ta_stddev.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
 *  JV       Jesus Viver <[e-mail]>
 *
 * Change history:
 *
 *  MMDDYY BY   Description
 *  -------------------------------------------------------------------
 *  112400 MF   Template creation.
 *  100502 JV   Speed optimization of the algorithm
 *  052603 MF   Adapt code to compile with .NET Managed C++
 *  090404 MF   Fix #978056. Trap sqrt with negative zero values.
 */

/**** 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::StdDevLookback( int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                         double        optInNbDev )  /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ 
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int stdDevLookback( int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                          double        optInNbDev )  /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ 
/* Generated */ #else
/* Generated */ int TA_STDDEV_Lookback( int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                       double        optInNbDev )  /* From TA_REAL_MIN to TA_REAL_MAX */
/* 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 */ #ifndef TA_FUNC_NO_RANGE_CHECK
/* Generated */    /* min/max are checked for optInTimePeriod. */
/* Generated */    if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
/* Generated */       optInTimePeriod = 5;
/* Generated */    else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
/* Generated */       return -1;
/* Generated */ 
/* Generated */    if( optInNbDev == TA_REAL_DEFAULT )
/* Generated */       optInNbDev = 1.000000e+0;
/* Generated */    else if( (optInNbDev < -3.000000e+37) ||/* Generated */  (optInNbDev > 3.000000e+37) )
/* Generated */       return -1;
/* Generated */ 
/* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
/**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/

   /* insert lookback code here. */

   /* Lookback is driven by the variance. */
   return LOOKBACK_CALL(VAR)( optInTimePeriod, optInNbDev );
}

/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
 * TA_STDDEV - Standard Deviation
 * 
 * Input  = double
 * Output = double
 * 
 * Optional Parameters
 * -------------------
 * optInTimePeriod:(From 2 to 100000)
 *    Number of period
 * 
 * optInNbDev:(From TA_REAL_MIN to TA_REAL_MAX)
 *    Nb of deviations
 * 
 * 
 */
/* Generated */ 
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::StdDev( int    startIdx,
/* Generated */                                        int    endIdx,
/* Generated */                                        SubArray^    inReal,
/* Generated */                                        int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                                        double        optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */                                        [Out]int%    outBegIdx,
/* Generated */                                        [Out]int%    outNBElement,
/* Generated */                                        cli::array<double>^  outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::StdDev( int    startIdx,
/* Generated */                                        int    endIdx,
/* Generated */                                        cli::array<double>^ inReal,
/* Generated */                                        int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                                        double        optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */                                        [Out]int%    outBegIdx,
/* Generated */                                        [Out]int%    outNBElement,
/* Generated */                                        cli::array<double>^  outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode stdDev( int    startIdx,
/* Generated */                        int    endIdx,
/* Generated */                        double       inReal[],
/* Generated */                        int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                        double        optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */                        MInteger     outBegIdx,
/* Generated */                        MInteger     outNBElement,
/* Generated */                        double        outReal[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_STDDEV( int    startIdx,
/* Generated */                       int    endIdx,
/* Generated */                       const double inReal[],
/* Generated */                       int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                       double        optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */                       int          *outBegIdx,
/* Generated */                       int          *outNBElement,
/* Generated */                       double        outReal[] )
/* Generated */ #endif
/**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
{
   /* Insert local variables here. */
   int i;
   ENUM_DECLARATION(RetCode) retCode;
   double tempReal;

/**** 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 */    /* min/max are checked for optInTimePeriod. */
/* Generated */    if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
/* Generated */       optInTimePeriod = 5;
/* Generated */    else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
/* Generated */       return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ 
/* Generated */    if( optInNbDev == TA_REAL_DEFAULT )
/* Generated */       optInNbDev = 1.000000e+0;
/* Generated */    else if( (optInNbDev < -3.000000e+37) ||/* Generated */  (optInNbDev > 3.000000e+37) )
/* Generated */       return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ 
/* Generated */    #if !defined(_JAVA)
/* Generated */    if( !outReal )
/* 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. */

   /* Calculate the variance. */
   retCode = FUNCTION_CALL(INT_VAR)( startIdx, endIdx,
                                     inReal, optInTimePeriod,
                                     outBegIdx, outNBElement, outReal );

   if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) )
      return retCode;

   /* Calculate the square root of each variance, this
    * is the standard deviation.
    *
    * Multiply also by the ratio specified.
    */
   if( optInNbDev != 1.0 )
   {
      for( i=0; i < (int)VALUE_HANDLE_DEREF(outNBElement); i++ )
      {
         tempReal = outReal[i];
         if( !TA_IS_ZERO_OR_NEG(tempReal) )
            outReal[i] = std_sqrt(tempReal) * optInNbDev;
         else
            outReal[i] = (double)0.0;
      }
   }
   else
   {
      for( i=0; i < (int)VALUE_HANDLE_DEREF(outNBElement); i++ )
      {
         tempReal = outReal[i];
         if( !TA_IS_ZERO_OR_NEG(tempReal) )
            outReal[i] = std_sqrt(tempReal);
         else