ta_sar.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
 *  CF       Christo Fogelberg
 *
 * Change history:
 *
 *  MMDDYY BY     Description
 *  -------------------------------------------------------------------
 *  010802 MF     Template creation.
 *  052603 MF     Adapt code to compile with .NET Managed C++
 *  122104 MF,CF  Fix#1089506 for out-of-bound access to ep_temp.
 */

/* SAR_ROUNDING is just for test purpose when cross-referencing that
 * function with example from Wilder's book. Wilder is using two
 * decimal rounding for simplification. TA-Lib does not round.
 */
/* #define SAR_ROUNDING(x) x=round_pos_2(x) */
#define SAR_ROUNDING(x)

/**** 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::SarLookback( double        optInAcceleration, /* From 0 to TA_REAL_MAX */
/* Generated */                      double        optInMaximum )  /* From 0 to TA_REAL_MAX */
/* Generated */ 
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int sarLookback( double        optInAcceleration, /* From 0 to TA_REAL_MAX */
/* Generated */                       double        optInMaximum )  /* From 0 to TA_REAL_MAX */
/* Generated */ 
/* Generated */ #else
/* Generated */ int TA_SAR_Lookback( double        optInAcceleration, /* From 0 to TA_REAL_MAX */
/* Generated */                    double        optInMaximum )  /* From 0 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 */    if( optInAcceleration == TA_REAL_DEFAULT )
/* Generated */       optInAcceleration = 2.000000e-2;
/* Generated */    else if( (optInAcceleration < 0.000000e+0) ||/* Generated */  (optInAcceleration > 3.000000e+37) )
/* Generated */       return -1;
/* Generated */ 
/* Generated */    if( optInMaximum == TA_REAL_DEFAULT )
/* Generated */       optInMaximum = 2.000000e-1;
/* Generated */    else if( (optInMaximum < 0.000000e+0) ||/* Generated */  (optInMaximum > 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. */
   UNUSED_VARIABLE(optInAcceleration);
   UNUSED_VARIABLE(optInMaximum);

   /* SAR always sacrify one price bar to establish the
    * initial extreme price.
    */
   return 1;
}

/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
 * TA_SAR - Parabolic SAR
 * 
 * Input  = High, Low
 * Output = double
 * 
 * Optional Parameters
 * -------------------
 * optInAcceleration:(From 0 to TA_REAL_MAX)
 *    Acceleration Factor used up to the Maximum value
 * 
 * optInMaximum:(From 0 to TA_REAL_MAX)
 *    Acceleration Factor Maximum value
 * 
 * 
 */
/* Generated */ 
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::Sar( int    startIdx,
/* Generated */                                     int    endIdx,
/* Generated */                                     SubArray^    inHigh,
/* Generated */                                     SubArray^    inLow,
/* Generated */                                     double        optInAcceleration, /* From 0 to TA_REAL_MAX */
/* Generated */                                     double        optInMaximum, /* From 0 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::Sar( int    startIdx,
/* Generated */                                     int    endIdx,
/* Generated */                                     cli::array<double>^ inHigh,
/* Generated */                                     cli::array<double>^ inLow,
/* Generated */                                     double        optInAcceleration, /* From 0 to TA_REAL_MAX */
/* Generated */                                     double        optInMaximum, /* From 0 to TA_REAL_MAX */
/* Generated */                                     [Out]int%    outBegIdx,
/* Generated */                                     [Out]int%    outNBElement,
/* Generated */                                     cli::array<double>^  outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode sar( int    startIdx,
/* Generated */                     int    endIdx,
/* Generated */                     double       inHigh[],
/* Generated */                     double       inLow[],
/* Generated */                     double        optInAcceleration, /* From 0 to TA_REAL_MAX */
/* Generated */                     double        optInMaximum, /* From 0 to TA_REAL_MAX */
/* Generated */                     MInteger     outBegIdx,
/* Generated */                     MInteger     outNBElement,
/* Generated */                     double        outReal[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_SAR( int    startIdx,
/* Generated */                    int    endIdx,
/* Generated */                    const double inHigh[],
/* Generated */                    const double inLow[],
/* Generated */                    double        optInAcceleration, /* From 0 to TA_REAL_MAX */
/* Generated */                    double        optInMaximum, /* From 0 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 variable here */
   ENUM_DECLARATION(RetCode) retCode;

   int isLong; /* > 0 indicates long. == 0 indicates short */
   int todayIdx, outIdx;

   VALUE_HANDLE_INT(tempInt);

   double newHigh, newLow, prevHigh, prevLow;
   double af, ep, sar;
   ARRAY_LOCAL(ep_temp,1);

/**** 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 */    /* Verify required price component. */
/* Generated */    if(!inHigh||!inLow)
/* Generated */       return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ 
/* Generated */    #endif /* !defined(_JAVA)*/
/* Generated */    if( optInAcceleration == TA_REAL_DEFAULT )
/* Generated */       optInAcceleration = 2.000000e-2;
/* Generated */    else if( (optInAcceleration < 0.000000e+0) ||/* Generated */  (optInAcceleration > 3.000000e+37) )
/* Generated */       return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ 
/* Generated */    if( optInMaximum == TA_REAL_DEFAULT )
/* Generated */       optInMaximum = 2.000000e-1;
/* Generated */    else if( (optInMaximum < 0.000000e+0) ||/* Generated */  (optInMaximum > 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. */

   /* Implementation of the SAR has been a little bit open to interpretation
    * since Wilder (the original author) did not define a precise algorithm
    * on how to bootstrap the algorithm. Take any existing software application
    * and you will see slight variation on how the algorithm was adapted.
    *
    * What is the initial trade direction? Long or short?
    * ===================================================
    * The interpretation of what should be the initial SAR values is
    * open to interpretation, particularly since the caller to the function
    * does not specify the initial direction of the trade.
    *
    * In TA-Lib, the following logic is used:
    *  - Calculate +DM and -DM between the first and
    *    second bar. The highest directional indication will
    *    indicate the assumed direction of the trade for the second
    *    price bar. 
    *  - In the case of a tie between +DM and -DM,
    *    the direction is LONG by default.
    *
    * What is the initial "extreme point" and thus SAR?
    * =================================================
    * The following shows how different people took different approach:
    *  - Metastock use the first price bar high/low depending of
    *    the direction. No SAR is calculated for the first price
    *    bar.
    *  - Tradestation use the closing price of the second bar. No
    *    SAR are calculated for the first price bar.
    *  - Wilder (the original author) use the SIP from the
    *    previous trade (cannot be implement here since the
    *    direction and length of the previous trade is unknonw).
    *  - The Magazine TASC seems to follow Wilder approach which
    *    is not practical here.
    *
    * TA-Lib "consume" the first price bar and use its high/low as the
    * initial SAR of the second price bar. I found that approach to be
    * the closest to Wilders idea of having the first entry day use
    * the previous extreme point, except that here the extreme point is
    * derived solely from the first price bar. I found the same approach
    * to be used by Metastock.
    */

   /* Identify the minimum number of price bar needed
    * to calculate at least one output.
    *
    * Move up the start index if there is not
    * enough initial data.
    */
   if( startIdx < 1 )
      startIdx = 1;

   /* 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);
   }   

   /* Make sure the acceleration and maximum are coherent.
    * If not, correct the acceleration.
    */
   af = optInAcceleration;
   if( af > optInMaximum )
      af = optInAcceleration = optInMaximum;

   /* Identify if the initial direction is long or short.
    * (ep is just used as a temp buffer here, the name
    *  of the parameter is not significant).
    */
   retCode = FUNCTION_CALL(MINUS_DM)( startIdx, startIdx, inHigh, inLow, 1,
                                      VALUE_HANDLE_OUT(tempInt), VALUE_HANDLE_OUT(tempInt),
								      ep_temp );
   if( ep_temp[0] > 0 )
      isLong = 0;
   else
      isLong = 1;

   if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) )
   {
      VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
      VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
      return retCode;
   }

   VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
   outIdx = 0;

   /* Write the first SAR. */
   todayIdx = startIdx;

   newHigh = inHigh[todayIdx-1];
   newLow  = inLow[todayIdx-1];

   SAR_ROUNDING(newHigh);
   SAR_ROUNDING(newLow);

   if( isLong == 1 )
   {
      ep  = inHigh[todayIdx];
      sar = newLow;
   }
   else
   {
      ep  = inLow[todayIdx];
      sar = newHigh;
   }

   SAR_ROUNDING(sar);

   /* Cheat on the newLow and newHigh for the
    * first iteration.
    */
   newLow  = inLow[todayIdx];
   newHigh = inHigh[todayIdx];

   while( todayIdx <= endIdx )
   {