/* 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 * ------------------------------------------------------------------- * 112400 MF First version. * */ /* Description: * Test the momentum functions * * The interpretation of the rate of change varies widely depending * which software and/or books you are refering to. * * The following is the table of Rate-Of-Change implemented in TA-LIB: * MOM = (price - prevPrice) [Momentum] * ROC = ((price/prevPrice)-1)*100 [Rate of change] * ROCP = (price-prevPrice)/prevPrice [Rate of change Percentage] * ROCR = (price/prevPrice) [Rate of change ratio] * ROCR100 = (price/prevPrice)*100 [Rate of change ratio 100 Scale] * * Here are the equivalent function in other software: * TA-Lib | Tradestation | Metastock * ================================================= * MOM | Momentum | ROC (Point) * ROC | ROC | ROC (Percent) * ROCP | PercentChange | - * ROCR | - | - * ROCR100 | - | MO * * The MOM function is the only one who is not normalized, and thus * should be avoided for comparing different time serie of prices. * * ROC and ROCP are centered at zero and can have positive and negative * value. Here are some equivalence: * ROC = ROCP/100 * = ((price-prevPrice)/prevPrice)/100 * = ((price/prevPrice)-1)*100 * * ROCR and ROCR100 are ratio respectively centered at 1 and 100 and are * always positive values. */ /**** Headers ****/ #include #include #include "ta_test_priv.h" #include "ta_test_func.h" #include "ta_utility.h" /**** External functions declarations. ****/ /* None */ /**** External variables declarations. ****/ /* None */ /**** Global variables definitions. ****/ /* None */ /**** Local declarations. ****/ typedef enum { TA_MOM_TEST, TA_ROC_TEST, TA_ROCP_TEST, TA_ROCR_TEST, TA_ROCR100_TEST } TA_TestId; typedef struct { TA_Integer doRangeTestFlag; TA_TestId theFunction; TA_Integer startIdx; TA_Integer endIdx; TA_Integer optInTimePeriod; TA_RetCode expectedRetCode; TA_Integer oneOfTheExpectedOutRealIndex0; TA_Real oneOfTheExpectedOutReal0; TA_Integer expectedBegIdx; TA_Integer expectedNbElement; } TA_Test; typedef struct { const TA_Test *test; const TA_Real *close; } TA_RangeTestParam; /**** Local functions declarations. ****/ static ErrorNumber do_test( const TA_History *history, const TA_Test *test ); /**** Local variables definitions. ****/ static TA_Test tableTest[] = { /**********************/ /* MOM TEST */ /**********************/ #ifndef TA_FUNC_NO_RANGE_CHECK /* Test out of range. */ { 0, TA_MOM_TEST, -1, 3, 14, TA_OUT_OF_RANGE_START_INDEX, 0, 0, 0, 0}, { 0, TA_MOM_TEST, 3, -1, 14, TA_OUT_OF_RANGE_END_INDEX, 0, 0, 0, 0}, { 0, TA_MOM_TEST, 4, 3, 14, TA_OUT_OF_RANGE_END_INDEX, 0, 0, 0, 0}, #endif { 1, TA_MOM_TEST, 0, 251, 14, TA_SUCCESS, 0, -0.50, 14, 252-14 }, /* First Value */ { 0, TA_MOM_TEST, 0, 251, 14, TA_SUCCESS, 1, -2.00, 14, 252-14 }, { 0, TA_MOM_TEST, 0, 251, 14, TA_SUCCESS, 2, -5.22, 14, 252-14 }, { 0, TA_MOM_TEST, 0, 251, 14, TA_SUCCESS, 252-15, -1.13, 14, 252-14 }, /* Last Value */ /* No output value. */ { 0, TA_MOM_TEST, 1, 1, 14, TA_SUCCESS, 0, 0, 0, 0}, /* One value tests. */ { 0, TA_MOM_TEST, 14, 14, 14, TA_SUCCESS, 0, -0.50, 14, 1}, /* Index too low test. */ { 0, TA_MOM_TEST, 0, 15, 14, TA_SUCCESS, 0, -0.50, 14, 2}, { 0, TA_MOM_TEST, 1, 15, 14, TA_SUCCESS, 0, -0.50, 14, 2}, { 0, TA_MOM_TEST, 2, 16, 14, TA_SUCCESS, 0, -0.50, 14, 3}, { 0, TA_MOM_TEST, 2, 16, 14, TA_SUCCESS, 1, -2.00, 14, 3}, { 0, TA_MOM_TEST, 2, 16, 14, TA_SUCCESS, 2, -5.22, 14, 3}, { 0, TA_MOM_TEST, 0, 14, 14, TA_SUCCESS, 0, -0.50, 14, 1}, { 0, TA_MOM_TEST, 0, 13, 14, TA_SUCCESS, 0, -0.50, 14, 0}, /* Middle of data test. */ { 0, TA_MOM_TEST, 20, 21, 14, TA_SUCCESS, 0, -4.15, 20, 2 }, { 0, TA_MOM_TEST, 20, 21, 14, TA_SUCCESS, 1, -5.12, 20, 2 }, /**********************/ /* ROC TEST */ /**********************/ { 1, TA_ROC_TEST, 0, 251, 14, TA_SUCCESS, 0, -0.546, 14, 252-14 }, /* First Value */ { 0, TA_ROC_TEST, 0, 251, 14, TA_SUCCESS, 1, -2.109, 14, 252-14 }, { 0, TA_ROC_TEST, 0, 251, 14, TA_SUCCESS, 2, -5.53, 14, 252-14 }, { 0, TA_ROC_TEST, 0, 251, 14, TA_SUCCESS, 252-15, -1.0367, 14, 252-14 }, /* Last Value */ /* No output value. */ { 0, TA_ROC_TEST, 1, 1, 14, TA_SUCCESS, 0, 0, 0, 0}, /* One value tests. */ { 0, TA_ROC_TEST, 14, 14, 14, TA_SUCCESS, 0, -0.546, 14, 1}, /* Index too low test. */ { 0, TA_ROC_TEST, 0, 15, 14, TA_SUCCESS, 0, -0.546, 14, 2}, { 0, TA_ROC_TEST, 1, 15, 14, TA_SUCCESS, 0, -0.546, 14, 2}, { 0, TA_ROC_TEST, 2, 16, 14, TA_SUCCESS, 0, -0.546, 14, 3}, { 0, TA_ROC_TEST, 2, 16, 14, TA_SUCCESS, 1, -2.109, 14, 3}, { 0, TA_ROC_TEST, 2, 16, 14, TA_SUCCESS, 2, -5.53, 14, 3}, { 0, TA_ROC_TEST, 0, 14, 14, TA_SUCCESS, 0, -0.546, 14, 1}, { 0, TA_ROC_TEST, 0, 13, 14, TA_SUCCESS, 0, -0.546, 14, 0}, /* Middle of data test. */ { 0, TA_ROC_TEST, 20, 21, 14, TA_SUCCESS, 0, -4.49, 20, 2 }, { 0, TA_ROC_TEST, 20, 21, 14, TA_SUCCESS, 1, -5.5256, 20, 2 }, /**********************/ /* ROCR TEST */ /**********************/ { 1, TA_ROCR_TEST, 0, 251, 14, TA_SUCCESS, 0, 0.994536, 14, 252-14 }, /* First Value */ { 0, TA_ROCR_TEST, 0, 251, 14, TA_SUCCESS, 1, 0.978906, 14, 252-14 }, { 0, TA_ROCR_TEST, 0, 251, 14, TA_SUCCESS, 2, 0.944689, 14, 252-14 }, { 0, TA_ROCR_TEST, 0, 251, 14, TA_SUCCESS, 252-15, 0.989633, 14, 252-14 }, /* Last Value */ /* No output value. */ { 0, TA_ROCR_TEST, 1, 1, 14, TA_SUCCESS, 0, 0, 0, 0}, /* One value tests. */ { 0, TA_ROCR_TEST, 14, 14, 14, TA_SUCCESS, 0, 0.994536, 14, 1}, /* Index too low test. */ { 0, TA_ROCR_TEST, 0, 15, 14, TA_SUCCESS, 0, 0.994536, 14, 2}, { 0, TA_ROCR_TEST, 1, 15, 14, TA_SUCCESS, 0, 0.994536, 14, 2}, { 0, TA_ROCR_TEST, 2, 16, 14, TA_SUCCESS, 0, 0.994536, 14, 3}, { 0, TA_ROCR_TEST, 2, 16, 14, TA_SUCCESS, 1, 0.978906, 14, 3}, { 0, TA_ROCR_TEST, 2, 16, 14, TA_SUCCESS, 2, 0.944689, 14, 3}, { 0, TA_ROCR_TEST, 0, 14, 14, TA_SUCCESS, 0, 0.994536, 14, 1}, { 0, TA_ROCR_TEST, 0, 13, 14, TA_SUCCESS, 0, 0.994536, 14, 0}, /* Middle of data test. */ { 0, TA_ROCR_TEST, 20, 21, 14, TA_SUCCESS, 0, 0.955096, 20, 2 }, { 0, TA_ROCR_TEST, 20, 21, 14, TA_SUCCESS, 1, 0.944744, 20, 2 }, /**********************/ /* ROCR100 TEST */ /**********************/ { 1, TA_ROCR100_TEST, 0, 251, 14, TA_SUCCESS, 0, 99.4536, 14, 252-14 }, /* First Value */ { 0, TA_ROCR100_TEST, 0, 251, 14, TA_SUCCESS, 1, 97.8906, 14, 252-14 }, { 0, TA_ROCR100_TEST, 0, 251, 14, TA_SUCCESS, 2, 94.4689, 14, 252-14 }, { 0, TA_ROCR100_TEST, 0, 251, 14, TA_SUCCESS, 252-15, 98.9633, 14, 252-14 }, /* Last Value */ /* No output value. */ { 0, TA_ROCR100_TEST, 1, 1, 14, TA_SUCCESS, 0, 0, 0, 0}, /* One value tests. */ { 0, TA_ROCR100_TEST, 14, 14, 14, TA_SUCCESS, 0, 99.4536, 14, 1}, /* Index too low test. */ { 0, TA_ROCR100_TEST, 0, 15, 14, TA_SUCCESS, 0, 99.4536, 14, 2}, { 0, TA_ROCR100_TEST, 1, 15, 14, TA_SUCCESS, 0, 99.4536, 14, 2}, { 0, TA_ROCR100_TEST, 2, 16, 14, TA_SUCCESS, 0, 99.4536, 14, 3}, { 0, TA_ROCR100_TEST, 2, 16, 14, TA_SUCCESS, 1, 97.8906, 14, 3}, { 0, TA_ROCR100_TEST, 2, 16, 14, TA_SUCCESS, 2, 94.4689, 14, 3}, { 0, TA_ROCR100_TEST, 0, 14, 14, TA_SUCCESS, 0, 99.4536, 14, 1}, { 0, TA_ROCR100_TEST, 0, 13, 14, TA_SUCCESS, 0, 99.4536, 14, 0}, /* Middle of data test. */ { 0, TA_ROCR100_TEST, 20, 21, 14, TA_SUCCESS, 0, 95.5096, 20, 2 }, { 0, TA_ROCR100_TEST, 20, 21, 14, TA_SUCCESS, 1, 94.4744, 20, 2 } }; #define NB_TEST (sizeof(tableTest)/sizeof(TA_Test)) /**** Global functions definitions. ****/ ErrorNumber test_func_mom_roc( TA_History *history ) { unsigned int i; ErrorNumber retValue; for( i=0; i < NB_TEST; i++ ) { if( (int)tableTest[i].expectedNbElement > (int)history->nbBars ) { printf( "%s Failed Bad Parameter for Test #%d (%d,%d)\n", __FILE__, i, tableTest[i].expectedNbElement, history->nbBars ); return TA_TESTUTIL_TFRR_BAD_PARAM; } retValue = do_test( history, &tableTest[i] ); if( retValue != 0 ) { printf( "%s Failed Test #%d (Code=%d)\n", __FILE__, i, retValue ); return retValue; } } /* All test succeed. */ return TA_TEST_PASS; } /**** Local functions definitions. ****/ static TA_RetCode rangeTestFunction( TA_Integer startIdx, TA_Integer endIdx, TA_Real *outputBuffer, TA_Integer *outputBufferInt, TA_Integer *outBegIdx, TA_Integer *outNbElement, TA_Integer *lookback, void *opaqueData, unsigned int outputNb, unsigned int *isOutputInteger ) { TA_RetCode retCode; TA_RangeTestParam *testParam; (void)outputNb; (void)outputBufferInt; *isOutputInteger = 0; testParam = (TA_RangeTestParam *)opaqueData; switch( testParam->test->theFunction ) { case TA_MOM_TEST: retCode = TA_MOM( startIdx, endIdx, testParam->close, testParam->test->optInTimePeriod, outBegIdx, outNbElement, outputBuffer ); *lookback = TA_MOM_Lookback(testParam->test->optInTimePeriod ); break; case TA_ROC_TEST: retCode = TA_ROC( startIdx, endIdx, testParam->close, testParam->test->optInTimePeriod, outBegIdx, outNbElement, outputBuffer ); *lookback = TA_ROC_Lookback(testParam->test->optInTimePeriod ); break; case TA_ROCR_TEST: retCode = TA_ROCR( startIdx, endIdx, testParam->close, testParam->test->optInTimePeriod, outBegIdx, outNbElement, outputBuffer ); *lookback = TA_ROCR_Lookback(testParam->test->optInTimePeriod ); break; case TA_ROCR100_TEST: retCode = TA_ROCR100( startIdx, endIdx, testParam->close, testParam->test->optInTimePeriod, outBegIdx, outNbElement, outputBuffer ); *lookback = TA_ROCR100_Lookback(testParam->test->optInTimePeriod ); break; case TA_ROCP_TEST: retCode = TA_ROCP( startIdx, endIdx, testParam->close, testParam->test->optInTimePeriod, outBegIdx, outNbElement, outputBuffer ); *lookback = TA_ROCP_Lookback(testParam->test->optInTimePeriod ); break; default: retCode = TA_INTERNAL_ERROR(130); } return retCode; } static ErrorNumber do_test( const TA_History *history, const TA_Test *test ) { TA_RetCode retCode; ErrorNumber errNb; TA_Integer outBegIdx; TA_Integer outNbElement; TA_RangeTestParam testParam; /* Set to NAN all the elements of the gBuffers. */ clearAllBuffers(); /* Build the input. */ setInputBuffer( 0, history->close, history->nbBars ); setInputBuffer( 1, history->close, history->nbBars ); CLEAR_EXPECTED_VALUE(0); /* Make a simple first call. */ switch( test->theFunction ) { case TA_MOM_TEST: retCode = TA_MOM( test->startIdx, test->endIdx, gBuffer[0].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[0].out0 ); break; case TA_ROC_TEST: retCode = TA_ROC( test->startIdx, test->endIdx, gBuffer[0].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[0].out0 ); break; case TA_ROCR_TEST: retCode = TA_ROCR( test->startIdx, test->endIdx, gBuffer[0].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[0].out0 ); break; case TA_ROCR100_TEST: retCode = TA_ROCR100( test->startIdx, test->endIdx, gBuffer[0].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[0].out0 ); break; case TA_ROCP_TEST: retCode = TA_ROCP( test->startIdx, test->endIdx, gBuffer[0].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[0].out0 ); break; default: retCode = TA_BAD_PARAM; } errNb = checkDataSame( gBuffer[0].in, history->close,history->nbBars ); if( errNb != TA_TEST_PASS ) return errNb; CHECK_EXPECTED_VALUE( gBuffer[0].out0, 0 ); outBegIdx = outNbElement = 0; /* Make another call where the input and the output are the * same buffer. */ CLEAR_EXPECTED_VALUE(0); switch( test->theFunction ) { case TA_MOM_TEST: retCode = TA_MOM( test->startIdx, test->endIdx, gBuffer[1].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[1].in ); break; case TA_ROC_TEST: retCode = TA_ROC( test->startIdx, test->endIdx, gBuffer[1].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[1].in ); break; case TA_ROCR_TEST: retCode = TA_ROCR( test->startIdx, test->endIdx, gBuffer[1].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[1].in ); break; case TA_ROCR100_TEST: retCode = TA_ROCR100( test->startIdx, test->endIdx, gBuffer[1].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[1].in ); break; case TA_ROCP_TEST: retCode = TA_ROCP( test->startIdx, test->endIdx, gBuffer[1].in, test->optInTimePeriod, &outBegIdx, &outNbElement, gBuffer[1].in ); break; } /* The previous call should have the same output as this call. * * checkSameContent verify that all value different than NAN in * the first parameter is identical in the second parameter. */ errNb = checkSameContent( gBuffer[0].out0, gBuffer[1].in ); if( errNb != TA_TEST_PASS ) return errNb; CHECK_EXPECTED_VALUE( gBuffer[1].in, 0 ); if( errNb != TA_TEST_PASS ) return errNb; /* Do a systematic test of most of the * possible startIdx/endIdx range. */ testParam.test = test; testParam.close = history->close; if( test->doRangeTestFlag ) { errNb = doRangeTest( rangeTestFunction, TA_FUNC_UNST_NONE, (void *)&testParam, 1, 0 ); if( errNb != TA_TEST_PASS ) return errNb; } return TA_TEST_PASS; }