ta_beta.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
 *  -------------------------------------------------------------------
 *  MW       Michael Williamson
 *
 *
 * Change history:
 *
 *  MMDDYY BY   Description
 *  -------------------------------------------------------------------
 *  122006 MW   Initial Version
 */

/**** 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::BetaLookback( int           optInTimePeriod )  /* From 1 to 100000 */
/* Generated */ 
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int betaLookback( int           optInTimePeriod )  /* From 1 to 100000 */
/* Generated */ 
/* Generated */ #else
/* Generated */ int TA_BETA_Lookback( int           optInTimePeriod )  /* From 1 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 = 5;
/* Generated */    else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) )
/* Generated */       return -1;
/* Generated */ 
/* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
/**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
   return optInTimePeriod;
}

/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
 * TA_BETA - Beta
 * 
 * Input  = double, double
 * Output = double
 * 
 * Optional Parameters
 * -------------------
 * optInTimePeriod:(From 1 to 100000)
 *    Number of period
 * 
 * 
 */
/* Generated */ 
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::Beta( int    startIdx,
/* Generated */                                      int    endIdx,
/* Generated */                                      SubArray^    inReal0,
/* Generated */                                      SubArray^    inReal1,
/* Generated */                                      int           optInTimePeriod, /* From 1 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::Beta( int    startIdx,
/* Generated */                                      int    endIdx,
/* Generated */                                      cli::array<double>^ inReal0,
/* Generated */                                      cli::array<double>^ inReal1,
/* Generated */                                      int           optInTimePeriod, /* From 1 to 100000 */
/* Generated */                                      [Out]int%    outBegIdx,
/* Generated */                                      [Out]int%    outNBElement,
/* Generated */                                      cli::array<double>^  outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode beta( int    startIdx,
/* Generated */                      int    endIdx,
/* Generated */                      double       inReal0[],
/* Generated */                      double       inReal1[],
/* Generated */                      int           optInTimePeriod, /* From 1 to 100000 */
/* Generated */                      MInteger     outBegIdx,
/* Generated */                      MInteger     outNBElement,
/* Generated */                      double        outReal[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_BETA( int    startIdx,
/* Generated */                     int    endIdx,
/* Generated */                     const double inReal0[],
/* Generated */                     const double inReal1[],
/* Generated */                     int           optInTimePeriod, /* From 1 to 100000 */
/* Generated */                     int          *outBegIdx,
/* Generated */                     int          *outNBElement,
/* Generated */                     double        outReal[] )
/* Generated */ #endif
/**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
{
    double S_xx = 0.0f; /* sum of x * x */
    double S_xy = 0.0f; /* sum of x * y */
    double S_x = 0.0f; /* sum of x */
    double S_y = 0.0f; /* sum of y */
    double last_price_x = 0.0f; /* the last price read from inReal0 */
    double last_price_y = 0.0f; /* the last price read from inReal1 */
    double trailing_last_price_x = 0.0f; /* same as last_price_x except used to remove elements from the trailing summation */
    double trailing_last_price_y = 0.0f; /* same as last_price_y except used to remove elements from the trailing summation */
    double tmp_real = 0.0f; /* temporary variable */
    double x; /* the 'x' value, which is the last change between values in inReal0 */
    double y; /* the 'y' value, which is the last change between values in inReal1 */
    double n = 0.0f;
    int i, outIdx;
    int trailingIdx, nbInitialElementNeeded;


/**** 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( !inReal0 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */    if( !inReal1 ) 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 < 1) || ((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. */

   /** DESCRIPTION OF ALGORITHM:
    *   The Beta 'algorithm' is a measure of a stocks volatility vs from index. The stock prices
    *   are given in inReal0 and the index prices are give in inReal1. The size of these vectors
    *   should be equal. The algorithm is to calculate the change between prices in both vectors
    *   and then 'plot' these changes are points in the Euclidean plane. The x value of the point
    *   is market return and the y value is the security return. The beta value is the slope of a
    *   linear regression through these points. A beta of 1 is simple the line y=x, so the stock
    *   varies percisely with the market. A beta of less than one means the stock varies less than
    *   the market and a beta of more than one means the stock varies more than market. A related
    *   value is the Alpha value (see TA_ALPHA) which is the Y-intercept of the same linear regression.
    */

   /* Validate the calculation method type and
    * identify the minimum number of input
    * consume before the first value is output..
    */
   nbInitialElementNeeded = optInTimePeriod;

   /* Move up the start index if there is not
    * enough initial data.
    */
   if( startIdx < nbInitialElementNeeded )
      startIdx = nbInitialElementNeeded;

   /* 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);
   }   

   /* Consume first input. */
   trailingIdx = startIdx-nbInitialElementNeeded;
   last_price_x = trailing_last_price_x = inReal0[trailingIdx];
   last_price_y = trailing_last_price_y = inReal1[trailingIdx];