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/* TA-LIB Copyright (c) 1999-2008, 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
* JV Jesus Viver <324122@cienz.unizar.es>
*
* Change history:
*
* MMDDYY BY Description
* -------------------------------------------------------------------
* 112400 MF Template creation.
* 100502 JV Speed optimization of the algorithm
* 052603 MF Adapt code to compile with .NET Managed C++
* 090404 MF Fix #978056. Trap sqrt with negative zero values.
*/
/**** 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::StdDevLookback( int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev ) /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */
/* Generated */ #elif defined( _JAVA )
/* Generated */ public int stdDevLookback( int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev ) /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */
/* Generated */ #else
/* Generated */ TA_LIB_API int TA_STDDEV_Lookback( int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev ) /* From TA_REAL_MIN to TA_REAL_MAX */
/* 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( optInNbDev == TA_REAL_DEFAULT )
/* Generated */ optInNbDev = 1.000000e+0;
/* Generated */ else if( (optInNbDev < -3.000000e+37) ||/* Generated */ (optInNbDev > 3.000000e+37) )
/* Generated */ return -1;
/* Generated */
/* Generated */ #endif /* TA_FUNC_NO_RANGE_CHECK */
/**** END GENCODE SECTION 2 - DO NOT DELETE THIS LINE ****/
/* insert lookback code here. */
/* Lookback is driven by the variance. */
return LOOKBACK_CALL(VAR)( optInTimePeriod, optInNbDev );
}
/**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
/*
* TA_STDDEV - Standard Deviation
*
* Input = double
* Output = double
*
* Optional Parameters
* -------------------
* optInTimePeriod:(From 2 to 100000)
* Number of period
*
* optInNbDev:(From TA_REAL_MIN to TA_REAL_MAX)
* Nb of deviations
*
*
*/
/* Generated */
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::StdDev( int startIdx,
/* Generated */ int endIdx,
/* Generated */ SubArray<double>^ inReal,
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ SubArray<double>^ outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::StdDev( int startIdx,
/* Generated */ int endIdx,
/* Generated */ cli::array<double>^ inReal,
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ cli::array<double>^ outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode stdDev( int startIdx,
/* Generated */ int endIdx,
/* Generated */ double inReal[],
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ MInteger outBegIdx,
/* Generated */ MInteger outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #else
/* Generated */ TA_LIB_API TA_RetCode TA_STDDEV( int startIdx,
/* Generated */ int endIdx,
/* Generated */ const double inReal[],
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ int *outBegIdx,
/* Generated */ int *outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #endif
/**** END GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/
{
/* Insert local variables here. */
int i;
ENUM_DECLARATION(RetCode) retCode;
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( optInNbDev == TA_REAL_DEFAULT )
/* Generated */ optInNbDev = 1.000000e+0;
/* Generated */ else if( (optInNbDev < -3.000000e+37) ||/* Generated */ (optInNbDev > 3.000000e+37) )
/* 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. */
/* Calculate the variance. */
retCode = FUNCTION_CALL(INT_VAR)( startIdx, endIdx,
inReal, optInTimePeriod,
outBegIdx, outNBElement, outReal );
if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) )
return retCode;
/* Calculate the square root of each variance, this
* is the standard deviation.
*
* Multiply also by the ratio specified.
*/
if( optInNbDev != 1.0 )
{
for( i=0; i < (int)VALUE_HANDLE_DEREF(outNBElement); i++ )
{
tempReal = outReal[i];
if( !TA_IS_ZERO_OR_NEG(tempReal) )
outReal[i] = std_sqrt(tempReal) * optInNbDev;
else
outReal[i] = (double)0.0;
}
}
else
{
for( i=0; i < (int)VALUE_HANDLE_DEREF(outNBElement); i++ )
{
tempReal = outReal[i];
if( !TA_IS_ZERO_OR_NEG(tempReal) )
outReal[i] = std_sqrt(tempReal);
else
outReal[i] = (double)0.0;
}
}
return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
}
#if defined( _MANAGED ) && defined( USE_SUBARRAY ) && defined( USE_SINGLE_PRECISION_INPUT )
// No INT function
#else
/* The inMovAvg is the moving average of the inReal.
*
* inMovAvgBegIdx is relative to inReal, in other word
* this is the 'outBegIdx' who was returned when doing the
* MA on the inReal.
*
* inMovAvgNbElement is the number of element who was returned
* when doing the MA on the inReal.
*
* Note: This function is not used by TA_STDDEV, since TA_STDDEV
* is optimized considering it uses always a simple moving
* average. Still the function is put here because it is
* closely related.
*/
#if defined( _MANAGED ) && defined( USE_SUBARRAY )
void Core::TA_INT_stddev_using_precalc_ma( SubArray<double>^ inReal,
SubArray<double>^ inMovAvg,
int inMovAvgBegIdx,
int inMovAvgNbElement,
int timePeriod,
SubArray<double>^ output)
#elif defined( _MANAGED )
void Core::TA_INT_stddev_using_precalc_ma( cli::array<INPUT_TYPE>^ inReal,
cli::array<double>^ inMovAvg,
int inMovAvgBegIdx,
int inMovAvgNbElement,
int timePeriod,
cli::array<double>^ output)
#elif defined( _JAVA )
void TA_INT_stddev_using_precalc_ma( INPUT_TYPE inReal[],
double inMovAvg[],
int inMovAvgBegIdx,
int inMovAvgNbElement,
int timePeriod,
double output[] )
#else
void TA_PREFIX(INT_stddev_using_precalc_ma)( const INPUT_TYPE *inReal,
const double *inMovAvg,
int inMovAvgBegIdx,
int inMovAvgNbElement,
int timePeriod,
double *output )
#endif
{
double tempReal, periodTotal2, meanValue2;
int outIdx;
/* Start/end index for sumation. */
int startSum, endSum;
startSum = 1+inMovAvgBegIdx-timePeriod;
endSum = inMovAvgBegIdx;
periodTotal2 = 0;
for( outIdx = startSum; outIdx < endSum; outIdx++)
{
tempReal = inReal[outIdx];
tempReal *= tempReal;
periodTotal2 += tempReal;
}
for( outIdx=0; outIdx < inMovAvgNbElement; outIdx++, startSum++, endSum++ )
{
tempReal = inReal[endSum];
tempReal *= tempReal;
periodTotal2 += tempReal;
meanValue2 = periodTotal2/timePeriod;
tempReal = inReal[startSum];
tempReal *= tempReal;
periodTotal2 -= tempReal;
tempReal = inMovAvg[outIdx];
tempReal *= tempReal;
meanValue2 -= tempReal;
if( !TA_IS_ZERO_OR_NEG(meanValue2) )
output[outIdx] = std_sqrt(meanValue2);
else
output[outIdx] = (double)0.0;
}
}
#endif // Not defined( _MANAGED ) && defined( USE_SUBARRAY ) && defined( USE_SINGLE_PRECISION_INPUT )
/**** START GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/
/* Generated */
/* Generated */ #define USE_SINGLE_PRECISION_INPUT
/* Generated */ #undef TA_LIB_PRO
/* 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 ) && defined( USE_SUBARRAY )
/* Generated */ enum class Core::RetCode Core::StdDev( int startIdx,
/* Generated */ int endIdx,
/* Generated */ SubArray<float>^ inReal,
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ SubArray<double>^ outReal )
/* Generated */ #elif defined( _MANAGED )
/* Generated */ enum class Core::RetCode Core::StdDev( int startIdx,
/* Generated */ int endIdx,
/* Generated */ cli::array<float>^ inReal,
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ [Out]int% outBegIdx,
/* Generated */ [Out]int% outNBElement,
/* Generated */ cli::array<double>^ outReal )
/* Generated */ #elif defined( _JAVA )
/* Generated */ public RetCode stdDev( int startIdx,
/* Generated */ int endIdx,
/* Generated */ float inReal[],
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ MInteger outBegIdx,
/* Generated */ MInteger outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #else
/* Generated */ TA_RetCode TA_S_STDDEV( int startIdx,
/* Generated */ int endIdx,
/* Generated */ const float inReal[],
/* Generated */ int optInTimePeriod, /* From 2 to 100000 */
/* Generated */ double optInNbDev, /* From TA_REAL_MIN to TA_REAL_MAX */
/* Generated */ int *outBegIdx,
/* Generated */ int *outNBElement,
/* Generated */ double outReal[] )
/* Generated */ #endif
/* Generated */ {
/* Generated */ int i;
/* Generated */ ENUM_DECLARATION(RetCode) retCode;
/* Generated */ double tempReal;
/* 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( (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 */ if( optInNbDev == TA_REAL_DEFAULT )
/* Generated */ optInNbDev = 1.000000e+0;
/* Generated */ else if( (optInNbDev < -3.000000e+37) || (optInNbDev > 3.000000e+37) )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ #if !defined(_JAVA)
/* Generated */ if( !outReal )
/* Generated */ return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam);
/* Generated */ #endif
/* Generated */ #endif
/* Generated */ retCode = FUNCTION_CALL(INT_VAR)( startIdx, endIdx,
/* Generated */ inReal, optInTimePeriod,
/* Generated */ outBegIdx, outNBElement, outReal );
/* Generated */ if( retCode != ENUM_VALUE(RetCode,TA_SUCCESS,Success) )
/* Generated */ return retCode;
/* Generated */ if( optInNbDev != 1.0 )
/* Generated */ {
/* Generated */ for( i=0; i < (int)VALUE_HANDLE_DEREF(outNBElement); i++ )
/* Generated */ {
/* Generated */ tempReal = outReal[i];
/* Generated */ if( !TA_IS_ZERO_OR_NEG(tempReal) )
/* Generated */ outReal[i] = std_sqrt(tempReal) * optInNbDev;
/* Generated */ else
/* Generated */ outReal[i] = (double)0.0;
/* Generated */ }
/* Generated */ }
/* Generated */ else
/* Generated */ {
/* Generated */ for( i=0; i < (int)VALUE_HANDLE_DEREF(outNBElement); i++ )
/* Generated */ {
/* Generated */ tempReal = outReal[i];
/* Generated */ if( !TA_IS_ZERO_OR_NEG(tempReal) )
/* Generated */ outReal[i] = std_sqrt(tempReal);
/* Generated */ else
/* Generated */ outReal[i] = (double)0.0;
/* Generated */ }
/* Generated */ }
/* Generated */ return ENUM_VALUE(RetCode,TA_SUCCESS,Success);
/* Generated */ }
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) && defined( USE_SINGLE_PRECISION_INPUT )
/* Generated */ // No INT function
/* Generated */ #else
/* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY )
/* Generated */ void Core::TA_INT_stddev_using_precalc_ma( SubArray<double>^ inReal,
/* Generated */ SubArray<double>^ inMovAvg,
/* Generated */ int inMovAvgBegIdx,
/* Generated */ int inMovAvgNbElement,
/* Generated */ int timePeriod,
/* Generated */ SubArray<double>^ output)
/* Generated */ #elif defined( _MANAGED )
/* Generated */ void Core::TA_INT_stddev_using_precalc_ma( cli::array<INPUT_TYPE>^ inReal,
/* Generated */ cli::array<double>^ inMovAvg,
/* Generated */ int inMovAvgBegIdx,
/* Generated */ int inMovAvgNbElement,
/* Generated */ int timePeriod,
/* Generated */ cli::array<double>^ output)
/* Generated */ #elif defined( _JAVA )
/* Generated */ void TA_INT_stddev_using_precalc_ma( INPUT_TYPE inReal[],
/* Generated */ double inMovAvg[],
/* Generated */ int inMovAvgBegIdx,
/* Generated */ int inMovAvgNbElement,
/* Generated */ int timePeriod,
/* Generated */ double output[] )
/* Generated */ #else
/* Generated */ void TA_PREFIX(INT_stddev_using_precalc_ma)( const INPUT_TYPE *inReal,
/* Generated */ const double *inMovAvg,
/* Generated */ int inMovAvgBegIdx,
/* Generated */ int inMovAvgNbElement,
/* Generated */ int timePeriod,
/* Generated */ double *output )
/* Generated */ #endif
/* Generated */ {
/* Generated */ double tempReal, periodTotal2, meanValue2;
/* Generated */ int outIdx;
/* Generated */ int startSum, endSum;
/* Generated */ startSum = 1+inMovAvgBegIdx-timePeriod;
/* Generated */ endSum = inMovAvgBegIdx;
/* Generated */ periodTotal2 = 0;
/* Generated */ for( outIdx = startSum; outIdx < endSum; outIdx++)
/* Generated */ {
/* Generated */ tempReal = inReal[outIdx];
/* Generated */ tempReal *= tempReal;
/* Generated */ periodTotal2 += tempReal;
/* Generated */ }
/* Generated */ for( outIdx=0; outIdx < inMovAvgNbElement; outIdx++, startSum++, endSum++ )
/* Generated */ {
/* Generated */ tempReal = inReal[endSum];
/* Generated */ tempReal *= tempReal;
/* Generated */ periodTotal2 += tempReal;
/* Generated */ meanValue2 = periodTotal2/timePeriod;
/* Generated */ tempReal = inReal[startSum];
/* Generated */ tempReal *= tempReal;
/* Generated */ periodTotal2 -= tempReal;
/* Generated */ tempReal = inMovAvg[outIdx];
/* Generated */ tempReal *= tempReal;
/* Generated */ meanValue2 -= tempReal;
/* Generated */ if( !TA_IS_ZERO_OR_NEG(meanValue2) )
/* Generated */ output[outIdx] = std_sqrt(meanValue2);
/* Generated */ else
/* Generated */ output[outIdx] = (double)0.0;
/* Generated */ }
/* Generated */ }
/* Generated */ #endif // Not defined( _MANAGED ) && defined( USE_SUBARRAY ) && defined( USE_SINGLE_PRECISION_INPUT )
/* Generated */
/* Generated */ #if defined( _MANAGED )
/* Generated */ }}} // Close namespace TicTacTec.TA.Lib
/* Generated */ #endif
/**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/