ta_ht_trendmode.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
 *  -------------------------------------------------------------------
 *  120802 MF   Template creation.
 *  052603 MF   Adapt code to compile with .NET Managed C++
 *
 */

/**** START GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
/* All code within this section is automatically
 * generated by gen_code. Any modification will be lost
 * next time gen_code is run.
 */
/* Generated */ 
/* Generated */ #if defined( _MANAGED )
/* Generated */    #include "TA-Lib-Core.h"
/* Generated */    #define TA_INTERNAL_ERROR(Id) (RetCode::InternalError)
/* Generated */    namespace TicTacTec { namespace TA { namespace Library {
/* Generated */ #elif defined( _JAVA )
/* Generated */    #include "ta_defs.h"
/* Generated */    #include "ta_java_defs.h"
/* Generated */    #define TA_INTERNAL_ERROR(Id) (RetCode.InternalError)
/* Generated */ #else
/* Generated */    #include <string.h>
/* Generated */    #include <math.h>
/* Generated */    #include "ta_func.h"
/* Generated */ #endif
/* Generated */ 
/* Generated */ #ifndef TA_UTILITY_H
/* Generated */    #include "ta_utility.h"
/* Generated */ #endif
/* Generated */ 
/* Generated */ #ifndef TA_MEMORY_H
/* Generated */    #include "ta_memory.h"
/* Generated */ #endif
/* Generated */ 
/* Generated */ #define TA_PREFIX(x) TA_##x
/* Generated */ #define INPUT_TYPE   double
/* Generated */ 
/* Generated */ #if defined( _MANAGED )
/* Generated */ int Core::HtTrendModeLookback( void )
/* Generated */ 
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int htTrendModeLookback(  )
/* Generated */ 
/* Generated */ #else
/* Generated */ int TA_HT_TRENDMODE_Lookback( void )
/* Generated */ 
/* Generated */ #endif
/**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
{
   /* insert local variable here */

/**** START GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
/* Generated */ /* No parameters to validate. */
/**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/

   /* insert lookback code here. */

   /*  31 input are skip 
    * +32 output are skip to account for misc lookback
    * ---
    *  63 Total Lookback
    *
    * 31 is for being compatible with Tradestation.
    * See TA_MAMA_Lookback for an explanation of the "32".
    */
   return 63 + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_HT_TRENDMODE,HtTrendMode);
}

/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
 * TA_HT_TRENDMODE - Hilbert Transform - Trend vs Cycle Mode
 * 
 * Input  = double
 * Output = int
 * 
 */
/* Generated */ 
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::HtTrendMode( int    startIdx,
/* Generated */                                             int    endIdx,
/* Generated */                                             SubArray^    inReal,
/* Generated */                                             [Out]int%    outBegIdx,
/* Generated */                                             [Out]int%    outNBElement,
/* Generated */                                             cli::array<int>^  outInteger )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::HtTrendMode( int    startIdx,
/* Generated */                                             int    endIdx,
/* Generated */                                             cli::array<double>^ inReal,
/* Generated */                                             [Out]int%    outBegIdx,
/* Generated */                                             [Out]int%    outNBElement,
/* Generated */                                             cli::array<int>^  outInteger )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode htTrendMode( int    startIdx,
/* Generated */                             int    endIdx,
/* Generated */                             double       inReal[],
/* Generated */                             MInteger     outBegIdx,
/* Generated */                             MInteger     outNBElement,
/* Generated */                             int           outInteger[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_HT_TRENDMODE( int    startIdx,
/* Generated */                             int    endIdx,
/* Generated */                             const double inReal[],
/* Generated */                             int          *outBegIdx,
/* Generated */                             int          *outNBElement,
/* Generated */                             int           outInteger[] )
/* Generated */ #endif
/**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
{
	/* insert local variable here */
   int outIdx, i;
   int lookbackTotal, today;
   double tempReal, tempReal2;

   double adjustedPrevPeriod, period;

   /* Variable used for the price smoother (a weighted moving average). */
   int trailingWMAIdx;
   double periodWMASum, periodWMASub, trailingWMAValue;
   double smoothedValue;

   /* Variable to keep track of the last 3 ITrend */
   double iTrend1, iTrend2, iTrend3;

   /* Variables used for the Hilbert Transormation */
   CONSTANT_DOUBLE(a) = 0.0962;
   CONSTANT_DOUBLE(b) = 0.5769;
   double hilbertTempReal;
   int hilbertIdx;

   HILBERT_VARIABLES( detrender );
   HILBERT_VARIABLES( Q1 );
   HILBERT_VARIABLES( jI );
   HILBERT_VARIABLES( jQ );

   double Q2, I2, prevQ2, prevI2, Re, Im;

   double I1ForOddPrev2,  I1ForOddPrev3;
   double I1ForEvenPrev2, I1ForEvenPrev3;

   double rad2Deg, deg2Rad, constDeg2RadBy360;

   double todayValue, smoothPeriod;

   /* Variable used to keep track of the previous
    * smooth price. In the case of this algorithm,
    * we will never need more than 50 values.
    */
   #define SMOOTH_PRICE_SIZE 50
   CIRCBUF_PROLOG(smoothPrice,double,SMOOTH_PRICE_SIZE);
   int idx;

   /* Variable used to calculate the dominant cycle phase */
   int DCPeriodInt;
   double DCPhase, DCPeriod, imagPart, realPart;

   /* Variable used to calculate the trend mode */
   int daysInTrend, trend;
   double prevDCPhase, trendline;
   double prevSine, prevLeadSine, sine, leadSine;
   

/**** START GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/
/* Generated */ 
/* Generated */ #ifndef TA_FUNC_NO_RANGE_CHECK
/* Generated */ 
/* Generated */    /* Validate the requested output range. */
/* Generated */    if( startIdx < 0 )
/* Generated */       return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_START_INDEX,OutOfRangeStartIndex);
/* Generated */    if( (endIdx < 0) || (endIdx < startIdx))
/* Generated */       return ENUM_VALUE(RetCode,TA_OUT_OF_RANGE_END_INDEX,OutOfRangeEndIndex);
/* Generated */ 
/* Generated */    #if !defined(_JAVA)
/* Generated */    if( !inReal ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */    #endif /* !defined(_JAVA)*/
/* Generated */    #if !defined(_JAVA)
/* Generated */    if( !outInteger )
/* Generated */       return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ 
/* Generated */    #endif /* !defined(_JAVA) */
/* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
/* Generated */ 
/**** END GENCODE SECTION 4 - DO NOT DELETE THIS LINE ****/

   /* Insert TA function code here. */

   CIRCBUF_INIT_LOCAL_ONLY(smoothPrice,double);

   iTrend1 = iTrend2 = iTrend3 = 0.0;
   daysInTrend  = 0;
   prevDCPhase  = DCPhase  = 0.0;
   prevSine     = sine     = 0.0;
   prevLeadSine = leadSine = 0.0;

   /* The following could be replaced by constant eventually. */
   tempReal = std_atan(1);
   rad2Deg = 45.0/tempReal;
   deg2Rad = 1.0/rad2Deg;
   constDeg2RadBy360 = tempReal*8.0;

   /* Identify the minimum number of price bar needed
    * to calculate at least one output.
    */
   lookbackTotal = 63 + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_HT_TRENDMODE,HtTrendMode);

   /* Move up the start index if there is not
    * enough initial data.
    */
   if( startIdx < lookbackTotal )
      startIdx = lookbackTotal;

   /* Make sure there is still something to evaluate. */
   if( startIdx > endIdx )
   {
      VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
      VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
      return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
   }

   VALUE_HANDLE_DEREF(outBegIdx) = startIdx;

   /* Initialize the price smoother, which is simply a weighted
    * moving average of the price.