ta_adx.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
 *  AM       Adrian Michel
 *  MIF      Mirek Fontan ([e-mail])
 *  GC       [e-mail]
 *
 * Change history:
 *
 *  MMDDYY BY   Description
 *  -------------------------------------------------------------------
 *  010802 MF   Template creation.
 *  052603 MF   Adapt code to compile with .NET Managed C++
 *  082303 MF   Fix #792298. Remove rounding. Bug reported by AM.
 *  062704 MF   Fix #965557. Div by zero bug reported by MIF.
 *  082206 MF   Fix #1544555. Div by zero bug reported by GC.
 */

/**** 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::AdxLookback( int           optInTimePeriod )  /* From 2 to 100000 */
/* Generated */ 
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int adxLookback( int           optInTimePeriod )  /* From 2 to 100000 */
/* Generated */ 
/* Generated */ #else
/* Generated */ int TA_ADX_Lookback( int           optInTimePeriod )  /* From 2 to 100000 */
/* 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 = 14;
/* Generated */    else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
/* Generated */       return -1;
/* Generated */ 
/* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
/**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/

   /* insert lookback code here. */
   return (2 * optInTimePeriod) + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_ADX,Adx) - 1;
}

/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
 * TA_ADX - Average Directional Movement Index
 * 
 * Input  = High, Low, Close
 * Output = double
 * 
 * Optional Parameters
 * -------------------
 * optInTimePeriod:(From 2 to 100000)
 *    Number of period
 * 
 * 
 */
/* Generated */ 
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::Adx( int    startIdx,
/* Generated */                                     int    endIdx,
/* Generated */                                     SubArray^    inHigh,
/* Generated */                                     SubArray^    inLow,
/* Generated */                                     SubArray^    inClose,
/* Generated */                                     int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                                     [Out]int%    outBegIdx,
/* Generated */                                     [Out]int%    outNBElement,
/* Generated */                                     cli::array<double>^  outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::Adx( int    startIdx,
/* Generated */                                     int    endIdx,
/* Generated */                                     cli::array<double>^ inHigh,
/* Generated */                                     cli::array<double>^ inLow,
/* Generated */                                     cli::array<double>^ inClose,
/* Generated */                                     int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                                     [Out]int%    outBegIdx,
/* Generated */                                     [Out]int%    outNBElement,
/* Generated */                                     cli::array<double>^  outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode adx( int    startIdx,
/* Generated */                     int    endIdx,
/* Generated */                     double       inHigh[],
/* Generated */                     double       inLow[],
/* Generated */                     double       inClose[],
/* Generated */                     int           optInTimePeriod, /* From 2 to 100000 */
/* Generated */                     MInteger     outBegIdx,
/* Generated */                     MInteger     outNBElement,
/* Generated */                     double        outReal[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_ADX( int    startIdx,
/* Generated */                    int    endIdx,
/* Generated */                    const double inHigh[],
/* Generated */                    const double inLow[],
/* Generated */                    const double inClose[],
/* Generated */                    int           optInTimePeriod, /* From 2 to 100000 */
/* 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 today, lookbackTotal, outIdx;
   double prevHigh, prevLow, prevClose;
   double prevMinusDM, prevPlusDM, prevTR;
   double tempReal, tempReal2, diffP, diffM;
   double minusDI, plusDI, sumDX, prevADX;

   int i;

   #define TRUE_RANGE(TH,TL,YC,OUT) {\
      OUT = TH-TL; \
      tempReal2 = std_fabs(TH-YC); \
      if( tempReal2 > OUT ) \
         OUT = tempReal2; \
      tempReal2 = std_fabs(TL-YC); \
      if( tempReal2 > OUT ) \
         OUT = tempReal2; \
   }

/**** 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||!inClose)
/* Generated */       return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ 
/* Generated */    #endif /* !defined(_JAVA)*/
/* Generated */    /* min/max are checked for optInTimePeriod. */
/* Generated */    if( (int)optInTimePeriod == TA_INTEGER_DEFAULT )
/* Generated */       optInTimePeriod = 14;
/* Generated */    else if( ((int)optInTimePeriod < 2) || ((int)optInTimePeriod > 100000) )
/* 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. */

   /* 
    * The DM1 (one period) is base on the largest part of
    * today's range that is outside of yesterdays range.
    * 
    * The following 7 cases explain how the +DM and -DM are
    * calculated on one period:
    *
    * Case 1:                       Case 2:
    *    C|                        A|
    *     |                         | C|
    *     | +DM1 = (C-A)           B|  | +DM1 = 0
    *     | -DM1 = 0                   | -DM1 = (B-D)
    * A|  |                           D| 
    *  | D|                    
    * B|
    *
    * Case 3:                       Case 4:
    *    C|                           C|
    *     |                        A|  |
    *     | +DM1 = (C-A)            |  | +DM1 = 0
    *     | -DM1 = 0               B|  | -DM1 = (B-D)
    * A|  |                            | 
    *  |  |                           D|
    * B|  |
    *    D|
    * 
    * Case 5:                      Case 6:
    * A|                           A| C|
    *  | C| +DM1 = 0                |  |  +DM1 = 0
    *  |  | -DM1 = 0                |  |  -DM1 = 0
    *  | D|                         |  |
    * B|                           B| D|
    *
    *
    * Case 7:
    * 
    *    C|
    * A|  |
    *  |  | +DM=0