ta_ht_sine.c

股票主要技术指标源码

         DO_HILBERT_EVEN(Q1,detrender);
         DO_HILBERT_EVEN(jI,I1ForEvenPrev3);
         DO_HILBERT_EVEN(jQ,Q1);
         if( ++hilbertIdx == 3 )
            hilbertIdx = 0;

         Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2);
         I2 = (0.2*(I1ForEvenPrev3 - jQ)) + (0.8*prevI2);

         /* The variable I1 is the detrender delayed for
          * 3 price bars. 
          *
          * Save the current detrender value for being
          * used by the "odd" logic later.
          */
         I1ForOddPrev3 = I1ForOddPrev2;
         I1ForOddPrev2 = detrender;      
      }
      else
      {
         /* Do the Hilbert Transforms for odd price bar */
         DO_HILBERT_ODD(detrender,smoothedValue);
         DO_HILBERT_ODD(Q1,detrender);
         DO_HILBERT_ODD(jI,I1ForOddPrev3);
         DO_HILBERT_ODD(jQ,Q1);

         Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2);
         I2 = (0.2*(I1ForOddPrev3 - jQ)) + (0.8*prevI2);

         /* The varaiable I1 is the detrender delayed for
          * 3 price bars. 
          *
          * Save the current detrender value for being
          * used by the "even" logic later.
          */
         I1ForEvenPrev3 = I1ForEvenPrev2;
         I1ForEvenPrev2 = detrender;
      }

      /* Adjust the period for next price bar */
      Re = (0.2*((I2*prevI2)+(Q2*prevQ2)))+(0.8*Re);
      Im = (0.2*((I2*prevQ2)-(Q2*prevI2)))+(0.8*Im);
      prevQ2 = Q2;
      prevI2 = I2;
      tempReal = period;
      if( (Im != 0.0) && (Re != 0.0) )
         period = 360.0 / (std_atan(Im/Re)*rad2Deg);
      tempReal2 = 1.5*tempReal;
      if( period > tempReal2)
         period = tempReal2;
      tempReal2 = 0.67*tempReal;
      if( period < tempReal2 )
         period = tempReal2;
      if( period < 6 )
         period = 6;
      else if( period > 50 )
         period = 50;
      period = (0.2*period) + (0.8 * tempReal);

      smoothPeriod = (0.33*period)+(0.67*smoothPeriod);

      /* Compute Dominant Cycle Phase */
      DCPeriod    = smoothPeriod+0.5;
      DCPeriodInt = (int)DCPeriod;
      realPart = 0.0;
      imagPart = 0.0;

      /* idx is used to iterate for up to 50 of the last
       * value of smoothPrice.
       */
      idx = smoothPrice_Idx;
      for( i=0; i < DCPeriodInt; i++ )
      {
         tempReal  = ((double)i*constDeg2RadBy360)/(double)DCPeriodInt;
         tempReal2 = smoothPrice[idx];
         realPart += std_sin(tempReal)*tempReal2;
         imagPart += std_cos(tempReal)*tempReal2;
         if( idx == 0 )
            idx = SMOOTH_PRICE_SIZE-1;
         else
            idx--;
      }

      tempReal = std_fabs(imagPart);
      if( tempReal > 0.0 )
         DCPhase = std_atan(realPart/imagPart)*rad2Deg;
      else if( tempReal <= 0.01 )
      {
         if( realPart < 0.0 )
            DCPhase -= 90.0;
         else if( realPart > 0.0 )
            DCPhase += 90.0;
      }
      DCPhase += 90.0;

      /* Compensate for one bar lag of the weighted moving average */
      DCPhase += 360.0 / smoothPeriod;
      if( imagPart < 0.0 )
         DCPhase += 180.0;
      if( DCPhase > 315.0 )
         DCPhase -= 360.0;

      if( today >= startIdx )
      {
         outSine[outIdx]       = std_sin(DCPhase*deg2Rad);
         outLeadSine[outIdx++] = std_sin((DCPhase+45)*deg2Rad);
      }

      /* Ooof... let's do the next price bar now! */
      CIRCBUF_NEXT(smoothPrice);
      today++;
   }

   VALUE_HANDLE_DEREF(outNBElement) = outIdx;
 
   return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
}

/**** START GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
/* Generated */ 
/* Generated */ #define  USE_SINGLE_PRECISION_INPUT
/* Generated */ #if !defined( _MANAGED ) && !defined( _JAVA )
/* Generated */    #undef   TA_PREFIX
/* Generated */    #define  TA_PREFIX(x) TA_S_##x
/* Generated */ #endif
/* Generated */ #undef   INPUT_TYPE
/* Generated */ #define  INPUT_TYPE float
/* Generated */ #if defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::HtSine( int    startIdx,
/* Generated */                                        int    endIdx,
/* Generated */                                        cli::array<float>^ inReal,
/* Generated */                                        [Out]int%    outBegIdx,
/* Generated */                                        [Out]int%    outNBElement,
/* Generated */                                        cli::array<double>^  outSine,
/* Generated */                                        cli::array<double>^  outLeadSine )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode htSine( int    startIdx,
/* Generated */                        int    endIdx,
/* Generated */                        float        inReal[],
/* Generated */                        MInteger     outBegIdx,
/* Generated */                        MInteger     outNBElement,
/* Generated */                        double        outSine[],
/* Generated */                        double        outLeadSine[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_S_HT_SINE( int    startIdx,
/* Generated */                          int    endIdx,
/* Generated */                          const float  inReal[],
/* Generated */                          int          *outBegIdx,
/* Generated */                          int          *outNBElement,
/* Generated */                          double        outSine[],
/* Generated */                          double        outLeadSine[] )
/* Generated */ #endif
/* Generated */ {
/* Generated */    int outIdx, i;
/* Generated */    int lookbackTotal, today;
/* Generated */    double tempReal, tempReal2;
/* Generated */    double adjustedPrevPeriod, period;
/* Generated */    int trailingWMAIdx;
/* Generated */    double periodWMASum, periodWMASub, trailingWMAValue;
/* Generated */    double smoothedValue;
/* Generated */    CONSTANT_DOUBLE(a) = 0.0962;
/* Generated */    CONSTANT_DOUBLE(b) = 0.5769;
/* Generated */    double hilbertTempReal;
/* Generated */    int hilbertIdx;
/* Generated */    HILBERT_VARIABLES( detrender );
/* Generated */    HILBERT_VARIABLES( Q1 );
/* Generated */    HILBERT_VARIABLES( jI );
/* Generated */    HILBERT_VARIABLES( jQ );
/* Generated */    double Q2, I2, prevQ2, prevI2, Re, Im;
/* Generated */    double I1ForOddPrev2,  I1ForOddPrev3;
/* Generated */    double I1ForEvenPrev2, I1ForEvenPrev3;
/* Generated */    double rad2Deg, deg2Rad, constDeg2RadBy360;
/* Generated */    double todayValue, smoothPeriod;
/* Generated */    #define SMOOTH_PRICE_SIZE 50
/* Generated */    CIRCBUF_PROLOG(smoothPrice,double,SMOOTH_PRICE_SIZE);
/* Generated */    int idx;
/* Generated */    int DCPeriodInt;
/* Generated */    double DCPhase, DCPeriod, imagPart, realPart;
/* Generated */  #ifndef TA_FUNC_NO_RANGE_CHECK
/* 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 */     #if !defined(_JAVA)
/* Generated */     if( !inReal ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */     #endif 
/* Generated */     #if !defined(_JAVA)
/* Generated */     if( !outSine )
/* Generated */        return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */     if( !outLeadSine )
/* Generated */        return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */     #endif 
/* Generated */  #endif 
/* Generated */    CIRCBUF_INIT_LOCAL_ONLY(smoothPrice,double);
/* Generated */    tempReal = std_atan(1);
/* Generated */    rad2Deg = 45.0/tempReal;
/* Generated */    deg2Rad = 1.0/rad2Deg;
/* Generated */    constDeg2RadBy360 = tempReal*8.0;
/* Generated */    lookbackTotal = 63 + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_HT_SINE,HtSine);
/* Generated */    if( startIdx < lookbackTotal )
/* Generated */       startIdx = lookbackTotal;
/* Generated */    if( startIdx > endIdx )
/* Generated */    {
/* Generated */       VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx);
/* Generated */       VALUE_HANDLE_DEREF_TO_ZERO(outNBElement);
/* Generated */       return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
/* Generated */    }
/* Generated */    VALUE_HANDLE_DEREF(outBegIdx) = startIdx;
/* Generated */    trailingWMAIdx = startIdx - lookbackTotal;
/* Generated */    today = trailingWMAIdx;
/* Generated */    tempReal = inReal[today++];
/* Generated */    periodWMASub = tempReal;
/* Generated */    periodWMASum = tempReal;
/* Generated */    tempReal = inReal[today++];
/* Generated */    periodWMASub += tempReal;
/* Generated */    periodWMASum += tempReal*2.0;
/* Generated */    tempReal = inReal[today++];
/* Generated */    periodWMASub += tempReal;
/* Generated */    periodWMASum += tempReal*3.0;
/* Generated */    trailingWMAValue = 0.0;
/* Generated */    #define DO_PRICE_WMA(varNewPrice,varToStoreSmoothedValue) { \
/* Generated */       periodWMASub     += varNewPrice; \
/* Generated */       periodWMASub     -= trailingWMAValue; \
/* Generated */       periodWMASum     += varNewPrice*4.0; \
/* Generated */       trailingWMAValue  = inReal[trailingWMAIdx++]; \
/* Generated */       varToStoreSmoothedValue = periodWMASum*0.1; \
/* Generated */       periodWMASum -= periodWMASub; \
/* Generated */    }
/* Generated */    i = 34;
/* Generated */    do
/* Generated */    {
/* Generated */       tempReal = inReal[today++];
/* Generated */       DO_PRICE_WMA(tempReal,smoothedValue);
/* Generated */    } while( --i != 0);
/* Generated */    hilbertIdx = 0;
/* Generated */    INIT_HILBERT_VARIABLES(detrender);
/* Generated */    INIT_HILBERT_VARIABLES(Q1);
/* Generated */    INIT_HILBERT_VARIABLES(jI);
/* Generated */    INIT_HILBERT_VARIABLES(jQ);
/* Generated */    period = 0.0;
/* Generated */    outIdx = 0;
/* Generated */    prevI2 = prevQ2 = 0.0;
/* Generated */    Re     = Im     = 0.0;
/* Generated */    I1ForOddPrev3 = I1ForEvenPrev3 = 0.0;
/* Generated */    I1ForOddPrev2 = I1ForEvenPrev2 = 0.0;
/* Generated */    smoothPeriod  = 0.0;
/* Generated */    for( i=0; i < SMOOTH_PRICE_SIZE; i++ )
/* Generated */       smoothPrice[i] = 0.0;
/* Generated */    DCPhase = 0.0;
/* Generated */    while( today <= endIdx )
/* Generated */    {
/* Generated */       adjustedPrevPeriod = (0.075*period)+0.54;
/* Generated */       todayValue = inReal[today];
/* Generated */       DO_PRICE_WMA(todayValue,smoothedValue);
/* Generated */       smoothPrice[smoothPrice_Idx] = smoothedValue;
/* Generated */       if( (today%2) == 0 )
/* Generated */       {
/* Generated */          DO_HILBERT_EVEN(detrender,smoothedValue);
/* Generated */          DO_HILBERT_EVEN(Q1,detrender);
/* Generated */          DO_HILBERT_EVEN(jI,I1ForEvenPrev3);
/* Generated */          DO_HILBERT_EVEN(jQ,Q1);
/* Generated */          if( ++hilbertIdx == 3 )
/* Generated */             hilbertIdx = 0;
/* Generated */          Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2);
/* Generated */          I2 = (0.2*(I1ForEvenPrev3 - jQ)) + (0.8*prevI2);
/* Generated */          I1ForOddPrev3 = I1ForOddPrev2;
/* Generated */          I1ForOddPrev2 = detrender;      
/* Generated */       }
/* Generated */       else
/* Generated */       {
/* Generated */          DO_HILBERT_ODD(detrender,smoothedValue);
/* Generated */          DO_HILBERT_ODD(Q1,detrender);
/* Generated */          DO_HILBERT_ODD(jI,I1ForOddPrev3);
/* Generated */          DO_HILBERT_ODD(jQ,Q1);
/* Generated */          Q2 = (0.2*(Q1 + jI)) + (0.8*prevQ2);
/* Generated */          I2 = (0.2*(I1ForOddPrev3 - jQ)) + (0.8*prevI2);
/* Generated */          I1ForEvenPrev3 = I1ForEvenPrev2;
/* Generated */          I1ForEvenPrev2 = detrender;
/* Generated */       }
/* Generated */       Re = (0.2*((I2*prevI2)+(Q2*prevQ2)))+(0.8*Re);
/* Generated */       Im = (0.2*((I2*prevQ2)-(Q2*prevI2)))+(0.8*Im);
/* Generated */       prevQ2 = Q2;
/* Generated */       prevI2 = I2;
/* Generated */       tempReal = period;
/* Generated */       if( (Im != 0.0) && (Re != 0.0) )
/* Generated */          period = 360.0 / (std_atan(Im/Re)*rad2Deg);
/* Generated */       tempReal2 = 1.5*tempReal;
/* Generated */       if( period > tempReal2)
/* Generated */          period = tempReal2;
/* Generated */       tempReal2 = 0.67*tempReal;
/* Generated */       if( period < tempReal2 )
/* Generated */          period = tempReal2;
/* Generated */       if( period < 6 )
/* Generated */          period = 6;
/* Generated */       else if( period > 50 )
/* Generated */          period = 50;
/* Generated */       period = (0.2*period) + (0.8 * tempReal);
/* Generated */       smoothPeriod = (0.33*period)+(0.67*smoothPeriod);
/* Generated */       DCPeriod    = smoothPeriod+0.5;
/* Generated */       DCPeriodInt = (int)DCPeriod;
/* Generated */       realPart = 0.0;
/* Generated */       imagPart = 0.0;
/* Generated */       idx = smoothPrice_Idx;
/* Generated */       for( i=0; i < DCPeriodInt; i++ )
/* Generated */       {
/* Generated */          tempReal  = ((double)i*constDeg2RadBy360)/(double)DCPeriodInt;
/* Generated */          tempReal2 = smoothPrice[idx];
/* Generated */          realPart += std_sin(tempReal)*tempReal2;
/* Generated */          imagPart += std_cos(tempReal)*tempReal2;
/* Generated */          if( idx == 0 )
/* Generated */             idx = SMOOTH_PRICE_SIZE-1;
/* Generated */          else
/* Generated */             idx--;
/* Generated */       }
/* Generated */       tempReal = std_fabs(imagPart);
/* Generated */       if( tempReal > 0.0 )
/* Generated */          DCPhase = std_atan(realPart/imagPart)*rad2Deg;
/* Generated */       else if( tempReal <= 0.01 )
/* Generated */       {
/* Generated */          if( realPart < 0.0 )
/* Generated */             DCPhase -= 90.0;
/* Generated */          else if( realPart > 0.0 )
/* Generated */             DCPhase += 90.0;
/* Generated */       }
/* Generated */       DCPhase += 90.0;
/* Generated */       DCPhase += 360.0 / smoothPeriod;
/* Generated */       if( imagPart < 0.0 )
/* Generated */          DCPhase += 180.0;
/* Generated */       if( DCPhase > 315.0 )
/* Generated */          DCPhase -= 360.0;
/* Generated */       if( today >= startIdx )
/* Generated */       {
/* Generated */          outSine[outIdx]       = std_sin(DCPhase*deg2Rad);
/* Generated */          outLeadSine[outIdx++] = std_sin((DCPhase+45)*deg2Rad);
/* Generated */       }
/* Generated */       CIRCBUF_NEXT(smoothPrice);
/* Generated */       today++;
/* Generated */    }
/* Generated */    VALUE_HANDLE_DEREF(outNBElement) = outIdx;
/* Generated */    return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
/* Generated */ }
/* Generated */ 
/* Generated */ #if defined( _MANAGED )
/* Generated */ }}} // Close namespace TicTacTec.TA.Lib
/* Generated */ #endif
/**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/