/* 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 * 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 /* 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::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 */ 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^ 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^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::StdDev( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ 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^ 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_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); } /* 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 ) && !defined(USE_SINGLE_PRECISION_INPUT) void Core::TA_INT_stddev_using_precalc_ma( SubArray^ inReal, cli::array^ inMovAvg, int inMovAvgBegIdx, int inMovAvgNbElement, int timePeriod, cli::array^ output) #elif defined( _MANAGED ) void Core::TA_INT_stddev_using_precalc_ma( cli::array^ inReal, cli::array^ inMovAvg, int inMovAvgBegIdx, int inMovAvgNbElement, int timePeriod, cli::array^ 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; } } /**** 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::StdDev( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ 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^ 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 */ void Core::TA_INT_stddev_using_precalc_ma( SubArray^ inReal, /* Generated */ cli::array^ inMovAvg, /* Generated */ int inMovAvgBegIdx, /* Generated */ int inMovAvgNbElement, /* Generated */ int timePeriod, /* Generated */ cli::array^ output) /* Generated */ #elif defined( _MANAGED ) /* Generated */ void Core::TA_INT_stddev_using_precalc_ma( cli::array^ inReal, /* Generated */ cli::array^ inMovAvg, /* Generated */ int inMovAvgBegIdx, /* Generated */ int inMovAvgNbElement, /* Generated */ int timePeriod, /* Generated */ cli::array^ 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 */ /* Generated */ #if defined( _MANAGED ) /* Generated */ }}} // Close namespace TicTacTec.TA.Lib /* Generated */ #endif /**** END GENCODE SECTION 5 - DO NOT DELETE THIS LINE ****/