/* 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 * * * Change history: * * MMDDYY BY Description * ------------------------------------------------------------------- * 120802 MF Template creation. * 101003 MF Initial Coding * 062804 MF Resolve div by zero bug on limit case. * */ /**** 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 /* Generated */ #include /* 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::CorrelLookback( int optInTimePeriod ) /* From 1 to 100000 */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int correlLookback( int optInTimePeriod ) /* From 1 to 100000 */ /* Generated */ /* Generated */ #else /* Generated */ int TA_CORREL_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 = 30; /* 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 ****/ /* insert lookback code here. */ return optInTimePeriod-1; } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_CORREL - Pearson's Correlation Coefficient (r) * * 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::Correl( 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^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::Correl( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal0, /* Generated */ cli::array^ inReal1, /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode correl( 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_CORREL( 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 ****/ { /* insert local variable here */ double sumXY, sumX, sumY, sumX2, sumY2, x, y, trailingX, trailingY; double tempReal; int lookbackTotal, today, trailingIdx, outIdx; /**** 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 = 30; /* 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. */ /* Move up the start index if there is not * enough initial data. */ lookbackTotal = optInTimePeriod-1; if( startIdx < lookbackTotal ) startIdx = lookbackTotal; /* 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); } VALUE_HANDLE_DEREF(outBegIdx) = startIdx; trailingIdx = startIdx - lookbackTotal; /* Calculate the initial values. */ sumXY = sumX = sumY = sumX2 = sumY2 = 0.0; for( today=trailingIdx; today <= startIdx; today++ ) { x = inReal0[today]; sumX += x; sumX2 += x*x; y = inReal1[today]; sumXY += x*y; sumY += y; sumY2 += y*y; } /* Write the first output. * Save first the trailing values since the input * and output might be the same array, */ trailingX = inReal0[trailingIdx]; trailingY = inReal1[trailingIdx++]; tempReal = (sumX2-((sumX*sumX)/optInTimePeriod)) * (sumY2-((sumY*sumY)/optInTimePeriod)); if( !TA_IS_ZERO_OR_NEG(tempReal) ) outReal[0] = (sumXY-((sumX*sumY)/optInTimePeriod)) / std_sqrt(tempReal); else outReal[0] = 0.0; /* Tight loop to do subsequent values. */ outIdx = 1; while( today <= endIdx ) { /* Remove trailing values */ sumX -= trailingX; sumX2 -= trailingX*trailingX; sumXY -= trailingX*trailingY; sumY -= trailingY; sumY2 -= trailingY*trailingY; /* Add new values */ x = inReal0[today]; sumX += x; sumX2 += x*x; y = inReal1[today++]; sumXY += x*y; sumY += y; sumY2 += y*y; /* Output new coefficient. * Save first the trailing values since the input * and output might be the same array, */ trailingX = inReal0[trailingIdx]; trailingY = inReal1[trailingIdx++]; tempReal = (sumX2-((sumX*sumX)/optInTimePeriod)) * (sumY2-((sumY*sumY)/optInTimePeriod)); if( !TA_IS_ZERO_OR_NEG(tempReal) ) outReal[outIdx++] = (sumXY-((sumX*sumY)/optInTimePeriod)) / std_sqrt(tempReal); else outReal[outIdx++] = 0.0; } 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::Correl( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal0, /* Generated */ cli::array^ inReal1, /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode correl( int startIdx, /* Generated */ int endIdx, /* Generated */ float inReal0[], /* Generated */ float inReal1[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_CORREL( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inReal0[], /* Generated */ const float inReal1[], /* Generated */ int optInTimePeriod, /* From 1 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* Generated */ double sumXY, sumX, sumY, sumX2, sumY2, x, y, trailingX, trailingY; /* Generated */ double tempReal; /* Generated */ int lookbackTotal, today, trailingIdx, outIdx; /* 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( !inReal0 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ if( !inReal1 ) return ENUM_VALUE(RetCode,TA_BAD_PARAM,BadParam); /* Generated */ #endif /* Generated */ if( (int)optInTimePeriod == TA_INTEGER_DEFAULT ) /* Generated */ optInTimePeriod = 30; /* Generated */ else if( ((int)optInTimePeriod < 1) || ((int)optInTimePeriod > 100000) ) /* 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 */ lookbackTotal = optInTimePeriod-1; /* 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 */ trailingIdx = startIdx - lookbackTotal; /* Generated */ sumXY = sumX = sumY = sumX2 = sumY2 = 0.0; /* Generated */ for( today=trailingIdx; today <= startIdx; today++ ) /* Generated */ { /* Generated */ x = inReal0[today]; /* Generated */ sumX += x; /* Generated */ sumX2 += x*x; /* Generated */ y = inReal1[today]; /* Generated */ sumXY += x*y; /* Generated */ sumY += y; /* Generated */ sumY2 += y*y; /* Generated */ } /* Generated */ trailingX = inReal0[trailingIdx]; /* Generated */ trailingY = inReal1[trailingIdx++]; /* Generated */ tempReal = (sumX2-((sumX*sumX)/optInTimePeriod)) * (sumY2-((sumY*sumY)/optInTimePeriod)); /* Generated */ if( !TA_IS_ZERO_OR_NEG(tempReal) ) /* Generated */ outReal[0] = (sumXY-((sumX*sumY)/optInTimePeriod)) / std_sqrt(tempReal); /* Generated */ else /* Generated */ outReal[0] = 0.0; /* Generated */ outIdx = 1; /* Generated */ while( today <= endIdx ) /* Generated */ { /* Generated */ sumX -= trailingX; /* Generated */ sumX2 -= trailingX*trailingX; /* Generated */ sumXY -= trailingX*trailingY; /* Generated */ sumY -= trailingY; /* Generated */ sumY2 -= trailingY*trailingY; /* Generated */ x = inReal0[today]; /* Generated */ sumX += x; /* Generated */ sumX2 += x*x; /* Generated */ y = inReal1[today++]; /* Generated */ sumXY += x*y; /* Generated */ sumY += y; /* Generated */ sumY2 += y*y; /* Generated */ trailingX = inReal0[trailingIdx]; /* Generated */ trailingY = inReal1[trailingIdx++]; /* Generated */ tempReal = (sumX2-((sumX*sumX)/optInTimePeriod)) * (sumY2-((sumY*sumY)/optInTimePeriod)); /* Generated */ if( !TA_IS_ZERO_OR_NEG(tempReal) ) /* Generated */ outReal[outIdx++] = (sumXY-((sumX*sumY)/optInTimePeriod)) / std_sqrt(tempReal); /* Generated */ else /* Generated */ outReal[outIdx++] = 0.0; /* 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 ****/