/* 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. * 052603 MF Adapt code to compile with .NET Managed C++ * 062704 MF Fix limit case to avoid divid by zero (or by * a value close to zero induce by the imprecision * of floating points). */ /**** 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::KamaLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #elif defined( _JAVA ) /* Generated */ public int kamaLookback( int optInTimePeriod ) /* From 2 to 100000 */ /* Generated */ /* Generated */ #else /* Generated */ int TA_KAMA_Lookback( int optInTimePeriod ) /* From 2 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 < 2) || ((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 + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_KAMA,Kama); } /**** START GENCODE SECTION 3 - DO NOT DELETE THIS LINE ****/ /* * TA_KAMA - Kaufman Adaptive Moving Average * * Input = double * Output = double * * Optional Parameters * ------------------- * optInTimePeriod:(From 2 to 100000) * Number of period * * */ /* Generated */ /* Generated */ #if defined( _MANAGED ) && defined( USE_SUBARRAY ) /* Generated */ enum class Core::RetCode Core::Kama( int startIdx, /* Generated */ int endIdx, /* Generated */ SubArray^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _MANAGED ) /* Generated */ enum class Core::RetCode Core::Kama( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode kama( int startIdx, /* Generated */ int endIdx, /* Generated */ double inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_KAMA( int startIdx, /* Generated */ int endIdx, /* Generated */ const double inReal[], /* Generated */ int optInTimePeriod, /* From 2 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 */ CONSTANT_DOUBLE(constMax) = 2.0/(30.0+1.0); CONSTANT_DOUBLE(constDiff) = 2.0/(2.0+1.0) - constMax; double tempReal, tempReal2; double sumROC1, periodROC, prevKAMA; int i, today, outIdx, lookbackTotal; int trailingIdx; double trailingValue; /**** 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 = 30; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((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. */ /* Default return values */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Identify the minimum number of price bar needed * to calculate at least one output. */ lookbackTotal = optInTimePeriod + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_KAMA,Kama); /* Move up the start index if there is not * enough initial data. */ 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); } /* Initialize the variables by going through * the lookback period. */ sumROC1 = 0.0; today = startIdx-lookbackTotal; trailingIdx = today; i = optInTimePeriod; while( i-- > 0 ) { tempReal = inReal[today++]; tempReal -= inReal[today]; sumROC1 += std_fabs(tempReal); } /* At this point sumROC1 represent the * summation of the 1-day price difference * over the (optInTimePeriod-1) */ /* Calculate the first KAMA */ /* The yesterday price is used here as the previous KAMA. */ prevKAMA = inReal[today-1]; tempReal = inReal[today]; tempReal2 = inReal[trailingIdx++]; periodROC = tempReal-tempReal2; /* Save the trailing value. Do this because inReal * and outReal can be pointers to the same buffer. */ trailingValue = tempReal2; /* Calculate the efficiency ratio */ if( (sumROC1 <= periodROC) || TA_IS_ZERO(sumROC1)) tempReal = 1.0; else tempReal = std_fabs(periodROC/sumROC1); /* Calculate the smoothing constant */ tempReal = (tempReal*constDiff)+constMax; tempReal *= tempReal; /* Calculate the KAMA like an EMA, using the * smoothing constant as the adaptive factor. */ prevKAMA = ((inReal[today++]-prevKAMA)*tempReal) + prevKAMA; /* 'today' keep track of where the processing is within the * input. */ /* Skip the unstable period. Do the whole processing * needed for KAMA, but do not write it in the output. */ while( today <= startIdx ) { tempReal = inReal[today]; tempReal2 = inReal[trailingIdx++]; periodROC = tempReal-tempReal2; /* Adjust sumROC1: * - Remove trailing ROC1 * - Add new ROC1 */ sumROC1 -= std_fabs(trailingValue-tempReal2); sumROC1 += std_fabs(tempReal-inReal[today-1]); /* Save the trailing value. Do this because inReal * and outReal can be pointers to the same buffer. */ trailingValue = tempReal2; /* Calculate the efficiency ratio */ if( (sumROC1 <= periodROC) || TA_IS_ZERO(sumROC1) ) tempReal = 1.0; else tempReal = std_fabs(periodROC/sumROC1); /* Calculate the smoothing constant */ tempReal = (tempReal*constDiff)+constMax; tempReal *= tempReal; /* Calculate the KAMA like an EMA, using the * smoothing constant as the adaptive factor. */ prevKAMA = ((inReal[today++]-prevKAMA)*tempReal) + prevKAMA; } /* Write the first value. */ outReal[0] = prevKAMA; outIdx = 1; VALUE_HANDLE_DEREF(outBegIdx) = today-1; /* Do the KAMA calculation for the requested range. */ while( today <= endIdx ) { tempReal = inReal[today]; tempReal2 = inReal[trailingIdx++]; periodROC = tempReal-tempReal2; /* Adjust sumROC1: * - Remove trailing ROC1 * - Add new ROC1 */ sumROC1 -= std_fabs(trailingValue-tempReal2); sumROC1 += std_fabs(tempReal-inReal[today-1]); /* Save the trailing value. Do this because inReal * and outReal can be pointers to the same buffer. */ trailingValue = tempReal2; /* Calculate the efficiency ratio */ if( (sumROC1 <= periodROC) || TA_IS_ZERO(sumROC1) ) tempReal = 1.0; else tempReal = std_fabs(periodROC / sumROC1); /* Calculate the smoothing constant */ tempReal = (tempReal*constDiff)+constMax; tempReal *= tempReal; /* Calculate the KAMA like an EMA, using the * smoothing constant as the adaptive factor. */ prevKAMA = ((inReal[today++]-prevKAMA)*tempReal) + prevKAMA; outReal[outIdx++] = prevKAMA; } 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::Kama( int startIdx, /* Generated */ int endIdx, /* Generated */ cli::array^ inReal, /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ [Out]int% outBegIdx, /* Generated */ [Out]int% outNBElement, /* Generated */ cli::array^ outReal ) /* Generated */ #elif defined( _JAVA ) /* Generated */ public RetCode kama( int startIdx, /* Generated */ int endIdx, /* Generated */ float inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ MInteger outBegIdx, /* Generated */ MInteger outNBElement, /* Generated */ double outReal[] ) /* Generated */ #else /* Generated */ TA_RetCode TA_S_KAMA( int startIdx, /* Generated */ int endIdx, /* Generated */ const float inReal[], /* Generated */ int optInTimePeriod, /* From 2 to 100000 */ /* Generated */ int *outBegIdx, /* Generated */ int *outNBElement, /* Generated */ double outReal[] ) /* Generated */ #endif /* Generated */ { /* Generated */ CONSTANT_DOUBLE(constMax) = 2.0/(30.0+1.0); /* Generated */ CONSTANT_DOUBLE(constDiff) = 2.0/(2.0+1.0) - constMax; /* Generated */ double tempReal, tempReal2; /* Generated */ double sumROC1, periodROC, prevKAMA; /* Generated */ int i, today, outIdx, lookbackTotal; /* Generated */ int trailingIdx; /* Generated */ double trailingValue; /* 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 = 30; /* Generated */ else if( ((int)optInTimePeriod < 2) || ((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 */ VALUE_HANDLE_DEREF_TO_ZERO(outBegIdx); /* Generated */ VALUE_HANDLE_DEREF_TO_ZERO(outNBElement); /* Generated */ lookbackTotal = optInTimePeriod + TA_GLOBALS_UNSTABLE_PERIOD(TA_FUNC_UNST_KAMA,Kama); /* 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 */ sumROC1 = 0.0; /* Generated */ today = startIdx-lookbackTotal; /* Generated */ trailingIdx = today; /* Generated */ i = optInTimePeriod; /* Generated */ while( i-- > 0 ) /* Generated */ { /* Generated */ tempReal = inReal[today++]; /* Generated */ tempReal -= inReal[today]; /* Generated */ sumROC1 += std_fabs(tempReal); /* Generated */ } /* Generated */ prevKAMA = inReal[today-1]; /* Generated */ tempReal = inReal[today]; /* Generated */ tempReal2 = inReal[trailingIdx++]; /* Generated */ periodROC = tempReal-tempReal2; /* Generated */ trailingValue = tempReal2; /* Generated */ if( (sumROC1 <= periodROC) || TA_IS_ZERO(sumROC1)) /* Generated */ tempReal = 1.0; /* Generated */ else /* Generated */ tempReal = std_fabs(periodROC/sumROC1); /* Generated */ tempReal = (tempReal*constDiff)+constMax; /* Generated */ tempReal *= tempReal; /* Generated */ prevKAMA = ((inReal[today++]-prevKAMA)*tempReal) + prevKAMA; /* Generated */ while( today <= startIdx ) /* Generated */ { /* Generated */ tempReal = inReal[today]; /* Generated */ tempReal2 = inReal[trailingIdx++]; /* Generated */ periodROC = tempReal-tempReal2; /* Generated */ sumROC1 -= std_fabs(trailingValue-tempReal2); /* Generated */ sumROC1 += std_fabs(tempReal-inReal[today-1]); /* Generated */ trailingValue = tempReal2; /* Generated */ if( (sumROC1 <= periodROC) || TA_IS_ZERO(sumROC1) ) /* Generated */ tempReal = 1.0; /* Generated */ else /* Generated */ tempReal = std_fabs(periodROC/sumROC1); /* Generated */ tempReal = (tempReal*constDiff)+constMax; /* Generated */ tempReal *= tempReal; /* Generated */ prevKAMA = ((inReal[today++]-prevKAMA)*tempReal) + prevKAMA; /* Generated */ } /* Generated */ outReal[0] = prevKAMA; /* Generated */ outIdx = 1; /* Generated */ VALUE_HANDLE_DEREF(outBegIdx) = today-1; /* Generated */ while( today <= endIdx ) /* Generated */ { /* Generated */ tempReal = inReal[today]; /* Generated */ tempReal2 = inReal[trailingIdx++]; /* Generated */ periodROC = tempReal-tempReal2; /* Generated */ sumROC1 -= std_fabs(trailingValue-tempReal2); /* Generated */ sumROC1 += std_fabs(tempReal-inReal[today-1]); /* Generated */ trailingValue = tempReal2; /* Generated */ if( (sumROC1 <= periodROC) || TA_IS_ZERO(sumROC1) ) /* Generated */ tempReal = 1.0; /* Generated */ else /* Generated */ tempReal = std_fabs(periodROC / sumROC1); /* Generated */ tempReal = (tempReal*constDiff)+constMax; /* Generated */ tempReal *= tempReal; /* Generated */ prevKAMA = ((inReal[today++]-prevKAMA)*tempReal) + prevKAMA; /* Generated */ outReal[outIdx++] = prevKAMA; /* 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 ****/