ta_t3.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
 *  -------------------------------------------------------------------
 *  MHL      Matthew Lindblom
 *  MF       Mario Fortier
 *
 * Change history:
 *
 *  MMDDYY BY   Description
 *  -------------------------------------------------------------------
 *  120802 MF   Template creation.
 *  032003 MHL  Implementation of T3
 *  040503 MF   Adapt for compatibility with published code
 *              for TradeStation and Metastock.
 *              See "Smoothing Techniques For More Accurate Signals" 
 *              from Tim Tillson in Stock&Commodities V16:1 Page 33-37
 *  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::T3Lookback( int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                     double        optInVFactor )  /* From 0 to 1 */
/* Generated */ 
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int t3Lookback( int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                      double        optInVFactor )  /* From 0 to 1 */
/* Generated */ 
/* Generated */ #else
/* Generated */ int TA_T3_Lookback( int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                   double        optInVFactor )  /* From 0 to 1 */
/* 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( optInVFactor == TA_REAL_DEFAULT )
/* Generated */       optInVFactor = 7.000000e-1;
/* Generated */    else if( (optInVFactor < 0.000000e+0) ||/* Generated */  (optInVFactor > 1.000000e+0) )
/* 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(optInVFactor);
   return 6 * (optInTimePeriod-1) + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_T3,T3);
}

/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
 * TA_T3 - Triple Exponential Moving Average (T3)
 * 
 * Input  = double
 * Output = double
 * 
 * Optional Parameters
 * -------------------
 * optInTimePeriod:(From 2 to 100000)
 *    Number of period
 * 
 * optInVFactor:(From 0 to 1)
 *    Volume Factor
 * 
 * 
 */
/* Generated */ 
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::T3( int    startIdx,
/* Generated */                                    int    endIdx,
/* Generated */                                    SubArray^    inReal,
/* Generated */                                    int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                                    double        optInVFactor, /* From 0 to 1 */
/* Generated */                                    [Out]int%    outBegIdx,
/* Generated */                                    [Out]int%    outNBElement,
/* Generated */                                    cli::array<double>^  outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::T3( int    startIdx,
/* Generated */                                    int    endIdx,
/* Generated */                                    cli::array<double>^ inReal,
/* Generated */                                    int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                                    double        optInVFactor, /* From 0 to 1 */
/* Generated */                                    [Out]int%    outBegIdx,
/* Generated */                                    [Out]int%    outNBElement,
/* Generated */                                    cli::array<double>^  outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode t3( int    startIdx,
/* Generated */                    int    endIdx,
/* Generated */                    double       inReal[],
/* Generated */                    int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                    double        optInVFactor, /* From 0 to 1 */
/* Generated */                    MInteger     outBegIdx,
/* Generated */                    MInteger     outNBElement,
/* Generated */                    double        outReal[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_T3( int    startIdx,
/* Generated */                   int    endIdx,
/* Generated */                   const double inReal[],
/* Generated */                   int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                   double        optInVFactor, /* From 0 to 1 */
/* 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, lookbackTotal;
   int today, i;
   double k, one_minus_k;
   double e1, e2, e3, e4, e5, e6;
   double c1, c2, c3, c4;
   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( optInVFactor == TA_REAL_DEFAULT )
/* Generated */       optInVFactor = 7.000000e-1;
/* Generated */    else if( (optInVFactor < 0.000000e+0) ||/* Generated */  (optInVFactor > 1.000000e+0) )
/* 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. */

   /* For an explanation of this function, please read:
    *
    * Magazine articles written by Tim Tillson 
    *
    * Essentially, a T3 of time serie 't' is:
    *   EMA1(x,Period) = EMA(x,Period)
    *   EMA2(x,Period) = EMA(EMA1(x,Period),Period)
    *   GD(x,Period,vFactor) = (EMA1(x,Period)*(1+vFactor)) - (EMA2(x,Period)*vFactor)
    *   T3 = GD (GD ( GD(t, Period, vFactor), Period, vFactor), Period, vFactor);
    *
    * T3 offers a moving average with less lags then the
    * traditional EMA.
    *
    * Do not confuse a T3 with EMA3. Both are called "Triple EMA"
    * in the litterature.
    *
    */
   lookbackTotal = 6 * (optInTimePeriod - 1) + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_T3,T3);
   if( startIdx <= lookbackTotal )
      startIdx = lookbackTotal;

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

   VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
   today = startIdx - lookbackTotal;

   k = 2.0/(optInTimePeriod+1.0);
   one_minus_k = 1.0-k;

   /* Initialize e1 */
   tempReal = inReal[today++];
   for( i=optInTimePeriod-1; i > 0 ; i-- ) 
      tempReal += inReal[today++];
   e1 = tempReal / optInTimePeriod;