ta_ht_dcphase.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::HtDcPhaseLookback( void )
/* Generated */ 
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int htDcPhaseLookback(  )
/* Generated */ 
/* Generated */ #else
/* Generated */ int TA_HT_DCPHASE_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_DCPHASE,HtDcPhase);
}

/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
 * TA_HT_DCPHASE - Hilbert Transform - Dominant Cycle Phase
 * 
 * Input  = double
 * Output = double
 * 
 */
/* Generated */ 
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::HtDcPhase( int    startIdx,
/* Generated */                                           int    endIdx,
/* Generated */                                           SubArray^    inReal,
/* Generated */                                           [Out]int%    outBegIdx,
/* Generated */                                           [Out]int%    outNBElement,
/* Generated */                                           cli::array<double>^  outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::HtDcPhase( int    startIdx,
/* Generated */                                           int    endIdx,
/* Generated */                                           cli::array<double>^ inReal,
/* Generated */                                           [Out]int%    outBegIdx,
/* Generated */                                           [Out]int%    outNBElement,
/* Generated */                                           cli::array<double>^  outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode htDcPhase( int    startIdx,
/* Generated */                           int    endIdx,
/* Generated */                           double       inReal[],
/* Generated */                           MInteger     outBegIdx,
/* Generated */                           MInteger     outNBElement,
/* Generated */                           double        outReal[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_HT_DCPHASE( int    startIdx,
/* Generated */                           int    endIdx,
/* Generated */                           const double inReal[],
/* Generated */                           int          *outBegIdx,
/* Generated */                           int          *outNBElement,
/* Generated */                           double        outReal[] )
/* 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;

   /* 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, constDeg2RadBy360;

   double todayValue, smoothPeriod;

   /* Varaible 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;

/**** 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( !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. */

   CIRCBUF_INIT_LOCAL_ONLY(smoothPrice,double);

   /* Constant */
   tempReal = std_atan(1);
   rad2Deg = 45.0/tempReal;
   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_DCPHASE,HtDcPhase);

   /* 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.
    * To understand this algorithm, I strongly suggest to understand
    * first how TA_WMA is done.
    */
   trailingWMAIdx = startIdx - lookbackTotal;
   today = trailingWMAIdx;

   /* Initialization is same as WMA, except loop is unrolled
    * for speed optimization.
    */
   tempReal = inReal[today++];
   periodWMASub = tempReal;
   periodWMASum = tempReal;
   tempReal = inReal[today++];
   periodWMASub += tempReal;
   periodWMASum += tempReal*2.0;
   tempReal = inReal[today++];
   periodWMASub += tempReal;
   periodWMASum += tempReal*3.0;

   trailingWMAValue = 0.0;

   /* Subsequent WMA value are evaluated by using
    * the DO_PRICE_WMA macro.
    */
   #define DO_PRICE_WMA(varNewPrice,varToStoreSmoothedValue) { \
      periodWMASub     += varNewPrice; \
      periodWMASub     -= trailingWMAValue; \
      periodWMASum     += varNewPrice*4.0; \
      trailingWMAValue  = inReal[trailingWMAIdx++]; \
      varToStoreSmoothedValue = periodWMASum*0.1; \
      periodWMASum -= periodWMASub; \
   }

   i = 34;
   do
   {
      tempReal = inReal[today++];
      DO_PRICE_WMA(tempReal,smoothedValue);
   } while( --i != 0);

   /* Initialize the circular buffers used by the hilbert
    * transform logic. 
    * A buffer is used for odd day and another for even days.
    * This minimize the number of memory access and floating point
    * operations needed (note also that by using static circular buffer, 
    * no large dynamic memory allocation is needed for storing
    * intermediate calculation!).
    */
   hilbertIdx = 0;

   INIT_HILBERT_VARIABLES(detrender);
   INIT_HILBERT_VARIABLES(Q1);
   INIT_HILBERT_VARIABLES(jI);
   INIT_HILBERT_VARIABLES(jQ);

   period = 0.0;
   outIdx = 0;

   prevI2 = prevQ2 = 0.0;
   Re     = Im     = 0.0;
   I1ForOddPrev3 = I1ForEvenPrev3 = 0.0;
   I1ForOddPrev2 = I1ForEvenPrev2 = 0.0;
   smoothPeriod  = 0.0;

   for( i=0; i < SMOOTH_PRICE_SIZE; i++ )
      smoothPrice[i] = 0.0;

   /* The code is speed optimized and is most likely very
    * hard to follow if you do not already know well the
    * original algorithm.
    * To understadn better, it is strongly suggested to look 
    * first at the Excel implementation in "test_MAMA.xls" included
    * in this package.
    */
   DCPhase = 0.0;
   while( today <= endIdx )
   {
      adjustedPrevPeriod = (0.075*period)+0.54;

      todayValue = inReal[today];
      DO_PRICE_WMA(todayValue,smoothedValue);

      /* Remember the smoothedValue into the smoothPrice
       * circular buffer.
       */
      smoothPrice[smoothPrice_Idx] = smoothedValue;

      if( (today%2) == 0 )
      {
         /* Do the Hilbert Transforms for even price bar */
         DO_HILBERT_EVEN(detrender,smoothedValue);