA_Integer startIdx;
   TA_Integer endIdx;

   TA_Integer optInTimePeriod;
 
   TA_RetCode expectedRetCode;

   TA_Integer oneOfTheExpectedOutRealIndex0;
   TA_Real    oneOfTheExpectedOutReal0;

   TA_Integer expectedBegIdx;
   TA_Integer expectedNbElement;
} 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[] =
{
   /**********************/
   /*      MOM TEST      */
   /**********************/

#ifndef TA_FUNC_NO_RANGE_CHECK
   /* Test out of range. */
   { 0, TA_MOM_TEST, -1, 3, 14, TA_OUT_OF_RANGE_START_INDEX, 0, 0, 0, 0},
   { 0, TA_MOM_TEST,  3, -1, 14, TA_OUT_OF_RANGE_END_INDEX,   0, 0, 0, 0},
   { 0, TA_MOM_TEST,  4, 3, 14, TA_OUT_OF_RANGE_END_INDEX,   0, 0, 0, 0},
#endif

   { 1, TA_MOM_TEST, 0, 251, 14, TA_SUCCESS,      0, -0.50,  14,  252-14 }, /* First Value */
   { 0, TA_MOM_TEST, 0, 251, 14, TA_SUCCESS,      1, -2.00,  14,  252-14 },
   { 0, TA_MOM_TEST, 0, 251, 14, TA_SUCCESS,      2, -5.22,  14,  252-14 },
   { 0, TA_MOM_TEST, 0, 251, 14, TA_SUCCESS, 252-15, -1.13,  14,  252-14 },  /* Last Value */

   /* No output value. */
   { 0, TA_MOM_TEST, 1, 1,  14, TA_SUCCESS, 0, 0, 0, 0},

   /* One value tests. */
   { 0, TA_MOM_TEST, 14,  14, 14, TA_SUCCESS, 0, -0.50,     14, 1},

   /* Index too low test. */
   { 0, TA_MOM_TEST, 0,  15, 14, TA_SUCCESS, 0, -0.50,     14, 2},
   { 0, TA_MOM_TEST, 1,  15, 14, TA_SUCCESS, 0, -0.50,     14, 2},
   { 0, TA_MOM_TEST, 2,  16, 14, TA_SUCCESS, 0, -0.50,     14, 3},
   { 0, TA_MOM_TEST, 2,  16, 14, TA_SUCCESS, 1, -2.00,     14, 3},
   { 0, TA_MOM_TEST, 2,  16, 14, TA_SUCCESS, 2, -5.22,     14, 3},
   { 0, TA_MOM_TEST, 0,  14, 14, TA_SUCCESS, 0, -0.50,     14, 1},
   { 0, TA_MOM_TEST, 0,  13, 14, TA_SUCCESS, 0, -0.50,     14, 0},

   /* Middle of data test. */
   { 0, TA_MOM_TEST, 20,  21, 14, TA_SUCCESS, 0, -4.15,    20, 2 },
   { 0, TA_MOM_TEST, 20,  21, 14, TA_SUCCESS, 1, -5.12,    20, 2 },

   /**********************/
   /*      ROC TEST      */
   /**********************/
   { 1, TA_ROC_TEST, 0, 251, 14, TA_SUCCESS,      0, -0.546,  14,  252-14 }, /* First Value */
   { 0, TA_ROC_TEST, 0, 251, 14, TA_SUCCESS,      1, -2.109,  14,  252-14 },
   { 0, TA_ROC_TEST, 0, 251, 14, TA_SUCCESS,      2, -5.53,  14,  252-14 },
   { 0, TA_ROC_TEST, 0, 251, 14, TA_SUCCESS, 252-15, -1.0367,  14,  252-14 },  /* Last Value */

   /* No output value. */
   { 0, TA_ROC_TEST, 1, 1,  14, TA_SUCCESS, 0, 0, 0, 0},

   /* One value tests. */
   { 0, TA_ROC_TEST, 14,  14, 14, TA_SUCCESS, 0, -0.546,     14, 1},

   /* Index too low test. */
   { 0, TA_ROC_TEST, 0,  15, 14, TA_SUCCESS, 0, -0.546,     14, 2},
   { 0, TA_ROC_TEST, 1,  15, 14, TA_SUCCESS, 0, -0.546,     14, 2},
   { 0, TA_ROC_TEST, 2,  16, 14, TA_SUCCESS, 0, -0.546,     14, 3},
   { 0, TA_ROC_TEST, 2,  16, 14, TA_SUCCESS, 1, -2.109,     14, 3},
   { 0, TA_ROC_TEST, 2,  16, 14, TA_SUCCESS, 2, -5.53,     14, 3},
   { 0, TA_ROC_TEST, 0,  14, 14, TA_SUCCESS, 0, -0.546,     14, 1},
   { 0, TA_ROC_TEST, 0,  13, 14, TA_SUCCESS, 0, -0.546,     14, 0},

   /* Middle of data test. */
   { 0, TA_ROC_TEST, 20,  21, 14, TA_SUCCESS, 0, -4.49,    20, 2 },
   { 0, TA_ROC_TEST, 20,  21, 14, TA_SUCCESS, 1, -5.5256,    20, 2 },


   /**********************/
   /*     ROCR TEST   */
   /**********************/
   { 1, TA_ROCR_TEST, 0, 251, 14, TA_SUCCESS,      0, 0.994536,  14,  252-14 }, /* First Value */
   { 0, TA_ROCR_TEST, 0, 251, 14, TA_SUCCESS,      1, 0.978906,  14,  252-14 },
   { 0, TA_ROCR_TEST, 0, 251, 14, TA_SUCCESS,      2, 0.944689,  14,  252-14 },
   { 0, TA_ROCR_TEST, 0, 251, 14, TA_SUCCESS, 252-15, 0.989633,  14,  252-14 },  /* Last Value */

   /* No output value. */
   { 0, TA_ROCR_TEST, 1, 1,  14, TA_SUCCESS, 0, 0, 0, 0},

   /* One value tests. */
   { 0, TA_ROCR_TEST, 14,  14, 14, TA_SUCCESS, 0, 0.994536,     14, 1},

   /* Index too low test. */
   { 0, TA_ROCR_TEST, 0,  15, 14, TA_SUCCESS, 0, 0.994536,     14, 2},
   { 0, TA_ROCR_TEST, 1,  15, 14, TA_SUCCESS, 0, 0.994536,     14, 2},
   { 0, TA_ROCR_TEST, 2,  16, 14, TA_SUCCESS, 0, 0.994536,     14, 3},
   { 0, TA_ROCR_TEST, 2,  16, 14, TA_SUCCESS, 1, 0.978906,     14, 3},
   { 0, TA_ROCR_TEST, 2,  16, 14, TA_SUCCESS, 2, 0.944689,     14, 3},
   { 0, TA_ROCR_TEST, 0,  14, 14, TA_SUCCESS, 0, 0.994536,     14, 1},
   { 0, TA_ROCR_TEST, 0,  13, 14, TA_SUCCESS, 0, 0.994536,     14, 0},

   /* Middle of data test. */
   { 0, TA_ROCR_TEST, 20,  21, 14, TA_SUCCESS, 0, 0.955096,    20, 2 },
   { 0, TA_ROCR_TEST, 20,  21, 14, TA_SUCCESS, 1, 0.944744,    20, 2 },

   /**********************/
   /*     ROCR100 TEST   */
   /**********************/
   { 1, TA_ROCR100_TEST, 0, 251, 14, TA_SUCCESS,      0, 99.4536,  14,  252-14 }, /* First Value */
   { 0, TA_ROCR100_TEST, 0, 251, 14, TA_SUCCESS,      1, 97.8906,  14,  252-14 },
   { 0, TA_ROCR100_TEST, 0, 251, 14, TA_SUCCESS,      2, 94.4689,  14,  252-14 },
   { 0, TA_ROCR100_TEST, 0, 251, 14, TA_SUCCESS, 252-15, 98.9633,  14,  252-14 },  /* Last Value */

   /* No output value. */
   { 0, TA_ROCR100_TEST, 1, 1,  14, TA_SUCCESS, 0, 0, 0, 0},

   /* One value tests. */
   { 0, TA_ROCR100_TEST, 14,  14, 14, TA_SUCCESS, 0, 99.4536,     14, 1},

   /* Index too low test. */
   { 0, TA_ROCR100_TEST, 0,  15, 14, TA_SUCCESS, 0, 99.4536,     14, 2},
   { 0, TA_ROCR100_TEST, 1,  15, 14, TA_SUCCESS, 0, 99.4536,     14, 2},
   { 0, TA_ROCR100_TEST, 2,  16, 14, TA_SUCCESS, 0, 99.4536,     14, 3},
   { 0, TA_ROCR100_TEST, 2,  16, 14, TA_SUCCESS, 1, 97.8906,     14, 3},
   { 0, TA_ROCR100_TEST, 2,  16, 14, TA_SUCCESS, 2, 94.4689,     14, 3},
   { 0, TA_ROCR100_TEST, 0,  14, 14, TA_SUCCESS, 0, 99.4536,     14, 1},
   { 0, TA_ROCR100_TEST, 0,  13, 14, TA_SUCCESS, 0, 99.4536,     14, 0},

   /* Middle of data test. */
   { 0, TA_ROCR100_TEST, 20,  21, 14, TA_SUCCESS, 0, 95.5096,    20, 2 },
   { 0, TA_ROCR100_TEST, 20,  21, 14, TA_SUCCESS, 1, 94.4744,    20, 2 }

};

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

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

   for( i=0; i < NB_TEST; i++ )
   {
      if( (int)tableTest[i].expectedNbElement > (int)history->nbBars )
      {
         printf( "%s Failed Bad Parameter for Test #%d (%d,%d)\n", __FILE__,
                 i, tableTest[i].expectedNbElement, history->nbBars );
         return TA_TESTUTIL_TFRR_BAD_PARAM;
      }